MERLIN PROPERTIES (Spain) Backtesting

MRL -- Spain Stock  

EUR 12.93  0.08  0.62%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MERLIN PROPERTIES SOCIMI S A and determine expected loss or profit from investing in MERLIN PROPERTIES over given investment horizon. Please see also MERLIN PROPERTIES Hype Analysis, MERLIN PROPERTIES Correlation, MERLIN PROPERTIES Valuation, MERLIN PROPERTIES Volatility as well as analyze MERLIN PROPERTIES Alpha and Beta and MERLIN PROPERTIES Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MERLIN PROPERTIES 'What if' Analysis

July 16, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 14, 2019
0.00
If you would invest  0.00  in MERLIN PROPERTIES on July 16, 2019 and sell it all today you would earn a total of 0.00 from holding MERLIN PROPERTIES SOCIMI S A or generate 0.0% return on investment in MERLIN PROPERTIES over 90 days. MERLIN PROPERTIES is related to or competes with RENTA CORPORACION. is the largest real estate company trading on the Spanish Stock Exchange, with a market capitalization exceeding 5,800 m...

MERLIN PROPERTIES Upside/Downside Indicators

Downside Deviation1.0
Information Ratio0.0556
Maximum Drawdown4.51
Value At Risk(1.37)
Potential Upside1.51

MERLIN PROPERTIES Market Premium Indicators

Risk Adjusted Performance0.0436
Jensen Alpha0.0328
Total Risk Alpha0.0546
Sortino Ratio0.0542
Treynor Ratio(0.61)

MERLIN PROPERTIES Backtested Returns

We consider MERLIN PROPERTIES not too volatile. MERLIN PROPERTIES has Sharpe Ratio of 0.0708 which conveys that the firm had 0.0708% of return per unit of volatility over the last 3 months. Our approach towards estimating 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-one technical indicators for MERLIN PROPERTIES which you can use to evaluate future volatility of the firm. Please verify MERLIN PROPERTIES SOCIMI S A Risk Adjusted Performance of 0.0436 and Mean Deviation of 0.7369 to check out if risk estimate we provide are consistent with the epected return of 0.0697%. MERLIN PROPERTIES has performance score of 4 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.0555 which conveys that as returns on market increase, returns on owning MERLIN PROPERTIES are expected to decrease at a much smaller rate. During bear market, MERLIN PROPERTIES is likely to outperform the market. Although it is extremely important to respect MERLIN PROPERTIES price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach towards estimating 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 MERLIN PROPERTIES technical indicators you can now evaluate if the expected return of 0.0697% will be sustainable into the future. MERLIN PROPERTIES currently secures a risk of 0.9843%. Please verify MERLIN PROPERTIES SOCIMI S A Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if MERLIN PROPERTIES SOCIMI S A will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.71) 
correlation synergy

Almost perfect reverse predictability

MERLIN PROPERTIES SOCIMI S A has almost perfect reverse predictability. Overlapping area represents the amount of predictability between MERLIN PROPERTIES time series from July 16, 2019 to August 30, 2019 and August 30, 2019 to October 14, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MERLIN PROPERTIES price movement. The serial correlation of -0.71 indicates that around 71.0% of current MERLIN PROPERTIES price fluctuation can be explain by its past prices. Given that MERLIN PROPERTIES SOCIMI S A has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MERLIN PROPERTIES for similar time interval.
Correlation Coefficient-0.71
Spearman Rank Test-0.7
Residual Average0.0
Price Variance0.15

MERLIN PROPERTIES lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MERLIN PROPERTIES regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MERLIN PROPERTIES Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also MERLIN PROPERTIES Hype Analysis, MERLIN PROPERTIES Correlation, MERLIN PROPERTIES Valuation, MERLIN PROPERTIES Volatility as well as analyze MERLIN PROPERTIES Alpha and Beta and MERLIN PROPERTIES Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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