GoPro Backtesting

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GPRO -- USA Stock  

Report: 6th of August 2020  

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

GoPro 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in GoPro on April 10, 2020 and sell it all today you would earn a total of 0.00 from holding GoPro Inc or generate 0.0% return on investment in GoPro over 90 days. GoPro is related to or competes with Hamilton Beach, LG Display, Emerson Radio, Mohawk Group, Turtle Beach, and IRobot. GoPro, Inc. develops and sells cameras, drones, and mountable and wearable accessories in the United States and internat...

GoPro Upside/Downside Indicators

Downside Deviation5.08
Information Ratio0.241
Maximum Drawdown24.6
Value At Risk(6.21)
Potential Upside9.09

GoPro Market Premium Indicators

Risk Adjusted Performance0.5154
Jensen Alpha1.01
Total Risk Alpha0.8708
Sortino Ratio0.2186
Treynor Ratio0.7725

GoPro Inc Backtested Returns

GoPro appears to be unstable, given 3 months investment horizon. GoPro Inc holds Efficiency (Sharpe) Ratio of 0.22, which attests that the entity had 0.22% of return per unit of volatility over the last 3 months. Our approach into determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating GoPro Inc technical indicators you can presently evaluate if the expected return of 0.99% is justified by implied risk. Please utilize GoPro risk adjusted performance of 0.5154, and market risk adjusted performance of 0.7825 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, GoPro holds a performance score of 15. The company retains a Market Volatility (i.e. Beta) of 1.6449, which attests to somewhat significant risk relative to the market. Let's try to break down what GoPro's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, GoPro will likely underperform. Although it is vital to follow to GoPro Inc current price history, it is good to be conservative about what you can do with the information regarding equity current price movements. The approach into 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. We have found twenty-eight technical indicators for GoPro Inc, which you can use to evaluate the performance of the firm. Please utilizes GoPro maximum drawdown, as well as the relationship between the expected short fall and rate of daily change to make a quick decision on whether GoPro Inc current trending patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.13 
correlation synergy

Insignificant predictability

GoPro Inc has insignificant predictability. Overlapping area represents the amount of predictability between GoPro time series from 10th of April 2020 to 25th of May 2020 and 25th of May 2020 to 9th 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 GoPro Inc price movement. The serial correlation of 0.13 indicates that less than 13.0% of current GoPro price fluctuation can be explain by its past prices.
Correlation Coefficient0.13
Spearman Rank Test0.11
Residual Average0.0
Price Variance0.04

GoPro Inc lagged returns against current returns

 Current and Lagged Values 

GoPro regressed lagged prices vs. current prices

 Current vs Lagged Prices 

GoPro Lagged Returns

 Regressed Prices 

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Please check GoPro Hype Analysis, GoPro Correlation, GoPro Valuation, GoPro Volatility as well as analyze GoPro Alpha and Beta and GoPro Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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