Realty Income Backtesting

O -- USA Stock  

Earnings Report: February 19, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Realty Income Corporation and determine expected loss or profit from investing in Realty Income over given investment horizon. Additionally take a look at Realty Income Hype Analysis, Realty Income Correlation, Realty Income Valuation, Realty Income Volatility as well as analyze Realty Income Alpha and Beta and Realty Income Performance.
Horizon     30 Days    Login   to change

Realty Income 'What if' Analysis

August 13, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 11, 2019
If you would invest  0.00  in Realty Income on August 13, 2019 and sell it all today you would earn a total of 0.00 from holding Realty Income Corporation or generate 0.0% return on investment in Realty Income over 90 days. Realty Income is related to or competes with Saul Centers, Acadia Realty, Alexanders, Brookfield Property, Cedar Realty, Agree Realty, and Realty Income. Realty Income, The Monthly Dividend Company is an SP 500 company dedicated to providing stockholders with dependable mon...

Realty Income Upside/Downside Indicators

Downside Deviation1.18
Information Ratio0.0059
Maximum Drawdown4.84
Value At Risk(1.95)
Potential Upside1.51

Realty Income Market Premium Indicators

Risk Adjusted Performance0.0772
Jensen Alpha0.0785
Total Risk Alpha(0.006309)
Sortino Ratio0.005
Treynor Ratio52.38

Realty Income Backtested Returns

We consider Realty Income very steady. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.0972 which implies the corporation had 0.0972% of return per unit of risk over the last 3 months. Our philosophy towards forecasting 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 Realty Income which you can use to evaluate future volatility of the company. Please check Realty Income Semi Deviation of 1.01, Coefficient Of Variation of 1146.49 and Risk Adjusted Performance of 0.0772 to confirm if risk estimate we provide are consistent with the epected return of 0.0999%. Realty Income has performance score of 6 on a scale of 0 to 100. The organization holds Beta of 0.0015 which implies as returns on market increase, Realty Income returns are expected to increase less than the market. However during bear market, the loss on holding Realty Income will be expected to be smaller as well. Although it is extremely important to respect Realty Income current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 Realty Income technical indicators you can presently evaluate if the expected return of 0.0999% will be sustainable into the future. Realty Income right now holds a risk of 1.0275%. Please check Realty Income Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Realty Income will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.24 
correlation synergy

Weak predictability

Realty Income Corporation has weak predictability. Overlapping area represents the amount of predictability between Realty Income time series from August 13, 2019 to September 27, 2019 and September 27, 2019 to November 11, 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 Realty Income price movement. The serial correlation of 0.24 indicates that over 24.0% of current Realty Income price fluctuation can be explain by its past prices.
Correlation Coefficient0.24
Spearman Rank Test0.27
Residual Average0.0
Price Variance2.54

Realty Income lagged returns against current returns

 Current and Lagged Values 

Realty Income regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Realty Income Lagged Returns

 Regressed Prices 

Current Sentiment - O

Realty Income Investor Sentiment

Most of Macroaxis users are now bullish on Realty Income Corporation. What is your perspective on investing in Realty Income Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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Additionally take a look at Realty Income Hype Analysis, Realty Income Correlation, Realty Income Valuation, Realty Income Volatility as well as analyze Realty Income Alpha and Beta and Realty Income Performance. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.