PHOSAGRO Backtesting

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PHOR -- Russia Stock  

RUB 2,594  26.00  0.99%

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

PHOSAGRO PJSC 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in PHOSAGRO PJSC on April 12, 2020 and sell it all today you would earn a total of 0.00 from holding PHOSAGRO PJSC or generate 0.0% return on investment in PHOSAGRO PJSC over 90 days. Public Joint-Stock Company PhosAgro, together with its subsidiaries, engages in the production and distribution of apati...

PHOSAGRO PJSC Upside/Downside Indicators

Downside Deviation1.59
Information Ratio0.0107
Maximum Drawdown6.82
Value At Risk(2.17)
Potential Upside2.61

PHOSAGRO PJSC Market Premium Indicators

Risk Adjusted Performance0.2207
Jensen Alpha0.1629
Total Risk Alpha0.0434
Sortino Ratio0.0101
Treynor Ratio2.4

PHOSAGRO PJSC Backtested Returns

We consider PHOSAGRO PJSC very steady. PHOSAGRO PJSC maintains Sharpe Ratio (i.e. Efficiency) of 0.0107, which implies the firm had 0.0107% of return per unit of volatility over the last 3 months. Our approach towards forecasting 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 PHOSAGRO PJSC, which you can use to evaluate future volatility of the company. Please check PHOSAGRO PJSC risk adjusted performance of 0.2207, and semi deviation of 1.29 to confirm if the risk estimate we provide is consistent with the expected return of 0.0154%. The company holds a Beta of 0.0726, which implies not very significant fluctuations relative to the market. Let's try to break down what PHOSAGRO's beta means in this case. As returns on the market increase, PHOSAGRO PJSC returns are expected to increase less than the market. However, during the bear market, the loss on holding PHOSAGRO PJSC will be expected to be smaller as well. Although it is extremely important to respect PHOSAGRO PJSC current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The approach towards forecasting 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 inspecting PHOSAGRO PJSC technical indicators, you can now evaluate if the expected return of 0.0154% will be sustainable into the future. PHOSAGRO PJSC currently holds a risk of 1.43%. Please check PHOSAGRO PJSC information ratio, treynor ratio, value at risk, as well as the relationship between the jensen alpha and maximum drawdown to decide if PHOSAGRO PJSC will be following its historical price patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.63) 
correlation synergy

Very good reverse predictability

PHOSAGRO PJSC has very good reverse predictability. Overlapping area represents the amount of predictability between PHOSAGRO PJSC 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 PHOSAGRO PJSC price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current PHOSAGRO PJSC price fluctuation can be explain by its past prices. Given that PHOSAGRO PJSC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PHOSAGRO PJSC for similar time interval.
Correlation Coefficient-0.63
Spearman Rank Test-0.62
Residual Average0.0
Price Variance9914.77

PHOSAGRO PJSC lagged returns against current returns

 Current and Lagged Values 

PHOSAGRO PJSC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PHOSAGRO PJSC Lagged Returns

 Regressed Prices 

Current Sentiment - PHOR

PHOSAGRO PJSC Investor Sentiment

Most of Macroaxis users are at this time bullish on PHOSAGRO PJSC. What is your perspective on investing in PHOSAGRO PJSC? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please check PHOSAGRO PJSC Hype Analysis, PHOSAGRO PJSC Correlation, PHOSAGRO PJSC Valuation, PHOSAGRO PJSC Volatility as well as analyze PHOSAGRO PJSC Alpha and Beta and PHOSAGRO PJSC Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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