Dunkin Brands Backtesting

Dunkin Brands Group Inc -- USA Stock  

USD 63.7  1.39  2.14%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Dunkin Brands Group Inc and determine expected loss or profit from investing in Dunkin Brands over given investment horizon. Additionally see Dunkin Brands Hype Analysis, Dunkin Brands Correlation, Dunkin Brands Valuation, Dunkin Brands Volatility as well as analyze Dunkin Brands Alpha and Beta and Dunkin Brands Performance
 Time Horizon     30 Days    Login   to change

Dunkin Brands 'What if' Analysis

December 20, 2017
No Change 0.00  0.0%
In 30 days
January 19, 2018
If you would invest  0.00  in Dunkin Brands on December 20, 2017 and sell it all today you would earn a total of 0.00 from holding Dunkin Brands Group Inc or generate 0.0% return on investment in Dunkin Brands over 30 days. Dunkin Brands is related to or competes with Hyatt Hotels, Biglari Holdings, La Quinta, Park Hotels, and . Dunkin Brands Group Inc operates through four segments Dunkin Donuts U.S

Dunkin Brands Upside/Downside Indicators


Dunkin Brands Market Premium Indicators

Dunkin Brands Group lagged returns against current returns

 Current and Lagged Values 

Dunkin Brands regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Dunkin Brands Group Backtested Returns

We consider Dunkin Brands not too risky. Dunkin Brands Group secures Sharpe Ratio (or Efficiency) of 0.1151 which denotes Dunkin Brands Group had 0.1151% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Dunkin Brands Group Inc which you can use to evaluate future volatility of the firm. Please confirm Dunkin Brands Group Coefficient Of Variation of 447.08, Mean Deviation of 0.9778 and Downside Deviation of 1.04 to check if risk estimate we provide are consistent with the epected return of 0.1378%. Dunkin Brands has performance score of 7 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1313 which denotes to the fact that as returns on market increase, Dunkin Brands returns are expected to increase less than the market. However during bear market, the loss on holding Dunkin Brands will be expected to be smaller as well.. Although it is extremely important to respect Dunkin Brands Group historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing Dunkin Brands Group technical indicators you can presently evaluate if the expected return of 0.1378% will be sustainable into the future. Dunkin Brands Group right now shows a risk of 1.1977%. Please confirm Dunkin Brands Group Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Dunkin Brands Group will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 

Very good reverse predictability

Dunkin Brands Group Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Dunkin Brands time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Dunkin Brands Group price movement. The serial correlation of -0.69 indicates that around 69.0% of current Dunkin Brands price fluctuation can be explain by its past prices. Given that Dunkin Brands Group Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Dunkin Brands for similar time interval.
Correlation Coefficient -0.69
Spearman Rank Test 0.2
Price Variance 0.44
Lagged Price Variance 0.44

Dunkin Brands Lagged Returns

 Regressed Prices 

Dunkin Brands Performance vs DOW

The median price of Dunkin Brands for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 64.4 with a coefficient of variation of 1.83. The daily time series for the period is distributed with a sample standard deviation of 1.18, arithmetic mean of 64.22, and mean deviation of 0.94. The Stock received some media coverage during the period.
Price Growth (%)  
Dunkin Donuts Opens First-Next Generation Concept Store01/17/2018