J M Backtesting

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

J M 'What if' Analysis

March 31, 2017
No Change 0.00  0.0%
In 31 days
April 30, 2017
If you would invest  0.00  in J M on March 31, 2017 and sell it all today you would earn a total of 0.00 from holding The J M Smucker Company or generate 0.0% return on investment in J M over 30 days. J M is related to or competes with Kellogg, Dean Foods, Pinnacle Foods, Ingredion Incorporated, American Lorain, and General Mills. It operates through U.S. Retail Coffee, U.S

J M Upside/Downside Indicators


J M Market Premium Indicators

The J M lagged returns against current returns

 Current and Lagged Values 
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J M regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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The J M Backtested Returns

Macroaxis considers J M to be not too risky. The J M holds Efficiency (Sharpe) Ratio of -0.37 which attests that The J M had -0.37% 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 (0.80) and Risk Adjusted Performance of (0.23) 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 0.2641 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 -0.1601%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.84 

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 March 31, 2017 to April 15, 2017 and April 15, 2017 to April 30, 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 0.84 indicates that around 84.0% of current J M price fluctuation can be explain by its past prices.
Correlation Coefficient 0.84
Spearman Rank Test 0.95
Price Variance 0.29
Lagged Price Variance 1.86

J M Lagged Returns

 Regressed Prices 
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J M Performance vs NYSE

The median price of J M for the period between Fri, Mar 31, 2017 and Sun, Apr 30, 2017 is 128.01 with a coefficient of variation of 1.42. The daily time series for the period is distributed with a sample standard deviation of 1.82, arithmetic mean of 128.57, and mean deviation of 1.56. The Stock received some media coverage during the period.
Price Growth (%)  
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Auxier Asset Management Lowers Stake in J M Smucker Co03/30/2017
J M Smucker Co Shares Bought by Bartlett and Co. LLC04/28/2017