Agilent Technologies Backtesting

Agilent Technologies Inc -- USA Stock  

USD 66.88  0.37  0.55%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Agilent Technologies Inc and determine expected loss or profit from investing in Agilent Technologies over given investment horizon. Check also Agilent Technologies Hype Analysis, Agilent Technologies Correlation, Agilent Technologies Valuation, Agilent Technologies Volatility as well as analyze Agilent Technologies Alpha and Beta and Agilent Technologies Performance
Investment Horizon     30 Days    Login   to change

Agilent Technologies 'What if' Analysis

September 22, 2017
No Change 0.00  0.0%
In 31 days
October 22, 2017
If you would invest  0.00  in Agilent Technologies on September 22, 2017 and sell it all today you would earn a total of 0.00 from holding Agilent Technologies Inc or generate 0.0% return on investment in Agilent Technologies over 30 days. Agilent Technologies is related to or competes with Curtiss Wright, Sensata Technologies, FLIR Systems, AMETEK, and IDEX. Its Life Sciences and Applied Markets segment offers liquid chromatography systems and components liquid chromatography ...

Agilent Technologies Upside/Downside Indicators


Agilent Technologies Market Premium Indicators

Agilent Technologies Inc lagged returns against current returns

 Current and Lagged Values 

Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Agilent Technologies Inc Backtested Returns

We consider Agilent Technologies not too risky. Agilent Technologies Inc secures Sharpe Ratio (or Efficiency) of 0.1375 which signifies that Agilent Technologies Inc had 0.1375% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Agilent Technologies Inc which you can use to evaluate future volatility of the firm. Please confirm Agilent Technologies Inc Downside Deviation of 0.9279, Risk Adjusted Performance of 0.0394 and Mean Deviation of 0.605 to double-check if risk estimate we provide are consistent with the epected return of 0.1083%. Agilent Technologies has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7334 which signifies that as returns on market increase, Agilent Technologies returns are expected to increase less than the market. However during bear market, the loss on holding Agilent Technologies will be expected to be smaller as well.. Although it is extremely important to respect Agilent Technologies Inc historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy 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. By analyzing Agilent Technologies Inc technical indicators you can presently evaluate if the expected return of 0.1083% will be sustainable into the future. Agilent Technologies Inc right now shows a risk of 0.7874%. Please confirm Agilent Technologies Inc Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to decide if Agilent Technologies Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.11) 

Insignificant reverse predictability

Agilent Technologies Inc has insignificant reverse predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Agilent Technologies Inc price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Agilent Technologies price fluctuation can be explain by its past prices. Given that Agilent Technologies Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Agilent Technologies for similar time interval.
Correlation Coefficient -0.11
Spearman Rank Test -0.2
Price Variance 0.15
Lagged Price Variance 0.46

Agilent Technologies Lagged Returns

 Regressed Prices 

Agilent Technologies Performance vs DOW

The median price of Agilent Technologies for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 66.12 with a coefficient of variation of 1.65. The daily time series for the period is distributed with a sample standard deviation of 1.09, arithmetic mean of 65.86, and mean deviation of 0.9. The Stock received some media coverage during the period.
October 2, 2017Agilent Technologies Dividend Paid
Price Growth (%)  
Comparable Company Analysis Agilent Technologies, Inc. , Ame...10/20/2017