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

August 20, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 18, 2019
0.00
If you would invest  0.00  in Alphabet on August 20, 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 Groupon, Jianpu Technology, Spark Networks, Facebook, EverQuote, Gaia, and Phoenix New. Alphabet Inc. provides online advertising services in the United States, Europe, the Middle East, Africa, the Asia-Pacif...

Alphabet Upside/Downside Indicators

Downside Deviation1.16
Information Ratio0.0581
Maximum Drawdown4.98
Value At Risk(1.76)
Potential Upside1.95

Alphabet Market Premium Indicators

Risk Adjusted Performance0.1237
Jensen Alpha0.1948
Total Risk Alpha2.0E-4
Sortino Ratio0.0575
Treynor Ratio(1.40)

Alphabet Backtested Returns

We consider Alphabet very steady. Alphabet secures Sharpe Ratio (or Efficiency) of 0.1584 which signifies that the organization had 0.1584% 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 Risk Adjusted Performance of 0.1237, Mean Deviation of 0.8749 and Downside Deviation of 1.16 to double-check if risk estimate we provide are consistent with the epected return of 0.1795%. Alphabet has performance score of 10 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.1291 which signifies that as returns on market increase, returns on owning Alphabet are expected to decrease at a much smaller rate. During bear market, Alphabet is likely to outperform the market. 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 0.1795% will be sustainable into the future. Alphabet right now shows a risk of 1.1336%. 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 0.63 
correlation synergy

Good predictability

Alphabet has good predictability. Overlapping area represents the amount of predictability between Alphabet time series from August 20, 2019 to October 4, 2019 and October 4, 2019 to November 18, 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 0.63 indicates that roughly 63.0% of current Alphabet price fluctuation can be explain by its past prices.
Correlation Coefficient0.63
Spearman Rank Test0.63
Residual Average0.0
Price Variance1422.22

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 - GOOGL

Alphabet Investor Sentiment

Virtually all 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
Skip

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Search macroaxis.com