Alexion Pharmaceuticals Backtesting

ALXN -- USA Stock  

USD 135.09  0.07  0.05%

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

Alexion Pharmaceuticals 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 31 days
July 22, 2018
If you would invest  0.00  in Alexion Pharmaceuticals on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding Alexion Pharmaceuticals or generate 0.0% return on investment in Alexion Pharmaceuticals over 30 days. Alexion Pharmaceuticals is related to or competes with China Cord, NantKwest, DelMar Pharmaceuticals, Denali Therapeutics, Dova Pharmaceuticals, Dicerna Pharmaceuticals, and DYNAVAX TECHNOLOG. Alexion Pharmaceuticals, Inc., a biopharmaceutical company, develops and commercializes various therapeutic products

Alexion Pharmaceuticals Upside/Downside Indicators

Downside Deviation1.15
Information Ratio0.2046
Maximum Drawdown4.17
Value At Risk1.92
Potential Upside2.42

Alexion Pharmaceuticals Market Premium Indicators

Risk Adjusted Performance0.1419
Jensen Alpha0.3956
Total Risk Alpha0.1014
Sortino Ratio0.2408
Treynor Ratio1.52

Alexion Pharmaceuticals Backtested Returns

Macroaxis considers Alexion Pharmaceuticals not too risky given 1 month investment horizon. Alexion Pharmaceuticals secures Sharpe Ratio (or Efficiency) of 0.2098 which signifies that Alexion Pharmaceuticals had 0.2098% of return per unit of standard deviation over the last 1 month. Our philosophy in 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 Alexion Pharmaceuticals which you can use to evaluate future volatility of the firm. Please makes use of Alexion Pharmaceuticals Mean Deviation of 1.09 and Risk Adjusted Performance of 0.1419 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alexion Pharmaceuticals holds performance score of 13. The firm shows Beta (market volatility) of -0.2453 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.. Although it is vital to follow to Alexion Pharmaceuticals historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in 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 Alexion Pharmaceuticals technical indicators you can presently evaluate if the expected return of 0.2843% will be sustainable into the future. Please makes use of Alexion Pharmaceuticals Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather Alexion Pharmaceuticals price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.18 

Very weak predictability

Alexion Pharmaceuticals has very weak predictability. Overlapping area represents the amount of predictability between Alexion Pharmaceuticals time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 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 Alexion Pharmaceuticals price movement. The serial correlation of 0.18 indicates that over 18.0% of current Alexion Pharmaceuticals price fluctuation can be explain by its past prices.
Correlation Coefficient 0.18
Spearman Rank Test 0.15
Price Variance 3.1
Lagged Price Variance 11.91

Alexion Pharmaceuticals lagged returns against current returns

 Current and Lagged Values 

Alexion Pharmaceuticals regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alexion Pharmaceuticals Lagged Returns

 Regressed Prices 

Current Sentiment - ALXN

Alexion Pharmaceuticals Investor Sentiment
Majority of Macroaxis users are presently bullish on Alexion Pharmaceuticals. What is your sentiment towards investing in Alexion Pharmaceuticals? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Alexion Pharmaceuticals and China Cord Blood. 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