Miller Opportunity Backtesting

LGOAX -- USA Fund  

USD 26.87  0.50  1.83%

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

Miller Opportunity 'What if' Analysis

October 14, 2018
No Change 0.00  0.0%
In 31 days
November 13, 2018
If you would invest  0.00  in Miller Opportunity on October 14, 2018 and sell it all today you would earn a total of 0.00 from holding Miller Opportunity A or generate 0.0% return on investment in Miller Opportunity over 30 days. Miller Opportunity is related to or competes with Vanguard Extended, Vanguard Extended, JPMorgan Mid, JHancock Disciplined, JHancock Disciplined, JHancock Disciplined, and JHancock Disciplined. The fund invests in securities, derivatives and other financial instruments that, in the portfolio manager opinion, offe...

Miller Opportunity Upside/Downside Indicators

Downside Deviation2.25
Information Ratio0.042064
Maximum Drawdown8.9
Value At Risk1.96
Potential Upside3.39

Miller Opportunity Market Premium Indicators

Risk Adjusted Performance0.0482
Jensen Alpha0.21
Total Risk Alpha0.24
Sortino Ratio0.040561
Treynor Ratio0.0417

Miller Opportunity Backtested Returns

We consider Miller Opportunity not too volatile. Miller Opportunity has Sharpe Ratio of 0.0122 which conveys that Miller Opportunity had 0.0122% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Miller Opportunity which you can use to evaluate future volatility of the organization. Please verify Miller Opportunity A Downside Deviation of 2.25, Mean Deviation of 1.61 and Risk Adjusted Performance of 0.0482 to check out if risk estimate we provide are consistent with the epected return of 0.0268%. The fund secures Beta (Market Risk) of 1.7304 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Miller Opportunity will likely underperform.. Although it is extremely important to respect Miller Opportunity price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Miller Opportunity technical indicators you can presently evaluate if the expected return of 0.0268% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 
correlation synergy

Very good reverse predictability

Miller Opportunity A has very good reverse predictability. Overlapping area represents the amount of predictability between Miller Opportunity time series from October 14, 2018 to October 29, 2018 and October 29, 2018 to November 13, 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 Miller Opportunity price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Miller Opportunity price fluctuation can be explain by its past prices. Given that Miller Opportunity A has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Miller Opportunity for similar time interval.
Correlation Coefficient-0.61
Spearman Rank Test-0.87
Residual Average0.0
Price Variance0.67

Miller Opportunity lagged returns against current returns

 Current and Lagged Values 

Miller Opportunity regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Miller Opportunity Lagged Returns

 Regressed Prices 

Current Sentiment - LGOAX

Miller Opportunity Investor Sentiment

Macroaxis portfolio users are evenly split in their trading attitude regarding investing in Miller Opportunity A. What is your trading attitude regarding investing in Miller Opportunity A? Are you bullish or bearish?
50% Bullish
50% Bearish

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Please see also Miller Opportunity Hype Analysis, Miller Opportunity Correlation, Portfolio Optimization, Miller Opportunity Volatility as well as analyze Miller Opportunity Alpha and Beta and Miller Opportunity Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.