Spectrum Backtesting

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SPB -- USA Stock  

Report: 31st of July 2020  

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

Spectrum Brands 'What if' Analysis

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

Spectrum Brands Upside/Downside Indicators

Downside Deviation3.88
Information Ratio0.0452
Maximum Drawdown18.73
Value At Risk(5.78)
Potential Upside6.17

Spectrum Brands Market Premium Indicators

Risk Adjusted Performance0.1676
Jensen Alpha0.4121
Total Risk Alpha(0.004214)
Sortino Ratio0.0432
Treynor Ratio(0.62)

Spectrum Brands Hold Backtested Returns

Spectrum Brands appears to be very steady, given 3 months investment horizon. Spectrum Brands Hold owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0871, which indicates the firm had 0.0871% 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 Spectrum Brands Holdings, which you can use to evaluate future volatility of the company. Please operate Spectrum Brands risk adjusted performance of 0.1676, semi deviation of 3.45, and coefficient of variation of 1098.69 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Spectrum Brands holds a performance score of 6. The entity has a beta of -0.5312, which indicates possible diversification benefits within a given portfolio. Let's try to break down what Spectrum's beta means in this case. As returns on the market increase, returns on owning Spectrum Brands are expected to decrease at a much lower rate. During the bear market, Spectrum Brands is likely to outperform the market. Although it is vital to follow to Spectrum Brands Hold 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 Spectrum Brands Hold technical indicators, you can presently evaluate if the expected return of 0.32% will be sustainable into the future. Please operates Spectrum Brands jensen alpha, semi variance, day typical price, as well as the relationship between the maximum drawdown and accumulation distribution to make a quick decision on whether Spectrum Brands Hold existing price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.54) 
correlation synergy

Good reverse predictability

Spectrum Brands Holdings has good reverse predictability. Overlapping area represents the amount of predictability between Spectrum Brands 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 Spectrum Brands Hold price movement. The serial correlation of -0.54 indicates that about 54.0% of current Spectrum Brands price fluctuation can be explain by its past prices. Given that Spectrum Brands Holdings has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Spectrum Brands for similar time interval.
Correlation Coefficient-0.54
Spearman Rank Test-0.5
Residual Average0.0
Price Variance2.77

Spectrum Brands Hold lagged returns against current returns

 Current and Lagged Values 

Spectrum Brands regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Spectrum Brands Lagged Returns

 Regressed Prices 

Current Sentiment - SPB

Spectrum Brands Hold Investor Sentiment

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

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Additionally, take a look at Spectrum Brands Hype Analysis, Spectrum Brands Correlation, Spectrum Brands Valuation, Spectrum Brands Volatility as well as analyze Spectrum Brands Alpha and Beta and Spectrum Brands Performance. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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