Kellogg Backtesting

K -- 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 Kellogg Company and determine expected loss or profit from investing in Kellogg over given investment horizon. Please see also Kellogg Hype Analysis, Kellogg Correlation, Kellogg Valuation, Kellogg Volatility as well as analyze Kellogg Alpha and Beta and Kellogg Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Kellogg 'What if' Analysis

September 8, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 7, 2019
0.00
If you would invest  0.00  in Kellogg on September 8, 2019 and sell it all today you would earn a total of 0.00 from holding Kellogg Company or generate 0.0% return on investment in Kellogg over 90 days. Kellogg is related to or competes with Lamb Weston, DAVIDsTEA, Farmmi Inc, Farmer Brothers, BG Foods, and ConAgra Brands. Kellogg Company, together with its subsidiaries, manufactures and markets ready-to-eat cereal and convenience foods

Kellogg Upside/Downside Indicators

Downside Deviation0.8874
Information Ratio0.0114
Maximum Drawdown4.14
Value At Risk(1.34)
Potential Upside1.61

Kellogg Market Premium Indicators

Risk Adjusted Performance0.0577
Jensen Alpha0.0455
Total Risk Alpha(0.023811)
Sortino Ratio0.012
Treynor Ratio0.1649

Kellogg Company Backtested Returns

We consider Kellogg very steady. Kellogg Company has Sharpe Ratio of 0.0585 which conveys that the firm had 0.0585% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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 Kellogg which you can use to evaluate future volatility of the firm. Please verify Kellogg Company Mean Deviation of 0.7101, Downside Deviation of 0.8874 and Risk Adjusted Performance of 0.0577 to check out if risk estimate we provide are consistent with the epected return of 0.0532%. Kellogg has performance score of 3 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.447 which conveys that as returns on market increase, Kellogg returns are expected to increase less than the market. However during bear market, the loss on holding Kellogg will be expected to be smaller as well. Although it is extremely important to respect Kellogg Company price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 Kellogg Company technical indicators you can presently evaluate if the expected return of 0.0532% will be sustainable into the future. Kellogg Company right now secures a risk of 0.9095%. Please verify Kellogg Company Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Kellogg Company will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.66) 
correlation synergy

Very good reverse predictability

Kellogg Company has very good reverse predictability. Overlapping area represents the amount of predictability between Kellogg time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 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 Kellogg Company price movement. The serial correlation of -0.66 indicates that around 66.0% of current Kellogg price fluctuation can be explain by its past prices. Given that Kellogg Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Kellogg for similar time interval.
Correlation Coefficient-0.66
Spearman Rank Test-0.67
Residual Average0.0
Price Variance1.86

Kellogg Company lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Kellogg regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Kellogg Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also Kellogg Hype Analysis, Kellogg Correlation, Kellogg Valuation, Kellogg Volatility as well as analyze Kellogg Alpha and Beta and Kellogg Performance. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.
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