Halliburton Backtesting

HAL -- USA Stock  

USD 39.80  0.24  0.61%

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

Halliburton 'What if' Analysis

September 18, 2018
No Change 0.00  0.0%
In 31 days
October 18, 2018
If you would invest  0.00  in Halliburton on September 18, 2018 and sell it all today you would earn a total of 0.00 from holding Halliburton Company or generate 0.0% return on investment in Halliburton over 30 days. Halliburton is related to or competes with Exterran. Halliburton Company provides a range of services and products to oil and natural gas companies worldwide

Halliburton Upside/Downside Indicators

Information Ratio0.0217
Maximum Drawdown5.17
Value At Risk2.14
Potential Upside1.28

Halliburton Market Premium Indicators

Risk Adjusted Performance0.06
Jensen Alpha0.003
Total Risk Alpha0.0277
Treynor Ratio0.1

Halliburton Backtested Returns

We consider Halliburton not too risky. Halliburton holds Efficiency (Sharpe) Ratio of 0.0744 which attests that Halliburton had 0.0744% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 Halliburton which you can use to evaluate future volatility of the corporation. Please check out Halliburton Market Risk Adjusted Performance of 0.09 and Risk Adjusted Performance of 0.06 to validate if risk estimate we provide are consistent with the epected return of 0.0991%. Halliburton has performance score of 4 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.7875 which attests that as returns on market increase, Halliburton returns are expected to increase less than the market. However during bear market, the loss on holding Halliburton will be expected to be smaller as well.. Although it is extremely important to respect Halliburton current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Halliburton technical indicators you can presently evaluate if the expected return of 0.0991% will be sustainable into the future. Halliburton right now retains a risk of 1.3314%. Please check out Halliburton Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Halliburton will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 

Modest reverse predictability

Halliburton Company has modest reverse predictability. Overlapping area represents the amount of predictability between Halliburton time series from September 18, 2018 to October 3, 2018 and October 3, 2018 to October 18, 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 Halliburton price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Halliburton price fluctuation can be explain by its past prices. Given that Halliburton Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Halliburton for similar time interval.
Correlation Coefficient-0.45
Spearman Rank Test-0.29
Residual Average0.0
Price Variance1.14

Halliburton lagged returns against current returns

 Current and Lagged Values 

Halliburton regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Halliburton Lagged Returns

 Regressed Prices 

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Please also check Halliburton Hype Analysis, Halliburton Correlation, Halliburton Valuation, Halliburton Volatility as well as analyze Halliburton Alpha and Beta and Halliburton Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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