GlaxoSmithKline Backtesting

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GSK -- USA Stock  

Report: 22nd of July 2020  

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

GlaxoSmithKline PLC 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in GlaxoSmithKline PLC on April 13, 2020 and sell it all today you would earn a total of 0.00 from holding GlaxoSmithKline PLC or generate 0.0% return on investment in GlaxoSmithKline PLC over 90 days. GlaxoSmithKline PLC is related to or competes with Gilead Sciences, Merck, Grifols S, Johnson Johnson, Bristol Myers, and GW Pharmaceuticals. GlaxoSmithKline plc engages in the creation, discovery, development, manufacture, and marketing of pharmaceutical produc...

GlaxoSmithKline PLC Upside/Downside Indicators

Downside Deviation1.86
Information Ratio(0.05)
Maximum Drawdown10.16
Value At Risk(2.10)
Potential Upside2.1

GlaxoSmithKline PLC Market Premium Indicators

Risk Adjusted Performance0.1216
Jensen Alpha0.1213
Total Risk Alpha(0.05)
Sortino Ratio(0.043774)
Treynor Ratio(0.64)

GlaxoSmithKline PLC Backtested Returns

We consider GlaxoSmithKline PLC very steady. GlaxoSmithKline PLC holds Efficiency (Sharpe) Ratio of 0.0324, which attests that the entity had 0.0324% of return per unit of standard deviation over the last 3 months. Our philosophy in 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-eight technical indicators for GlaxoSmithKline PLC, which you can use to evaluate future volatility of the firm. Please check out GlaxoSmithKline PLC risk adjusted performance of 0.1216, and market risk adjusted performance of (0.63) to validate if the risk estimate we provide is consistent with the expected return of 0.0493%. GlaxoSmithKline PLC has performance score of 2 on a scale of 0 to 100. The company retains a Market Volatility (i.e. Beta) of -0.1495, which attests to not very significant fluctuations relative to the market. Let's try to break down what GlaxoSmithKline's beta means in this case. As returns on the market increase, returns on owning GlaxoSmithKline PLC are expected to decrease at a much lower rate. During the bear market, GlaxoSmithKline PLC is likely to outperform the market. Although it is extremely important to respect GlaxoSmithKline PLC current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy in 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 GlaxoSmithKline PLC technical indicators, you can presently evaluate if the expected return of 0.0493% will be sustainable into the future. GlaxoSmithKline PLC right now retains a risk of 1.52%. Please check out GlaxoSmithKline PLC coefficient of variation, semi variance, price action indicator, as well as the relationship between the treynor ratio and daily balance of power to decide if GlaxoSmithKline PLC will be following its current trending patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

GlaxoSmithKline PLC has no correlation between past and present. Overlapping area represents the amount of predictability between GlaxoSmithKline PLC time series from 13th of April 2020 to 28th of May 2020 and 28th of May 2020 to 12th 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 GlaxoSmithKline PLC price movement. The serial correlation of 0.0 indicates that just 0.0% of current GlaxoSmithKline PLC price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test-0.19
Residual Average0.0
Price Variance0.5

GlaxoSmithKline PLC lagged returns against current returns

 Current and Lagged Values 

GlaxoSmithKline PLC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

GlaxoSmithKline PLC Lagged Returns

 Regressed Prices 

Current Sentiment - GSK

GlaxoSmithKline PLC Investor Sentiment

Predominant part of Macroaxis users are currently bullish on GlaxoSmithKline PLC. What is your judgment towards investing in GlaxoSmithKline PLC? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please check GlaxoSmithKline PLC Hype Analysis, GlaxoSmithKline PLC Correlation, GlaxoSmithKline PLC Valuation, GlaxoSmithKline PLC Volatility as well as analyze GlaxoSmithKline PLC Alpha and Beta and GlaxoSmithKline PLC Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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