Marriott International Backtesting

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

Marriott International 'What if' Analysis

September 10, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 9, 2019
If you would invest  0.00  in Marriott International on September 10, 2019 and sell it all today you would earn a total of 0.00 from holding Marriott International or generate 0.0% return on investment in Marriott International over 90 days. Marriott International is related to or competes with Hyatt Hotels, Choice Hotels, GreenTree Hospitality, Hilton Worldwide, Intercontinental, Huazhu Group, and Intergroup. Marriott International, Inc. operates, franchises, and licenses hotel, residential, and timeshare properties worldwide

Marriott International Upside/Downside Indicators

Downside Deviation1.29
Information Ratio0.0721
Maximum Drawdown5.47
Value At Risk(2.04)
Potential Upside2.46

Marriott International Market Premium Indicators

Risk Adjusted Performance0.0842
Jensen Alpha0.0683
Total Risk Alpha0.023
Sortino Ratio0.0693
Treynor Ratio0.1141

Marriott International Backtested Returns

We consider Marriott International very steady. Marriott International has Sharpe Ratio of 0.0995 which conveys that the firm had 0.0995% 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-eight technical indicators for Marriott International which you can use to evaluate future volatility of the firm. Please verify Marriott International Mean Deviation of 0.969, Risk Adjusted Performance of 0.0842 and Downside Deviation of 1.29 to check out if risk estimate we provide are consistent with the epected return of 0.1234%. Marriott International has performance score of 6 on a scale of 0 to 100. The company secures Beta (Market Risk) of 1.3376 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Marriott International will likely underperform. Although it is extremely important to respect Marriott International 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 Marriott International technical indicators you can presently evaluate if the expected return of 0.1234% will be sustainable into the future. Marriott International right now secures a risk of 1.24%. Please verify Marriott International Value At Risk as well as the relationship between Skewness and Day Median Price to decide if Marriott International will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.76) 
correlation synergy

Almost perfect reverse predictability

Marriott International has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Marriott International time series from September 10, 2019 to October 25, 2019 and October 25, 2019 to December 9, 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 Marriott International price movement. The serial correlation of -0.76 indicates that around 76.0% of current Marriott International price fluctuation can be explain by its past prices. Given that Marriott International has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Marriott International for similar time interval.
Correlation Coefficient-0.76
Spearman Rank Test-0.64
Residual Average0.0
Price Variance25.68

Marriott International lagged returns against current returns

 Current and Lagged Values 

Marriott International regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Marriott International Lagged Returns

 Regressed Prices 

Current Sentiment - MAR

Marriott International Investor Sentiment

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

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Please see also Marriott International Hype Analysis, Marriott International Correlation, Marriott International Valuation, Marriott International Volatility as well as analyze Marriott International Alpha and Beta and Marriott International Performance. Please also try Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.