T Mobile Backtesting

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

T Mobile 'What if' Analysis

November 27, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 25, 2020
If you would invest  0.00  in T Mobile on November 27, 2019 and sell it all today you would earn a total of 0.00 from holding T Mobile US or generate 0.0% return on investment in T Mobile over 90 days. T Mobile is related to or competes with ATT, Verizon Communications, Telephone And, Zayo Group, Liberty Broadband, SBA Communications, and T Mobile. T-Mobile US, Inc., together with its subsidiaries, provides mobile communications services in the United States, Puerto ...

T Mobile Upside/Downside Indicators

Downside Deviation1.31
Information Ratio0.1855
Maximum Drawdown13.75
Value At Risk(1.97)
Potential Upside2.58

T Mobile Market Premium Indicators

Risk Adjusted Performance0.175
Jensen Alpha0.3341
Total Risk Alpha0.3427
Sortino Ratio0.2591
Treynor Ratio2.89

T Mobile US Backtested Returns

Macroaxis considers T Mobile very steady given 3 months investment horizon. T Mobile US owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1819 which indicates the company had 0.1819% of return per unit of standard deviation over the last 3 months. Our approach towards measuring 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 T Mobile US which you can use to evaluate future volatility of the entity. Please operate T Mobile Risk Adjusted Performance of 0.175, Market Risk Adjusted Performance of 2.9 and Downside Deviation of 1.31 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 T Mobile holds performance score of 12. The corporation has beta of 0.1156, which indicates as returns on market increase, T Mobile returns are expected to increase less than the market. However during bear market, the loss on holding T Mobile will be expected to be smaller as well. Although it is vital to follow to T Mobile US current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. The approach 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 examining T Mobile US technical indicators you can at this moment evaluate if the expected return of 0.3435% will be sustainable into the future. Please operates T Mobile Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to make a quick decision on weather T Mobile US existing price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.67 
correlation synergy

Good predictability

T Mobile US has good predictability. Overlapping area represents the amount of predictability between T Mobile time series from November 27, 2019 to January 11, 2020 and January 11, 2020 to February 25, 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 T Mobile US price movement. The serial correlation of 0.67 indicates that around 67.0% of current T Mobile price fluctuation can be explain by its past prices.
Correlation Coefficient0.67
Spearman Rank Test0.54
Residual Average0.0
Price Variance56.64

T Mobile US lagged returns against current returns

 Current and Lagged Values 

T Mobile regressed lagged prices vs. current prices

 Current vs Lagged Prices 

T Mobile Lagged Returns

 Regressed Prices 

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Additionally, take a look at T Mobile Hype Analysis, T Mobile Correlation, T Mobile Valuation, T Mobile Volatility as well as analyze T Mobile Alpha and Beta and T Mobile Performance. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.