Alphabet Backtesting

GOOGL -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

September 13, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 12, 2019
0.00
If you would invest  0.00  in Alphabet on September 13, 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 90 days. Alphabet is related to or competes with Facebook, IQIYI, Jianpu Technology, Douyu International, EverQuote, Phoenix New, and IACInterActiveCorp. Alphabet Inc. provides online advertising services in the United States, Europe, the Middle East, Africa, the Asia-Pacif...

Alphabet Upside/Downside Indicators

Downside Deviation0.9356
Information Ratio0.121
Maximum Drawdown4.59
Value At Risk(1.33)
Potential Upside1.87

Alphabet Market Premium Indicators

Risk Adjusted Performance0.1119
Jensen Alpha0.1545
Total Risk Alpha0.0896
Sortino Ratio0.1262
Treynor Ratio0.7719

Alphabet Backtested Returns

We consider Alphabet very steady. Alphabet secures Sharpe Ratio (or Efficiency) of 0.1406 which signifies that the organization had 0.1406% of return per unit of risk over the last 3 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 0.9356, Risk Adjusted Performance of 0.1119 and Mean Deviation of 0.7521 to double-check if risk estimate we provide are consistent with the epected return of 0.1379%. Alphabet has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.213 which signifies that as returns on market increase, Alphabet returns are expected to increase less than the market. However during bear market, the loss on holding Alphabet will be expected to be smaller as well. 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 0.1379% will be sustainable into the future. Alphabet right now shows a risk of 0.9807%. Please confirm Alphabet Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Alphabet will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.22 
correlation synergy

Weak predictability

Alphabet has weak predictability. Overlapping area represents the amount of predictability between Alphabet time series from September 13, 2019 to October 28, 2019 and October 28, 2019 to December 12, 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 0.22 indicates that over 22.0% of current Alphabet price fluctuation can be explain by its past prices.
Correlation Coefficient0.22
Spearman Rank Test0.4
Residual Average0.0
Price Variance560.09

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 

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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 Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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