The J M Backtested Returns
We consider J M not too risky. The J M
holds Efficiency (Sharpe) Ratio of 0.2735 which attests that The J M
had 0.2735% 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-one technical indicators
for The J M which you can use to evaluate future volatility of the corporation. Please check out J M Market Risk Adjusted Performance
of (0.22), Risk Adjusted Performance of 0.086 and Downside Deviation of 0.5248 to validate if risk estimate we provide are consistent with the epected return of 0.1757%. J M has performance score of 18 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.5213 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 0.1757% will be sustainable into the future. The J M right now retains risk of 0.6424%. Please check out J M Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if J M will be following its current trading patterns.
|15 days auto-correlation||(0.25) |
Weak reverse predictability
The J M Smucker Company has weak reverse predictability. Overlapping area represents the amount of predictability between J M time series from December 21, 2016 to January 5, 2017 and January 5, 2017 to January 20, 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 -0.25 indicates that over 25.0% of current J M price fluctuation can be explain by its past prices. Given that The J M Smucker Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of J M for similar time interval.
|Correlation Coefficient|| -0.25|
|Spearman Rank Test|| -0.09|
|Price Variance|| 2.84|
|Lagged Price Variance|| 0.23|
J M Lagged Returns