Johnson Johnson Backtesting

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JNJ -- USA Stock  

Fiscal Quarter End: March 31, 2020  

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

Johnson Johnson 'What if' Analysis

November 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 19, 2020
If you would invest  0.00  in Johnson Johnson on November 21, 2019 and sell it all today you would earn a total of 0.00 from holding Johnson Johnson or generate 0.0% return on investment in Johnson Johnson over 90 days. Johnson Johnson is related to or competes with Allergan Plc, Eli Lilly, Bristol Myers, Novartis, Gilead Sciences, Astrazeneca PLC, and Johnson Johnson. Johnson Johnson, together with its subsidiaries, researches and develops, manufactures, and sells various products in th...

Johnson Johnson Upside/Downside Indicators

Downside Deviation0.4905
Information Ratio0.1656
Maximum Drawdown4.2
Value At Risk(0.68)
Potential Upside1.51

Johnson Johnson Market Premium Indicators

Risk Adjusted Performance0.2301
Jensen Alpha0.1803
Total Risk Alpha0.1239
Sortino Ratio0.231
Treynor Ratio1.58

Johnson Johnson Backtested Returns

We consider Johnson Johnson very steady. Johnson Johnson holds Efficiency (Sharpe) Ratio of 0.24 which attests that the entity had 0.24% of return per unit of risk over the last 3 months. Our philosophy towards determining 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-seven technical indicators for Johnson Johnson which you can use to evaluate future volatility of the corporation. Please check out Johnson Johnson Coefficient Of Variation of 343.06, Risk Adjusted Performance of 0.2301 and Market Risk Adjusted Performance of 1.59 to validate if risk estimate we provide are consistent with the epected return of 0.1432%. Johnson Johnson has performance score of 16 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.1202 which attests that as returns on market increase, Johnson Johnson returns are expected to increase less than the market. However during bear market, the loss on holding Johnson Johnson will be expected to be smaller as well. Although it is extremely important to respect Johnson Johnson current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Johnson Johnson technical indicators you can presently evaluate if the expected return of 0.1432% will be sustainable into the future. Johnson Johnson right now retains a risk of 0.5969%. Please check out Johnson Johnson Downside Variance, and the relationship between Sortino Ratio and Accumulation Distribution to decide if Johnson Johnson will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.91 
correlation synergy

Excellent predictability

Johnson Johnson has excellent predictability. Overlapping area represents the amount of predictability between Johnson Johnson time series from November 21, 2019 to January 5, 2020 and January 5, 2020 to February 19, 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 Johnson Johnson price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current Johnson Johnson price fluctuation can be explain by its past prices.
Correlation Coefficient0.91
Spearman Rank Test0.89
Residual Average0.0
Price Variance6.61

Johnson Johnson lagged returns against current returns

 Current and Lagged Values 

Johnson Johnson regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Johnson Johnson Lagged Returns

 Regressed Prices 

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Please see Johnson Johnson Hype Analysis, Johnson Johnson Correlation, Johnson Johnson Valuation, Johnson Johnson Volatility as well as analyze Johnson Johnson Alpha and Beta and Johnson Johnson Performance. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.