McDonalds Backtesting

MCD -- USA Stock  

USD 209.85  0.67  0.32%

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

McDonalds 'What if' Analysis

June 22, 2019
No Change 0.00  0.0%
In 2 months and 31 days
September 20, 2019
If you would invest  0.00  in McDonalds on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding McDonalds Corporation or generate 0.0% return on investment in McDonalds over 90 days. McDonalds is related to or competes with Biglari Holdings, Dunkin Brands, Flanigans Enterprises, Chipotle Mexican, Dine Brands, Dominos Pizza, and Darden Restaurants. McDonalds Corporation operates and franchises McDonalds restaurants in the United States and internationally

McDonalds Upside/Downside Indicators

Downside Deviation1.19
Information Ratio0.0172
Maximum Drawdown5.21
Value At Risk(1.87)
Potential Upside1.53

McDonalds Market Premium Indicators

Risk Adjusted Performance0.0514
Jensen Alpha0.0297
Total Risk Alpha0.0134
Sortino Ratio0.0146
Treynor Ratio0.0803

McDonalds Backtested Returns

We consider McDonalds very steady. McDonalds has Sharpe Ratio of 0.0625 which conveys that the firm had 0.0625% of return per unit of risk over the last 3 months. Our approach to 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 McDonalds which you can use to evaluate future volatility of the firm. Please verify McDonalds Corporation Mean Deviation of 0.7699 and Risk Adjusted Performance of 0.0514 to check out if risk estimate we provide are consistent with the epected return of 0.0654%. McDonalds has performance score of 4 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.5854 which conveys that as returns on market increase, McDonalds returns are expected to increase less than the market. However during bear market, the loss on holding McDonalds will be expected to be smaller as well. Although it is extremely important to respect McDonalds price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach to 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 reviewing McDonalds technical indicators you can currently evaluate if the expected return of 0.0654% will be sustainable into the future. McDonalds presently secures a risk of 1.0465%. Please verify McDonalds Corporation Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if McDonalds Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

McDonalds Corporation has very weak reverse predictability. Overlapping area represents the amount of predictability between McDonalds time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 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 McDonalds price movement. The serial correlation of -0.03 indicates that only 3.0% of current McDonalds price fluctuation can be explain by its past prices. Given that McDonalds Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of McDonalds for similar time interval.
Correlation Coefficient-0.03
Spearman Rank Test-0.55
Residual Average0.0
Price Variance11.72

McDonalds lagged returns against current returns

 Current and Lagged Values 

McDonalds regressed lagged prices vs. current prices

 Current vs Lagged Prices 

McDonalds Lagged Returns

 Regressed Prices 

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Please see also McDonalds Hype Analysis, McDonalds Correlation, McDonalds Valuation, McDonalds Volatility as well as analyze McDonalds Alpha and Beta and McDonalds Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.