Mondelez International Backtesting

MDLZ -- USA Stock  

USD 54.72  0.46  0.85%

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

Mondelez International 'What if' Analysis

June 23, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 21, 2019
0.00
If you would invest  0.00  in Mondelez International on June 23, 2019 and sell it all today you would earn a total of 0.00 from holding Mondelez International or generate 0.0% return on investment in Mondelez International over 90 days. Mondelez International is related to or competes with Hershey, PARADISE INC, Kellogg, Bunge, Colgate Palmolive, and Dean Foods. Mondelez International, Inc., through its subsidiaries, manufactures and markets snack food and beverage products worldw...

Mondelez International Upside/Downside Indicators

Downside Deviation1.33
Information Ratio(0.023935)
Maximum Drawdown6.67
Value At Risk(2.41)
Potential Upside1.5

Mondelez International Market Premium Indicators

Risk Adjusted Performance0.0035
Jensen Alpha(0.021472)
Total Risk Alpha(0.030705)
Sortino Ratio(0.019897)
Treynor Ratio(0.010965)

Mondelez International Backtested Returns

Macroaxis considers Mondelez International to be very steady. Mondelez International has Sharpe Ratio of -0.015 which conveys that the firm had -0.015% of return per unit of risk over the last 3 months. Macroaxis philosophy towards estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Mondelez International exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mondelez International Mean Deviation of 0.7703, Risk Adjusted Performance of 0.0035 and Downside Deviation of 1.33 to check out risk estimate we provide. The company secures Beta (Market Risk) of 0.73 which conveys that as returns on market increase, Mondelez International returns are expected to increase less than the market. However during bear market, the loss on holding Mondelez International will be expected to be smaller as well. Even though it is essential to pay attention to Mondelez International price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Mondelez International exposes twenty-one different technical indicators which can help you to evaluate its performance. Mondelez International has expected return of -0.0171%. Please be advised to verify Mondelez International Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to decide if Mondelez International past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

Mondelez International has very weak reverse predictability. Overlapping area represents the amount of predictability between Mondelez International time series from June 23, 2019 to August 7, 2019 and August 7, 2019 to September 21, 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 Mondelez International price movement. The serial correlation of -0.03 indicates that only 3.0% of current Mondelez International price fluctuation can be explain by its past prices. Given that Mondelez International has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Mondelez International for similar time interval.
Correlation Coefficient-0.03
Spearman Rank Test-0.26
Residual Average0.0
Price Variance0.66

Mondelez International lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Mondelez International regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Mondelez International Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - MDLZ

Mondelez International Investor Sentiment

Most of Macroaxis users are now bullish on Mondelez International. What is your trading attitude regarding investing in Mondelez International? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please see also Mondelez International Hype Analysis, Mondelez International Correlation, Mondelez International Valuation, Mondelez International Volatility as well as analyze Mondelez International Alpha and Beta and Mondelez International Performance. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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