ARYZTA Backtesting

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YZA -- Ireland Stock  

EUR 0.40  0.02  4.76%

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

ARYZTA AG 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in ARYZTA AG on April 12, 2020 and sell it all today you would earn a total of 0.00 from holding ARYZTA AG or generate 0.0% return on investment in ARYZTA AG over 90 days. ARYZTA AG provides frozen B2B baking solutions in Europe, North America, and internationally

ARYZTA AG Upside/Downside Indicators

Downside Deviation6.69
Information Ratio0.0654
Maximum Drawdown34.52
Value At Risk(7.81)
Potential Upside9.93

ARYZTA AG Market Premium Indicators

Risk Adjusted Performance0.1741
Jensen Alpha0.5621
Total Risk Alpha0.0203
Sortino Ratio0.0623
Treynor Ratio6.92

ARYZTA AG Backtested Returns

ARYZTA AG appears to be out of control, given 3 months investment horizon. ARYZTA AG secures Sharpe Ratio (or Efficiency) of 0.0936, which signifies that the company had 0.0936% of return per unit of volatility over the last 3 months. Our approach towards foreseeing the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing ARYZTA AG technical indicators you can now evaluate if the expected return of 0.63% is justified by implied risk. Please makes use of ARYZTA AG risk adjusted performance of 0.1741, and mean deviation of 4.7 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ARYZTA AG holds a performance score of 6. The firm shows a Beta (market volatility) of 0.0831, which signifies not very significant fluctuations relative to the market. Let's try to break down what ARYZTA's beta means in this case. As returns on the market increase, ARYZTA AG returns are expected to increase less than the market. However, during the bear market, the loss on holding ARYZTA AG will be expected to be smaller as well. Although it is vital to follow to ARYZTA AG historical returns, it is good to be conservative about what you can do with the information regarding equity current trending patterns. The approach towards foreseeing 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-one technical indicators for ARYZTA AG, which you can use to evaluate the performance of the firm. Please makes use of ARYZTA AG mean deviation, standard deviation, treynor ratio, as well as the relationship between the downside deviation and information ratio to make a quick decision on whether ARYZTA AG price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.53) 
correlation synergy

Good reverse predictability

ARYZTA AG has good reverse predictability. Overlapping area represents the amount of predictability between ARYZTA AG 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 ARYZTA AG price movement. The serial correlation of -0.53 indicates that about 53.0% of current ARYZTA AG price fluctuation can be explain by its past prices. Given that ARYZTA AG has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ARYZTA AG for similar time interval.
Correlation Coefficient-0.53
Spearman Rank Test-0.6
Residual Average0.0
Price Variance0.0

ARYZTA AG lagged returns against current returns

 Current and Lagged Values 

ARYZTA AG regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ARYZTA AG Lagged Returns

 Regressed Prices 

Current Sentiment - YZA

ARYZTA AG Investor Sentiment

Most of Macroaxis users are at this time bullish on ARYZTA AG. What is your sentiment towards investing in ARYZTA AG? Are you bullish or bearish?
98% Bullish
2% Bearish

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Check out ARYZTA AG Hype Analysis, ARYZTA AG Correlation, ARYZTA AG Valuation, ARYZTA AG Volatility as well as analyze ARYZTA AG Alpha and Beta and ARYZTA AG Performance. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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