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

January 24, 2017
No Change 0.00  0.0%
In 31 days
February 23, 2017
If you would invest  0.00  in J M on January 24, 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 CO, DEAN FOODS, , Ingredion Incorpo, American Lorain, and GEN 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 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.
Advice Volatility Trend Exposure 
15 days auto-correlation 0.67 

Good predictability

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

 Regressed Prices 
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J M Performance vs NYSE

The median price of J M for the period between Tue, Jan 24, 2017 and Thu, Feb 23, 2017 is 137.7 with a coefficient of variation of 1.56. The daily time series for the period is distributed with a sample standard deviation of 2.14, arithmetic mean of 137.2, and mean deviation of 1.73. The Stock received some media coverage during the period.
February 8, 2017J M Dividend Paid
Price Growth (%)  
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