MMC NORILSK Backtesting

<div class='circular--portrait' style='background:#800000;color: #F8F8FF;font-size:4em;padding-top: 25px;;'>MN</div>
GMKN -- Russia Stock  

RUB 18,940  314.00  1.69%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MMC NORILSK NICKEL and determine expected loss or profit from investing in MMC NORILSK over given investment horizon. Please check MMC NORILSK Hype Analysis, MMC NORILSK Correlation, MMC NORILSK Valuation, MMC NORILSK Volatility as well as analyze MMC NORILSK Alpha and Beta and MMC NORILSK Performance.
Symbol
Backtest

MMC NORILSK 'What if' Analysis

0.00
04/12/2020
No Change 0.00  0.0 
In 3 months and 1 day
07/11/2020
0.00
If you would invest  0.00  in MMC NORILSK on April 12, 2020 and sell it all today you would earn a total of 0.00 from holding MMC NORILSK NICKEL or generate 0.0% return on investment in MMC NORILSK over 90 days. Public Joint Stock Company Mining and Metallurgical Company Norilsk Nickel, together with its subsidiaries, operates as ...

MMC NORILSK Upside/Downside Indicators

Downside Deviation2.82
Information Ratio0.0321
Maximum Drawdown24.68
Value At Risk(4.34)
Potential Upside4.74

MMC NORILSK Market Premium Indicators

Risk Adjusted Performance0.1569
Jensen Alpha0.264
Total Risk Alpha(0.0204)
Sortino Ratio0.037
Treynor Ratio(29.85)

MMC NORILSK NICKEL Backtested Returns

MMC NORILSK NICKEL retains Efficiency (Sharpe Ratio) of -0.0548, which conveys that the firm had -0.0548% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. MMC NORILSK exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MMC NORILSK NICKEL semi deviation of 2.26, market risk adjusted performance of (29.84), and mean deviation of 1.97 to check out the risk estimate we provide. The company owns a Beta (Systematic Risk) of -0.0088, which conveys not very significant fluctuations relative to the market. Let's try to break down what MMC NORILSK's beta means in this case. As returns on the market increase, returns on owning MMC NORILSK are expected to decrease at a much lower rate. During the bear market, MMC NORILSK is likely to outperform the market. Even though it is essential to pay attention to MMC NORILSK NICKEL existing price patterns, it is always good to be careful when utilizing equity price patterns. Our philosophy towards estimating any stock's future performance is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. MMC NORILSK exposes twenty-one different technical indicators, which can help you to evaluate its performance. MMC NORILSK NICKEL has an expected return of -0.1392%. Please be advised to verify MMC NORILSK NICKEL mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation to decide if MMC NORILSK NICKEL stock performance from the past will be repeated in the future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.59) 
correlation synergy

Good reverse predictability

MMC NORILSK NICKEL has good reverse predictability. Overlapping area represents the amount of predictability between MMC NORILSK time series from 12th of April 2020 to 27th of May 2020 and 27th of May 2020 to 11th of July 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MMC NORILSK NICKEL price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current MMC NORILSK price fluctuation can be explain by its past prices. Given that MMC NORILSK NICKEL has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MMC NORILSK for similar time interval.
Correlation Coefficient-0.59
Spearman Rank Test-0.65
Residual Average0.0
Price Variance1434033.07

MMC NORILSK NICKEL lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MMC NORILSK regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MMC NORILSK Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GMKN

MMC NORILSK NICKEL Investor Sentiment

Most of Macroaxis users are currently bullish on MMC NORILSK NICKEL. What is your trading attitude regarding investing in MMC NORILSK NICKEL? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
Please check MMC NORILSK Hype Analysis, MMC NORILSK Correlation, MMC NORILSK Valuation, MMC NORILSK Volatility as well as analyze MMC NORILSK Alpha and Beta and MMC NORILSK Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page