Medical Properties Backtesting

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

Medical Properties 'What if' Analysis

August 24, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 22, 2019
If you would invest  0.00  in Medical Properties on August 24, 2019 and sell it all today you would earn a total of 0.00 from holding Medical Properties Trust or generate 0.0% return on investment in Medical Properties over 90 days. Medical Properties is related to or competes with Healthcare Realty, Physicians Realty, Geo Group, Healthcare Trust, LTC Properties, National Health, and Omega Healthcare. Medical Properties Trust, Inc. is a self-advised real estate investment trust formed to acquire and develop net-leased h...

Medical Properties Upside/Downside Indicators

Downside Deviation1.6
Information Ratio0.0297
Maximum Drawdown8.06
Value At Risk(1.83)
Potential Upside1.68

Medical Properties Market Premium Indicators

Risk Adjusted Performance0.0746
Jensen Alpha0.1071
Total Risk Alpha(0.029016)
Sortino Ratio0.0242
Treynor Ratio0.8032

Medical Properties Trust Backtested Returns

We consider Medical Properties not too volatile. Medical Properties Trust has Sharpe Ratio of 0.0925 which conveys that the firm had 0.0925% 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 Medical Properties which you can use to evaluate future volatility of the firm. Please verify Medical Properties Trust Risk Adjusted Performance of 0.0746, Downside Deviation of 1.6 and Mean Deviation of 0.9115 to check out if risk estimate we provide are consistent with the epected return of 0.1221%. Medical Properties has performance score of 6 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.1482 which conveys that as returns on market increase, Medical Properties returns are expected to increase less than the market. However during bear market, the loss on holding Medical Properties will be expected to be smaller as well. Although it is extremely important to respect Medical Properties Trust 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 Medical Properties Trust technical indicators you can presently evaluate if the expected return of 0.1221% will be sustainable into the future. Medical Properties Trust right now secures a risk of 1.3201%. Please verify Medical Properties Trust Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to decide if Medical Properties Trust will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.08) 
correlation synergy

Very weak reverse predictability

Medical Properties Trust has very weak reverse predictability. Overlapping area represents the amount of predictability between Medical Properties time series from August 24, 2019 to October 8, 2019 and October 8, 2019 to November 22, 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 Medical Properties Trust price movement. The serial correlation of -0.08 indicates that barely 8.0% of current Medical Properties price fluctuation can be explain by its past prices. Given that Medical Properties Trust has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Medical Properties for similar time interval.
Correlation Coefficient-0.08
Spearman Rank Test0.1
Residual Average0.0
Price Variance0.18

Medical Properties Trust lagged returns against current returns

 Current and Lagged Values 

Medical Properties regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Medical Properties Lagged Returns

 Regressed Prices 

Current Sentiment - MPW

Medical Properties Trust Investor Sentiment

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

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Please see also Medical Properties Hype Analysis, Medical Properties Correlation, Medical Properties Valuation, Medical Properties Volatility as well as analyze Medical Properties Alpha and Beta and Medical Properties Performance. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.