Owens Corning Backtesting

OC -- 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 Owens Corning and determine expected loss or profit from investing in Owens Corning over given investment horizon. Additionally take a look at Owens Corning Hype Analysis, Owens Corning Correlation, Owens Corning Valuation, Owens Corning Volatility as well as analyze Owens Corning Alpha and Beta and Owens Corning Performance.
Horizon     30 Days    Login   to change

Owens Corning 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
If you would invest  0.00  in Owens Corning on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding Owens Corning or generate 0.0% return on investment in Owens Corning over 90 days. Owens Corning is related to or competes with Quanex Building, Masonite International, Alpha Pro, Armstrong World, TopBuild Corp, and Bluelinx Holdings. Owens Corning, together with its subsidiaries, produces and sells glass fiber reinforcements and other materials for com...

Owens Corning Upside/Downside Indicators

Downside Deviation1.89
Information Ratio0.1069
Maximum Drawdown7.79
Value At Risk(2.98)
Potential Upside3.23

Owens Corning Market Premium Indicators

Risk Adjusted Performance0.1349
Jensen Alpha0.1265
Total Risk Alpha0.027
Sortino Ratio0.0977
Treynor Ratio0.1973

Owens Corning Backtested Returns

Macroaxis considers Owens Corning very steady given 3 months investment horizon. Owens Corning maintains Sharpe Ratio (i.e. Efficiency) of 0.1487 which implies the corporation had 0.1487% 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-seven technical indicators for Owens Corning which you can use to evaluate future volatility of the company. Please employ Owens Corning Coefficient Of Variation of 560.17, Risk Adjusted Performance of 0.1349 and Semi Deviation of 1.44 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Owens Corning holds performance score of 10. The organization holds Beta of 1.5103 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Owens Corning will likely underperform. Although it is vital to follow to Owens Corning current trending patterns, it is good to be conservative about what you can actually do with the information regarding 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 Owens Corning technical indicators you can presently evaluate if the expected return of 0.2521% will be sustainable into the future. Please employ Owens Corning Jensen Alpha, Semi Variance, Day Typical Price, as well as the relationship between Maximum Drawdown and Accumulation Distribution to make a quick decision on weather Owens Corning historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.57 
correlation synergy

Modest predictability

Owens Corning has modest predictability. Overlapping area represents the amount of predictability between Owens Corning time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 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 Owens Corning price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current Owens Corning price fluctuation can be explain by its past prices.
Correlation Coefficient0.57
Spearman Rank Test0.59
Residual Average0.0
Price Variance3.16

Owens Corning lagged returns against current returns

 Current and Lagged Values 

Owens Corning regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Owens Corning Lagged Returns

 Regressed Prices 

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Additionally take a look at Owens Corning Hype Analysis, Owens Corning Correlation, Owens Corning Valuation, Owens Corning Volatility as well as analyze Owens Corning Alpha and Beta and Owens Corning Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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