Sprouts Backtesting

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SFM -- 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 Sprouts Farmers Market and determine expected loss or profit from investing in Sprouts Farmers over given investment horizon. Additionally, take a look at Sprouts Farmers Hype Analysis, Sprouts Farmers Correlation, Sprouts Farmers Valuation, Sprouts Farmers Volatility as well as analyze Sprouts Farmers Alpha and Beta and Sprouts Farmers Performance.

Sprouts Farmers 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Sprouts Farmers on April 14, 2020 and sell it all today you would earn a total of 0.00 from holding Sprouts Farmers Market or generate 0.0% return on investment in Sprouts Farmers over 90 days. Sprouts Farmers is related to or competes with Sally Beauty, Rite Aid, Sysco, JC Penney, Target, Spectrum Brands, and Sprouts Farmers. Sprouts Farmers Market, Inc., a healthy grocery store, provides fresh, natural, and organic food products in the United ...

Sprouts Farmers Upside/Downside Indicators

Downside Deviation2.36
Information Ratio0.0845
Maximum Drawdown12.22
Value At Risk(3.79)
Potential Upside4.81

Sprouts Farmers Market Premium Indicators

Risk Adjusted Performance0.2705
Jensen Alpha0.3696
Total Risk Alpha0.1467
Sortino Ratio0.093
Treynor Ratio6.6

Sprouts Farmers Market Backtested Returns

Sprouts Farmers appears to be very steady, given 3 months investment horizon. Sprouts Farmers Market 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. We have found twenty-eight technical indicators for Sprouts Farmers Market, which you can use to evaluate future volatility of the company. Please operate Sprouts Farmers coefficient of variation of 667.21, risk adjusted performance of 0.2705, and semi deviation of 2.04 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sprouts Farmers holds a performance score of 10. The entity has a beta of 0.0574, which indicates not very significant fluctuations relative to the market. Let's try to break down what Sprouts's beta means in this case. As returns on the market increase, Sprouts Farmers returns are expected to increase less than the market. However, during the bear market, the loss on holding Sprouts Farmers will be expected to be smaller as well. Although it is vital to follow to Sprouts Farmers Market 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. By inspecting Sprouts Farmers Market technical indicators, you can presently evaluate if the expected return of 0.42% will be sustainable into the future. Please operates Sprouts Farmers potential upside, as well as the relationship between the kurtosis and day typical price to make a quick decision on whether Sprouts Farmers Market existing price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.13 
correlation synergy

Insignificant predictability

Sprouts Farmers Market has insignificant predictability. Overlapping area represents the amount of predictability between Sprouts Farmers 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 Sprouts Farmers Market price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Sprouts Farmers price fluctuation can be explain by its past prices.
Correlation Coefficient0.13
Spearman Rank Test-0.17
Residual Average0.0
Price Variance1.1

Sprouts Farmers Market lagged returns against current returns

 Current and Lagged Values 

Sprouts Farmers regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Sprouts Farmers Lagged Returns

 Regressed Prices 

Current Sentiment - SFM

Sprouts Farmers Market Investor Sentiment

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

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Additionally, take a look at Sprouts Farmers Hype Analysis, Sprouts Farmers Correlation, Sprouts Farmers Valuation, Sprouts Farmers Volatility as well as analyze Sprouts Farmers Alpha and Beta and Sprouts Farmers 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