Genesis Backtesting

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GNE -- New Zealand Stock  

NZD 2.88  0.02  0.69%

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

Genesis Energy 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in Genesis Energy on April 14, 2020 and sell it all today you would earn a total of 0.00 from holding Genesis Energy Limited or generate 0.0% return on investment in Genesis Energy over 90 days. Genesis Energy is related to or competes with Meridian Energy, and Contact Energy. Genesis Energy Limited generates, trades in, and sells electricity to residential and business customers in New Zealand

Genesis Energy Upside/Downside Indicators

Downside Deviation2.58
Information Ratio0.0529
Maximum Drawdown16.56
Value At Risk(3.10)
Potential Upside2.94

Genesis Energy Market Premium Indicators

Risk Adjusted Performance0.2425
Jensen Alpha0.3293
Total Risk Alpha0.0726
Sortino Ratio0.0479
Treynor Ratio(1.79)

Genesis Energy Backtested Returns

We consider Genesis Energy moderately volatile. Genesis Energy holds Efficiency (Sharpe) Ratio of 0.0323, which attests that the entity had 0.0323% of return per unit of risk over the last 3 months. Our standpoint towards determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Genesis Energy, which you can use to evaluate future volatility of the firm. Please check out Genesis Energy risk adjusted performance of 0.2425, downside deviation of 2.58, and market risk adjusted performance of (1.78) to validate if the risk estimate we provide is consistent with the expected return of 0.067%. Genesis Energy has performance score of 2 on a scale of 0 to 100. The company retains a Market Volatility (i.e. Beta) of -0.1673, which attests to not very significant fluctuations relative to the market. Let's try to break down what Genesis's beta means in this case. As returns on the market increase, returns on owning Genesis Energy are expected to decrease at a much lower rate. During the bear market, Genesis Energy is likely to outperform the market. Although it is extremely important to respect Genesis Energy current price history, it is better to be realistic regarding the information on 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 Genesis Energy technical indicators, you can presently evaluate if the expected return of 0.067% will be sustainable into the future. Genesis Energy right now retains a risk of 2.07%. Please check out Genesis Energy maximum drawdown, semi variance, and the relationship between the jensen alpha and potential upside to decide if Genesis Energy will be following its current trending patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.34) 
correlation synergy

Poor reverse predictability

Genesis Energy Limited has poor reverse predictability. Overlapping area represents the amount of predictability between Genesis Energy time series from 14th of April 2020 to 29th of May 2020 and 29th of May 2020 to 13th 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 Genesis Energy price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Genesis Energy price fluctuation can be explain by its past prices. Given that Genesis Energy Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Genesis Energy for similar time interval.
Correlation Coefficient-0.34
Spearman Rank Test-0.2
Residual Average0.0
Price Variance0.01

Genesis Energy lagged returns against current returns

 Current and Lagged Values 

Genesis Energy regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Genesis Energy Lagged Returns

 Regressed Prices 

Current Sentiment - GNE

Genesis Energy Investor Sentiment

Most of Macroaxis users are currently bullish on Genesis Energy Limited. What is your judgment towards investing in Genesis Energy Limited? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please check Genesis Energy Hype Analysis, Genesis Energy Correlation, Genesis Energy Valuation, Genesis Energy Volatility as well as analyze Genesis Energy Alpha and Beta and Genesis Energy Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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