Nike Backtesting

NKE -- USA Stock  

USD 88.08  0.49  0.56%

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. Please see also Nike Hype Analysis, Nike Correlation, Nike Valuation, Nike Volatility as well as analyze Nike Alpha and Beta and Nike Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Nike 'What if' Analysis

June 21, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 19, 2019
0.00
If you would invest  0.00  in Nike on June 21, 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, Inc., together with its subsidiaries, designs, develops, markets, and sells athletic footwear, apparel, equipment,...

Nike Upside/Downside Indicators

Downside Deviation1.52
Information Ratio0.0523
Maximum Drawdown6.4
Value At Risk(2.67)
Potential Upside2.4

Nike Market Premium Indicators

Risk Adjusted Performance0.0753
Jensen Alpha0.1112
Total Risk Alpha0.0553
Sortino Ratio0.0516
Treynor Ratio11.38

Nike Backtested Returns

We consider Nike very steady. Nike has Sharpe Ratio of 0.0389 which conveys that the firm had 0.0389% 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 Nike which you can use to evaluate future volatility of the firm. Please verify Nike Downside Deviation of 1.52, Mean Deviation of 1.18 and Risk Adjusted Performance of 0.0753 to check out if risk estimate we provide are consistent with the epected return of 0.0574%. Nike has performance score of 2 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.0098 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. Although it is extremely important to respect Nike 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 Nike technical indicators you can presently evaluate if the expected return of 0.0574% will be sustainable into the future. Nike right now secures a risk of 1.4768%. Please verify Nike Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Nike will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.17) 
correlation synergy

Insignificant reverse predictability

Nike has insignificant reverse predictability. Overlapping area represents the amount of predictability between Nike time series from June 21, 2019 to August 5, 2019 and August 5, 2019 to September 19, 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 Nike price movement. The serial correlation of -0.17 indicates that over 17.0% 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-0.17
Spearman Rank Test0.2
Residual Average0.0
Price Variance9.25

Nike lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Nike regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Nike Lagged Returns

 Regressed Prices 
      Timeline 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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Please see also Nike Hype Analysis, Nike Correlation, Nike Valuation, Nike Volatility as well as analyze Nike Alpha and Beta and Nike Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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