Ryder System Backtesting

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

Ryder System 'What if' Analysis

August 14, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 12, 2019
0.00
If you would invest  0.00  in Ryder System on August 14, 2019 and sell it all today you would earn a total of 0.00 from holding Ryder System or generate 0.0% return on investment in Ryder System over 90 days. Ryder System is related to or competes with Werner Enterprises, Amarin Plc, Amerco, Seaspan Seaspan, United Continental, Great Ajax, and Union Pacific. Ryder System, Inc. provides transportation and supply chain management solutions worldwide

Ryder System Upside/Downside Indicators

Downside Deviation2.64
Information Ratio0.0502
Maximum Drawdown12.7
Value At Risk(3.96)
Potential Upside3.97

Ryder System Market Premium Indicators

Risk Adjusted Performance0.0794
Jensen Alpha0.0838
Total Risk Alpha(0.009123)
Sortino Ratio0.0465
Treynor Ratio0.1271

Ryder System Backtested Returns

Macroaxis considers Ryder System not too volatile given 3 months investment horizon. Ryder System maintains Sharpe Ratio (i.e. Efficiency) of 0.1058 which implies the corporation had 0.1058% 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 Ryder System which you can use to evaluate future volatility of the company. Please employ Ryder System Risk Adjusted Performance of 0.0794, Coefficient Of Variation of 1191.23 and Semi Deviation of 2.38 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ryder System holds performance score of 7. The organization holds Beta of 1.5381 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Ryder System will likely underperform. Although it is vital to follow to Ryder System 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 Ryder System technical indicators you can presently evaluate if the expected return of 0.2612% will be sustainable into the future. Please employ Ryder System Sortino Ratio as well as the relationship between Semi Variance and Rate Of Daily Change to make a quick decision on weather Ryder System historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.54 
correlation synergy

Modest predictability

Ryder System has modest predictability. Overlapping area represents the amount of predictability between Ryder System time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 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 Ryder System price movement. The serial correlation of 0.54 indicates that about 54.0% of current Ryder System price fluctuation can be explain by its past prices.
Correlation Coefficient0.54
Spearman Rank Test0.56
Residual Average0.0
Price Variance5.61

Ryder System lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Ryder System regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Ryder System Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at Ryder System Hype Analysis, Ryder System Correlation, Ryder System Valuation, Ryder System Volatility as well as analyze Ryder System Alpha and Beta and Ryder System Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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