Alexion Pharmaceuticals Backtesting

Alexion Pharmaceuticals Inc -- USA Stock  

USD 122.12  2.36  1.9%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alexion Pharmaceuticals Inc 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
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Alexion Pharmaceuticals 'What if' Analysis

December 19, 2017
0.00
No Change 0.00  0.0%
In 31 days
January 18, 2018
0.00
If you would invest  0.00  in Alexion Pharmaceuticals on December 19, 2017 and sell it all today you would earn a total of 0.00 from holding Alexion Pharmaceuticals Inc or generate 0.0% return on investment in Alexion Pharmaceuticals over 30 days. Alexion Pharmaceuticals is related to or competes with Vertex Pharmaceuticals, Endo International, Abbott Laboratories, Allergan plc, and Bio Rad. Alexion Pharmaceuticals Inc offers Soliris , a monoclonal antibody for the treatment of paroxysmal nocturnal hemoglobinu...

Alexion Pharmaceuticals Upside/Downside Indicators

  

Alexion Pharmaceuticals Market Premium Indicators

Alexion Pharmaceuticals lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alexion Pharmaceuticals regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alexion Pharmaceuticals Backtested Returns

Macroaxis considers Alexion Pharmaceuticals not too risky given 1 month investment horizon. Alexion Pharmaceuticals secures Sharpe Ratio (or Efficiency) of 0.1965 which signifies that Alexion Pharmaceuticals had 0.1965% 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 Inc which you can use to evaluate future volatility of the firm. Please makes use of Alexion Pharmaceuticals Mean Deviation of 0.9881 and Risk Adjusted Performance of 0.106 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 12. The firm shows Beta (market volatility) of -1.8474 which signifies that as returns on market increase, returns on owning Alexion Pharmaceuticals are expected to decrease by larger amounts. On the other hand, during market turmoil, Alexion Pharmaceuticals is expected to significantly outperform it.. 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 0.2791% 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(0.03) 

Very weak reverse predictability

Alexion Pharmaceuticals Inc has very weak reverse predictability. Overlapping area represents the amount of predictability between Alexion Pharmaceuticals time series from December 19, 2017 to January 3, 2018 and January 3, 2018 to January 18, 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 -0.03 indicates that only 3.0% 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 -0.03
Spearman Rank Test -0.24
Price Variance 1.96
Lagged Price Variance 6.73

Alexion Pharmaceuticals Lagged Returns

 Regressed Prices 
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Alexion Pharmaceuticals Performance vs DOW

The median price of Alexion Pharmaceuticals for the period between Tue, Dec 19, 2017 and Thu, Jan 18, 2018 is 120.26 with a coefficient of variation of 2.61. The daily time series for the period is distributed with a sample standard deviation of 3.13, arithmetic mean of 120.19, and mean deviation of 2.52. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Exercise or conversion by Squinto Stephen P of 3075 shares o...01/17/2018