The J M Backtested Returns
Macroaxis considers J M to be not too risky. The J M
holds Efficiency (Sharpe) Ratio of -0.3891 which attests that The J M
had -0.3891% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. The J M exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out J M Market Risk Adjusted Performance
of (1.19) and Risk Adjusted Performance of (0.22) to validate risk estimate we provide. Macroaxis gives J M performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.2356 which attests that as returns on market increase, J M returns are expected to increase less than the market. However during bear market, the loss on holding J M will be expected to be smaller as well.. Even though it is essential to pay attention to The J M current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. The J M exposes twenty-eight different technical indicators which can help you to evaluate its performance. The J M has expected return of -0.2654%. Please be advised to check out J M Potential Upside, and the relationship between Total Risk Alpha and Kurtosis to decide if The J M past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.85 |
Very good predictability
The J M Smucker Company has very good predictability. Overlapping area represents the amount of predictability between J M time series from February 26, 2017 to March 13, 2017 and March 13, 2017 to March 28, 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 0.85 indicates that around 85.0% of current J M price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.85|
|Spearman Rank Test|| 0.87|
|Price Variance|| 7.31|
|Lagged Price Variance|| 0.89|
J M Lagged Returns