Sally Backtesting

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SBH -- USA Stock  

Report: 29th of July 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Sally Beauty Holdings and determine expected loss or profit from investing in Sally Beauty over given investment horizon. Additionally, take a look at Sally Beauty Hype Analysis, Sally Beauty Correlation, Sally Beauty Valuation, Sally Beauty Volatility as well as analyze Sally Beauty Alpha and Beta and Sally Beauty Performance.

Sally Beauty 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Sally Beauty on April 14, 2020 and sell it all today you would earn a total of 0.00 from holding Sally Beauty Holdings or generate 0.0% return on investment in Sally Beauty over 90 days. Sally Beauty is related to or competes with JC Penney, Rite Aid, Spectrum Brands, Target, Sprouts Farmers, and Vipshop Holdings. Sally Beauty Holdings, Inc. operates as a specialty retailer and distributor of professional beauty supplies

Sally Beauty Upside/Downside Indicators

Downside Deviation5.05
Information Ratio0.1014
Maximum Drawdown23.07
Value At Risk(7.42)
Potential Upside9.89

Sally Beauty Market Premium Indicators

Risk Adjusted Performance0.2464
Jensen Alpha0.6605
Total Risk Alpha0.2211
Sortino Ratio0.1033
Treynor Ratio5.33

Sally Beauty Holdings Backtested Returns

Sally Beauty appears to be somewhat reliable, given 3 months investment horizon. Sally Beauty Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.16, which indicates the firm had 0.16% of return per unit of risk over the last 3 months. Our standpoint towards measuring the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By inspecting Sally Beauty Holdings technical indicators you can presently evaluate if the expected return of 0.83% is justified by implied risk. Please operate Sally Beauty coefficient of variation of 743.92, risk adjusted performance of 0.2464, and semi deviation of 4.38 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sally Beauty holds a performance score of 11. The entity has a beta of 0.1277, which indicates not very significant fluctuations relative to the market. Let's try to break down what Sally's beta means in this case. As returns on the market increase, Sally Beauty returns are expected to increase less than the market. However, during the bear market, the loss on holding Sally Beauty will be expected to be smaller as well. Although it is vital to follow to Sally Beauty Holdings current price movements, it is good to be conservative about what you can do with the information regarding equity historical returns. The philosophy towards measuring 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 Sally Beauty Holdings, which you can use to evaluate the performance of the company. Please operates Sally Beauty downside variance, and the relationship between the treynor ratio and kurtosis to make a quick decision on whether Sally Beauty Holdings existing price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.52) 
correlation synergy

Good reverse predictability

Sally Beauty Holdings has good reverse predictability. Overlapping area represents the amount of predictability between Sally Beauty 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 Sally Beauty Holdings price movement. The serial correlation of -0.52 indicates that about 52.0% of current Sally Beauty price fluctuation can be explain by its past prices. Given that Sally Beauty Holdings has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Sally Beauty for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test-0.57
Residual Average0.0
Price Variance1.37

Sally Beauty Holdings lagged returns against current returns

 Current and Lagged Values 

Sally Beauty regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Sally Beauty Lagged Returns

 Regressed Prices 

Current Sentiment - SBH

Sally Beauty Holdings Investor Sentiment

Greater number of Macroaxis users are at this time bullish on Sally Beauty Holdings. What is your outlook on investing in Sally Beauty Holdings? Are you bullish or bearish?
98% Bullish
2% Bearish

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Additionally, take a look at Sally Beauty Hype Analysis, Sally Beauty Correlation, Sally Beauty Valuation, Sally Beauty Volatility as well as analyze Sally Beauty Alpha and Beta and Sally Beauty Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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