MRC Global Backtesting

MRC Global -- USA Stock  

USD 18.95  0.24  1.25%

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

MRC Global 'What if' Analysis

February 23, 2018
No Change 0.00  0.0%
In 2 months and 1 day
April 24, 2018
If you would invest  0.00  in MRC Global on February 23, 2018 and sell it all today you would earn a total of 0.00 from holding MRC Global or generate 0.0% return on investment in MRC Global over 60 days. MRC Global is related to or competes with Cheniere Energy, Enbridge Energy, TechnipFMC plc, Halliburton, Magellan Midstream, National Oilwell, and OCEANEERING INTL. MRC Global Inc., through its subsidiaries, distributes pipes, valves, fittings, and related products and services to the...

MRC Global Upside/Downside Indicators

Downside Deviation2.09
Information Ratio0.1908
Maximum Drawdown10.18
Value At Risk3.70
Potential Upside3.59

MRC Global Market Premium Indicators

Risk Adjusted Performance0.2822
Jensen Alpha0.3642
Total Risk Alpha0.4302
Sortino Ratio0.1972
Treynor Ratio2.28

MRC Global Backtested Returns

Macroaxis considers MRC Global not very risky given 2 months investment horizon. MRC Global retains Efficiency (Sharpe Ratio) of 0.1409 which conveys that MRC Global had 0.1409% of return per unit of risk over the last 2 months. Our philosophy in estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for MRC Global which you can use to evaluate future volatility of the firm. Please exercise MRC Global Semi Deviation of 1.79, Market Risk Adjusted Performance of 2.29 and Mean Deviation of 1.64 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 MRC Global holds performance score of 9. The company owns Beta (Systematic Risk) of 0.1558 which conveys that as returns on market increase, MRC Global returns are expected to increase less than the market. However during bear market, the loss on holding MRC Global will be expected to be smaller as well.. Although it is vital to follow to MRC Global existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The philosophy in 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 MRC Global technical indicators you can now evaluate if the expected return of 0.2961% will be sustainable into the future. Please exercises MRC Global Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to make a quick decision on weather MRC Global current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.63 

Good predictability

MRC Global has good predictability. Overlapping area represents the amount of predictability between MRC Global time series from February 23, 2018 to March 25, 2018 and March 25, 2018 to April 24, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MRC Global price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current MRC Global price fluctuation can be explain by its past prices.
Correlation Coefficient 0.63
Spearman Rank Test 0.63
Price Variance 1.08
Lagged Price Variance 0.23

MRC Global lagged returns against current returns

 Current and Lagged Values 

MRC Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MRC Global Lagged Returns

 Regressed Prices 

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Please see also MRC Global Hype Analysis, MRC Global Correlation, MRC Global Valuation, MRC Global Volatility as well as analyze MRC Global Alpha and Beta and MRC Global Performance. Please also try Crypto Portfolio Optimizer module to optimize portfolio of digital coins and token across multiple currency and exchanges.