Jacobs Backtesting

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J -- USA Stock  

Report: 3rd of August 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Jacobs Engineering Group and determine expected loss or profit from investing in Jacobs Engineering over given investment horizon. Please see Jacobs Engineering Hype Analysis, Jacobs Engineering Correlation, Jacobs Engineering Valuation, Jacobs Engineering Volatility as well as analyze Jacobs Engineering Alpha and Beta and Jacobs Engineering Performance.

Jacobs Engineering 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Jacobs Engineering on April 12, 2020 and sell it all today you would earn a total of 0.00 from holding Jacobs Engineering Group or generate 0.0% return on investment in Jacobs Engineering over 90 days. Jacobs Engineering is related to or competes with Dycom Industries, Goldfield, Dirtt Environmental, ENERGY SERVICES, AECOM, and Argan. Jacobs Engineering Group Inc. provides consulting, technical, scientific, and project delivery services for the governme...

Jacobs Engineering Upside/Downside Indicators

Downside Deviation3.93
Information Ratio0.0067
Maximum Drawdown17.0
Value At Risk(7.74)
Potential Upside7.05

Jacobs Engineering Market Premium Indicators

Risk Adjusted Performance0.1019
Jensen Alpha0.1721
Total Risk Alpha(0.13)
Sortino Ratio0.0062
Treynor Ratio2.75

Jacobs Engineering Backtested Returns

We consider Jacobs Engineering very steady. Jacobs Engineering holds Efficiency (Sharpe) Ratio of 0.0185, which attests that the entity had 0.0185% of return per unit of risk over the last 3 months. Our standpoint towards determining the 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-eight technical indicators for Jacobs Engineering, which you can use to evaluate future volatility of the firm. Please check out Jacobs Engineering market risk adjusted performance of 2.76, downside deviation of 3.93, and risk adjusted performance of 0.1019 to validate if the risk estimate we provide is consistent with the expected return of 0.0646%. Jacobs Engineering has performance score of 1 on a scale of 0 to 100. The company retains a Market Volatility (i.e. Beta) of 0.0665, which attests to not very significant fluctuations relative to the market. Let's try to break down what Jacobs's beta means in this case. As returns on the market increase, Jacobs Engineering returns are expected to increase less than the market. However, during the bear market, the loss on holding Jacobs Engineering will be expected to be smaller as well. Although it is extremely important to respect Jacobs Engineering 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 Jacobs Engineering technical indicators, you can presently evaluate if the expected return of 0.0646% will be sustainable into the future. Jacobs Engineering right now retains a risk of 3.48%. Please check out Jacobs Engineering potential upside, rate of daily change, and the relationship between the sortino ratio and skewness to decide if Jacobs Engineering will be following its current trending patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.19) 
correlation synergy

Insignificant reverse predictability

Jacobs Engineering Group has insignificant reverse predictability. Overlapping area represents the amount of predictability between Jacobs Engineering time series from 12th of April 2020 to 27th of May 2020 and 27th of May 2020 to 11th of July 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Jacobs Engineering price movement. The serial correlation of -0.19 indicates that over 19.0% of current Jacobs Engineering price fluctuation can be explain by its past prices. Given that Jacobs Engineering Group has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Jacobs Engineering for similar time interval.
Correlation Coefficient-0.19
Spearman Rank Test0.19
Residual Average0.0
Price Variance6.71

Jacobs Engineering lagged returns against current returns

 Current and Lagged Values 

Jacobs Engineering regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Jacobs Engineering Lagged Returns

 Regressed Prices 

Current Sentiment - J

Jacobs Engineering Investor Sentiment

Macroaxis portfolio users are indifferent in their judgment towards investing in Jacobs Engineering Group. What is your judgment towards investing in Jacobs Engineering Group? Are you bullish or bearish?
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Please see Jacobs Engineering Hype Analysis, Jacobs Engineering Correlation, Jacobs Engineering Valuation, Jacobs Engineering Volatility as well as analyze Jacobs Engineering Alpha and Beta and Jacobs Engineering Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page