Sprint Backtesting

S -- USA Stock  

USD 5.46  0.01  0.18%

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

Sprint 'What if' Analysis

June 23, 2018
No Change 0.00  0.0%
In 30 days
July 23, 2018
If you would invest  0.00  in Sprint on June 23, 2018 and sell it all today you would earn a total of 0.00 from holding Sprint Corporation or generate 0.0% return on investment in Sprint over 30 days. Sprint is related to or competes with UTStarcom Holdings, ATT, Verizon Communications, Telephone, Zayo Group, and LEVEL 3. Sprint Corporation, together with its subsidiaries, provides various wireless and wireline communications products and s...

Sprint Upside/Downside Indicators

Downside Deviation1.52
Information Ratio0.07
Maximum Drawdown6.08
Value At Risk2.31
Potential Upside2.8

Sprint Market Premium Indicators

Risk Adjusted Performance0.0083
Jensen Alpha0.079
Total Risk Alpha0.40
Sortino Ratio0.08
Treynor Ratio0.0079

Sprint Backtested Returns

We consider Sprint moderately volatile. Sprint owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1079 which indicates Sprint had 0.1079% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Sprint Corporation which you can use to evaluate future volatility of the company. Please validate Sprint Semi Deviation of 1.4, Coefficient Of Variation of 39344.79 and Risk Adjusted Performance of 0.0083 to confirm if risk estimate we provide are consistent with the epected return of 0.1377%. Sprint has performance score of 7 on a scale of 0 to 100. The entity has beta of -0.7505 which indicates as returns on market increase, returns on owning Sprint are expected to decrease at a much smaller rate. During bear market, Sprint is likely to outperform the market.. Although it is extremely important to respect Sprint current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Sprint technical indicators you can presently evaluate if the expected return of 0.1377% will be sustainable into the future. Sprint right now has a risk of 1.2759%. Please validate Sprint Information Ratio and Downside Variance to decide if Sprint will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.66) 

Very good reverse predictability

Sprint Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between Sprint time series from June 23, 2018 to July 8, 2018 and July 8, 2018 to July 23, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sprint price movement. The serial correlation of -0.66 indicates that around 66.0% of current Sprint price fluctuation can be explain by its past prices. Given that Sprint Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Sprint for similar time interval.
Correlation Coefficient -0.66
Spearman Rank Test -0.26
Price Variance 0.01
Lagged Price Variance 0.01

Sprint lagged returns against current returns

 Current and Lagged Values 

Sprint regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Sprint Lagged Returns

 Regressed Prices 

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Also please take a look at Sprint Hype Analysis, Sprint Correlation, Sprint Valuation, Sprint Volatility as well as analyze Sprint Alpha and Beta and Sprint Performance. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.