Agilent Technologies Backtesting

Agilent Technologies -- USA Stock  

USD 67.55  0.42  0.62%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Agilent Technologies 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.
 Time Horizon     30 Days    Login   to change
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Agilent Technologies 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in Agilent Technologies on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding Agilent Technologies or generate 0.0% return on investment in Agilent Technologies over 60 days. Agilent Technologies is related to or competes with Curtiss Wright, Sensata Technologies, FLIR Systems, AMETEK, IDEX, and METTLER TOLEDO. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Information Ratio0.029825
Maximum Drawdown6.93
Value At Risk2.78
Potential Upside2.33
  

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.15
Jensen Alpha0.13
Total Risk Alpha0.054162
Treynor Ratio1.19

Agilent Technologies Backtested Returns

Macroaxis considers Agilent Technologies to be not too risky. Agilent Technologies secures Sharpe Ratio (or Efficiency) of -0.0732 which signifies that Agilent Technologies had -0.0732% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Agilent Technologies exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Agilent Technologies Risk Adjusted Performance of 0.15 and Mean Deviation of 1.17 to double-check risk estimate we provide. Macroaxis gives Agilent Technologies performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1194 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.. Even though it is essential to pay attention to Agilent Technologies historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Agilent Technologies exposes twenty-one different technical indicators which can help you to evaluate its performance. Agilent Technologies has expected return of -0.1124%. Please be advised to confirm Agilent Technologies Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to decide if Agilent Technologies past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 

Average predictability

Agilent Technologies has average predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 22, 2018. 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 price movement. The serial correlation of 0.49 indicates that about 49.0% of current Agilent Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient 0.49
Spearman Rank Test -0.42
Price Variance 1.96
Lagged Price Variance 1.36

Agilent Technologies lagged returns against current returns

 Current and Lagged Values 
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Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Agilent Technologies Lagged Returns

 Regressed Prices 
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Current Sentiment - A

Agilent Technologies Investor Sentiment
Most of Macroaxis users are presently bullish on Agilent Technologies. What is your sentiment towards investing in Agilent Technologies? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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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. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.