The J M Backtested Returns
Macroaxis considers J M not too risky given 1 month investment horizon. The J M
holds Efficiency (Sharpe) Ratio of 0.1684 which attests that The J M
had 0.1684% of return per unit of risk over the last 1 month. Our philosophy towards determining 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-eight technical indicators
for The J M which you can use to evaluate future volatility of the corporation. Please utilize J M Market Risk Adjusted Performance
of (0.50), Risk Adjusted Performance of 0.0889 and Downside Deviation of 0.9948 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 J M holds performance score of 11. The company retains Market Volatility (i.e. Beta) of -0.4632 which attests that as returns on market increase, returns on owning J M are expected to decrease at a much smaller rate. During bear market, J M is likely to outperform the market.. Although it is extremely important to respect The J M current price history, it is beter to be realistic about what you can do with the information about equity current price movements. The philosophy towards determining 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 evaluating The J M technical indicators you can presently evaluate if the expected return of 0.2132% will be sustainable into the future. Please utilizes J M Potential Upside, and the relationship between Total Risk Alpha and Kurtosis to make a quick decision on weather The J M Smucker Company current trading patterns will revert.
|15 days auto-correlation|| 0.67 |
The J M Smucker Company has good predictability. Overlapping area represents the amount of predictability between J M time series from January 24, 2017 to February 8, 2017 and February 8, 2017 to February 23, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of The J M price movement. The serial correlation of 0.67 indicates that around 67.0% of current J M price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.67|
|Spearman Rank Test|| 0.85|
|Price Variance|| 2.85|
|Lagged Price Variance|| 3.0|
J M Lagged Returns