Alexion Pharmaceuticals Backtested Returns
Macroaxis considers Alexion Pharmaceuticals to be not too risky. Alexion Pharmaceuticals
secures Sharpe Ratio (or Efficiency) of -0.1286 which signifies that Alexion Pharmaceuticals
had -0.1286% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in 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
. Alexion Pharmaceuticals Inc exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alexion Pharmaceuticals Mean Deviation
of 0.9305 and Risk Adjusted Performance
of (0.018594) to double-check risk estimate we provide. Macroaxis gives Alexion Pharmaceuticals performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0585 which signifies that as returns on market increase, returns on owning Alexion Pharmaceuticals are expected to decrease at a much smaller rate. During bear market, Alexion Pharmaceuticals is likely to outperform the market.. Even though it is essential to pay attention to Alexion Pharmaceuticals historical returns, it is always good to be careful when utilizing equity current trending patternss. Macroaxis philosophy in 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. Alexion Pharmaceuticals Inc exposes twenty-eight different technical indicators which can help you to evaluate its performance. Alexion Pharmaceuticals has expected return of -0.1613%. Please be advised to confirm Alexion Pharmaceuticals Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to decide if Alexion Pharmaceuticals past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.26) |
Weak reverse predictability
Alexion Pharmaceuticals Inc has weak reverse predictability. Overlapping area represents the amount of predictability between Alexion Pharmaceuticals time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 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 Alexion Pharmaceuticals price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Alexion Pharmaceuticals price fluctuation can be explain by its past prices. Given that Alexion Pharmaceuticals Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alexion Pharmaceuticals for similar time interval.
|Correlation Coefficient|| -0.26|
|Spearman Rank Test|| -0.35|
|Price Variance|| 2.02|
|Lagged Price Variance|| 2.66|
Alexion Pharmaceuticals Lagged Returns