Agilent Technologies Backtesting

A -- USA Stock  

USD 65.94  0.81  1.21%

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

Agilent Technologies 'What if' Analysis

July 17, 2018
No Change 0.00  0.0%
In 30 days
August 16, 2018
If you would invest  0.00  in Agilent Technologies on July 17, 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 30 days. Agilent Technologies is related to or competes with Laboratory of, DarioHealth Corp, DexCom, Exact Sciences, Fluidigm, and FULGENT GENETICS. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Downside Deviation1.05
Information Ratio0.2337
Maximum Drawdown3.79
Value At Risk1.61
Potential Upside1.84

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.1162
Jensen Alpha0.281
Total Risk Alpha0.2839
Sortino Ratio0.2692
Treynor Ratio0.6081

Agilent Technologies Backtested Returns

Macroaxis considers Agilent Technologies not too risky given 1 month investment horizon. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.2216 which signifies that Agilent Technologies had 0.2216% 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 which you can use to evaluate future volatility of the firm. Please makes use of Agilent Technologies Downside Deviation of 1.05, Risk Adjusted Performance of 0.1162 and Mean Deviation of 1.03 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Agilent Technologies holds performance score of 14. The firm shows Beta (market volatility) of 0.4611 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 vital to follow to Agilent Technologies historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. 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 technical indicators you can presently evaluate if the expected return of 0.2672% will be sustainable into the future. Please makes use of Agilent Technologies Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to make a quick decision on weather Agilent Technologies price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.32 

Below average predictability

Agilent Technologies has below average predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from July 17, 2018 to August 1, 2018 and August 1, 2018 to August 16, 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 0.32 indicates that nearly 32.0% of current Agilent Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient 0.32
Spearman Rank Test 0.35
Price Variance 0.62
Lagged Price Variance 1.49

Agilent Technologies lagged returns against current returns

 Current and Lagged Values 

Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Agilent Technologies Lagged Returns

 Regressed Prices 

Did you try this?

Run Portfolio Optimization Now

Portfolio Optimization

Compute new portfolio that will generate highest expected return given your specified tolerance for risk
All  Next Launch Portfolio Optimization

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Agilent Technologies and Laboratory of America. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation