Alphabet Backtesting

GOOG -- USA Stock  

USD 1,113  38.24  3.32%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alphabet and determine expected loss or profit from investing in Alphabet over given investment horizon. Please also check Alphabet Hype Analysis, Alphabet Correlation, Alphabet Valuation, Alphabet Volatility as well as analyze Alphabet Alpha and Beta and Alphabet Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Alphabet 'What if' Analysis

June 26, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 25, 2019
0.00
If you would invest  0.00  in Alphabet on June 26, 2019 and sell it all today you would earn a total of 0.00 from holding Alphabet or generate 0.0% return on investment in Alphabet over 60 days. Alphabet is related to or competes with Workday, Xunlei Limited, Teradata, Unisys New, Vmware, Sabre, and McDonalds. Alphabet Inc. provides online advertising services in the United States, Europe, the Middle East, Africa, the Asia-Pacif...

Alphabet Upside/Downside Indicators

Downside Deviation1.62
Information Ratio0.1178
Maximum Drawdown13.94
Value At Risk(2.75)
Potential Upside1.92

Alphabet Market Premium Indicators

Risk Adjusted Performance0.0779
Jensen Alpha0.263
Total Risk Alpha0.3525
Sortino Ratio0.1501
Treynor Ratio0.1181

Alphabet Backtested Returns

We consider Alphabet very steady. Alphabet secures Sharpe Ratio (or Efficiency) of 0.0425 which signifies that the organization had 0.0425% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alphabet which you can use to evaluate future volatility of the firm. Please confirm Alphabet Downside Deviation of 1.62, Mean Deviation of 1.23 and Risk Adjusted Performance of 0.0779 to double-check if risk estimate we provide are consistent with the epected return of 0.0903%. Alphabet has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.2026 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alphabet will likely underperform. Although it is extremely important to respect Alphabet historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Alphabet technical indicators you can presently evaluate if the expected return of 0.0903% will be sustainable into the future. Alphabet right now shows a risk of 2.1231%. Please confirm Alphabet Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Alphabet will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.68) 
correlation synergy

Very good reverse predictability

Alphabet has very good reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from June 26, 2019 to July 26, 2019 and July 26, 2019 to August 25, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alphabet price movement. The serial correlation of -0.68 indicates that around 68.0% of current Alphabet price fluctuation can be explain by its past prices. Given that Alphabet has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alphabet for similar time interval.
Correlation Coefficient-0.68
Spearman Rank Test-0.25
Residual Average0.0
Price Variance955.61

Alphabet lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alphabet regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alphabet Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GOOG

Alphabet Investor Sentiment

Majority of Macroaxis users are currently bullish on Alphabet. What is your sentiment towards investing in Alphabet? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please also check Alphabet Hype Analysis, Alphabet Correlation, Alphabet Valuation, Alphabet Volatility as well as analyze Alphabet Alpha and Beta and Alphabet Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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