Nike Backtesting

<div class='circular--portrait' style='background:#FCD202;color: white;font-size:3em;padding-top: 40px;;'>NIK</div>
NKE -- USA Stock  

Fiscal Quarter End: February 29, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Nike and determine expected loss or profit from investing in Nike over given investment horizon. Additionally, see Nike Hype Analysis, Nike Correlation, Nike Valuation, Nike Volatility as well as analyze Nike Alpha and Beta and Nike Performance.

Nike 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Nike on November 30, 2019 and sell it all today you would earn a total of 0.00 from holding Nike or generate 0.0% return on investment in Nike over 90 days. Nike is related to or competes with Foot Locker, Continental, Forward Industries, Crocs, Deckers Outdoor, and McDonalds. NIKE, Inc., together with its subsidiaries, designs, develops, markets, and sells athletic footwear, apparel, equipment,...

Nike Upside/Downside Indicators

Information Ratio0.0498
Maximum Drawdown7.41
Value At Risk(2.81)
Potential Upside2.13

Nike Market Premium Indicators

Risk Adjusted Performance(0.05)
Jensen Alpha(0.043902)
Total Risk Alpha0.09
Treynor Ratio(0.35)

Nike Backtested Returns

Macroaxis considers Nike to be very steady. Nike has Sharpe Ratio of -0.0456 which conveys that the firm had -0.0456% 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. Nike exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nike Risk Adjusted Performance of (0.05) and Mean Deviation of 0.9269 to check out risk estimate we provide. The company secures Beta (Market Risk) of 0.2126, which conveys that as returns on market increase, Nike returns are expected to increase less than the market. However during bear market, the loss on holding Nike will be expected to be smaller as well. Even though it is essential to pay attention to Nike 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. Nike exposes twenty-eight different technical indicators, which can help you to evaluate its performance. Nike has an expected return of -0.063%. Please be advised to verify Nike Sortino Ratio, Skewness, Price Action Indicator, as well as the relationship between Potential Upside and Rate Of Daily Change to decide if Nike stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.45) 
correlation synergy

Modest reverse predictability

Nike has modest reverse predictability. Overlapping area represents the amount of predictability between Nike time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Nike price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Nike price fluctuation can be explain by its past prices. Given that Nike has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Nike for similar time interval.
Correlation Coefficient-0.45
Spearman Rank Test-0.16
Residual Average0.0
Price Variance5.16

Nike lagged returns against current returns

 Current and Lagged Values 

Nike regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nike Lagged Returns

 Regressed Prices 

Current Sentiment - NKE

Nike Investor Sentiment

Predominant part of Macroaxis users are now bullish on Nike. What is your trading attitude regarding investing in Nike? Are you bullish or bearish?
98% Bullish
2% Bearish

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
Additionally, see Nike Hype Analysis, Nike Correlation, Nike Valuation, Nike Volatility as well as analyze Nike Alpha and Beta and Nike Performance. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.