Macys Backtesting

M -- USA Stock  

  Trading Volume Increase

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

Macys 'What if' Analysis

August 16, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 14, 2019
If you would invest  0.00  in Macys on August 16, 2019 and sell it all today you would earn a total of 0.00 from holding Macys or generate 0.0% return on investment in Macys over 90 days. Macys is related to or competes with Companhia Brasileira, Dillards, JC Penney, Nordstrom, Kohls, and Walmart. Macys, Inc., an omnichannel retail organization, operates stores, Websites, and mobile applications

Macys Upside/Downside Indicators

Information Ratio(0.1)
Maximum Drawdown14.54
Value At Risk(4.77)
Potential Upside5.13

Macys Market Premium Indicators

Risk Adjusted Performance(0.049761)
Jensen Alpha(0.43)
Total Risk Alpha(0.55)
Treynor Ratio(0.1)

Macys Backtested Returns

We consider Macys slightly risky. Macys has Sharpe Ratio of 0.0174 which conveys that the firm had 0.0174% 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 Macys which you can use to evaluate future volatility of the firm. Please verify Macys Mean Deviation of 2.42 and Risk Adjusted Performance of (0.049761) to check out if risk estimate we provide are consistent with the epected return of 0.0502%. Macys has performance score of 1 on a scale of 0 to 100. The company secures Beta (Market Risk) of 2.451 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform. Although it is extremely important to respect Macys 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 Macys technical indicators you can presently evaluate if the expected return of 0.0502% will be sustainable into the future. Macys right now secures a risk of 2.8847%. Please verify Macys Variance as well as the relationship between Value At Risk and Skewness to decide if Macys will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.11 
correlation synergy

Insignificant predictability

Macys has insignificant predictability. Overlapping area represents the amount of predictability between Macys time series from August 16, 2019 to September 30, 2019 and September 30, 2019 to November 14, 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 Macys price movement. The serial correlation of 0.11 indicates that less than 11.0% of current Macys price fluctuation can be explain by its past prices.
Correlation Coefficient0.11
Spearman Rank Test0.3
Residual Average0.0
Price Variance0.2

Macys lagged returns against current returns

 Current and Lagged Values 

Macys regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Macys Lagged Returns

 Regressed Prices 

Current Sentiment - M

Macys Investor Sentiment

Most of Macroaxis users are now bullish on Macys. What is your trading attitude regarding investing in Macys? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please see also Macys Hype Analysis, Macys Correlation, Macys Valuation, Macys Volatility as well as analyze Macys Alpha and Beta and Macys Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.