Juno Therapeutics Inc Backtested Returns
We consider Juno Therapeutics not too risky. Juno Therapeutics Inc
holds Efficiency (Sharpe) Ratio of 0.0878 which attests that Juno Therapeutics Inc
had 0.0878% of return per unit of risk over the last 1 month. Our philosophy towards determining 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-eight technical indicators
for Juno Therapeutics Inc which you can use to evaluate future volatility of the corporation. Please check out Juno Therapeutics Downside Deviation
of 0.2401, Market Risk Adjusted Performance
of 0.65 and Risk Adjusted Performance of 0.11 to validate if risk estimate we provide are consistent with the epected return of 0.0423%. Juno Therapeutics has performance score of 5 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.0427 which attests that as returns on market increase, returns on owning Juno Therapeutics are expected to decrease at a much smaller rate. During bear market, Juno Therapeutics is likely to outperform the market.. Although it is extremely important to respect Juno Therapeutics Inc current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Juno Therapeutics Inc technical indicators you can presently evaluate if the expected return of 0.0423% will be sustainable into the future. Juno Therapeutics Inc right now retains a risk of 0.4813%. Please check out Juno Therapeutics Maximum Drawdown as well as the relationship between Expected Short fall and Rate Of Daily Change to decide if Juno Therapeutics will be following its current trending patterns.
|15 days auto-correlation|| 0.13 |
Juno Therapeutics Inc has insignificant predictability. Overlapping area represents the amount of predictability between Juno Therapeutics time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 Juno Therapeutics Inc price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Juno Therapeutics price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.13|
|Spearman Rank Test|| -0.07|
|Price Variance|| 0.29|
|Lagged Price Variance|| 0.01|
Juno Therapeutics Lagged Returns