Dunkin Brands Backtesting

DNKN -- USA Stock  

USD 71.43  0.83  1.18%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Dunkin Brands Group 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

June 16, 2018
No Change 0.00  0.0%
In 30 days
July 16, 2018
If you would invest  0.00  in Dunkin Brands on June 16, 2018 and sell it all today you would earn a total of 0.00 from holding Dunkin Brands Group or generate 0.0% return on investment in Dunkin Brands over 30 days. Dunkin Brands is related to or competes with Biglari Holdings, Flanigans Enterprises, Chipotle Mexican, Dine Brands, Dominos Pizza, and DARDEN RESTAURANT. Dunkin Brands Group, Inc., together with its subsidiaries, develops, franchises, and licenses quick service restaurants ...

Dunkin Brands Upside/Downside Indicators

Downside Deviation0.5428
Information Ratio0.1703
Maximum Drawdown2.66
Value At Risk0.79
Potential Upside1.18

Dunkin Brands Market Premium Indicators

Risk Adjusted Performance0.1988
Jensen Alpha0.2279
Total Risk Alpha0.0894
Sortino Ratio0.1963
Treynor Ratio2.40

Dunkin Brands Group Backtested Returns

We consider Dunkin Brands not too risky. Dunkin Brands Group secures Sharpe Ratio (or Efficiency) of 0.2755 which denotes Dunkin Brands Group had 0.2755% 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 technical indicators for Dunkin Brands Group which you can use to evaluate future volatility of the firm. Please confirm Dunkin Brands Group Standard Deviation of 0.6255, Mean Deviation of 0.4944 and Coefficient Of Variation of 274.58 to check if risk estimate we provide are consistent with the epected return of 0.1759%. Dunkin Brands has performance score of 18 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0907 which denotes to the fact that as returns on market increase, returns on owning Dunkin Brands are expected to decrease at a much smaller rate. During bear market, Dunkin Brands is likely to outperform the market.. 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 0.1759% will be sustainable into the future. Dunkin Brands Group right now shows a risk of 0.6383%. Please confirm Dunkin Brands Group Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Dunkin Brands Group will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.25 

Poor predictability

Dunkin Brands Group has poor predictability. Overlapping area represents the amount of predictability between Dunkin Brands time series from June 16, 2018 to July 1, 2018 and July 1, 2018 to July 16, 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 0.25 indicates that over 25.0% of current Dunkin Brands price fluctuation can be explain by its past prices.
Correlation Coefficient 0.25
Spearman Rank Test -0.04
Price Variance 1.12
Lagged Price Variance 0.06

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 Lagged Returns

 Regressed Prices 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Dunkin Brands and Biglari Holdings. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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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. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.