Loxo Oncology Backtesting

LOXO -- USA Stock  

USD 175.95  7.86  4.28%

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

Loxo Oncology 'What if' Analysis

May 26, 2018
No Change 0.00  0.0%
In 31 days
June 25, 2018
If you would invest  0.00  in Loxo Oncology on May 26, 2018 and sell it all today you would earn a total of 0.00 from holding Loxo Oncology or generate 0.0% return on investment in Loxo Oncology over 30 days. Loxo Oncology is related to or competes with NantKwest, DelMar Pharmaceuticals, Dimension Therapeutics, Denali Therapeutics, VBI Vaccines, Vascular Biogenics, and Vericel Corporati. Loxo Oncology, Inc., a biopharmaceutical company, develops and sells medicines for patients with genetically defined can...

Loxo Oncology Upside/Downside Indicators

Downside Deviation1.59
Information Ratio0.2444
Maximum Drawdown8.35
Value At Risk1.73
Potential Upside3.12

Loxo Oncology Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.3013

Loxo Oncology Backtested Returns

Macroaxis considers Loxo Oncology not too risky given 1 month investment horizon. Loxo Oncology has Sharpe Ratio of 0.2271 which conveys that Loxo Oncology had 0.2271% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Loxo Oncology which you can use to evaluate future volatility of the firm. Please exercise Loxo Oncology Downside Deviation of 1.59, Mean Deviation of 1.55 and Risk Adjusted Performance of 0.01 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Loxo Oncology holds performance score of 15. The company secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Loxo Oncology are completely uncorrelated. Although it is vital to follow to Loxo Oncology price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy towards estimating 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 Loxo Oncology technical indicators you can presently evaluate if the expected return of 0.4582% will be sustainable into the future. Please exercises Loxo Oncology Treynor Ratio, Expected Short fall as well as the relationship between Expected Short fall and Day Median Price to make a quick decision on weather Loxo Oncology current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 

Very weak reverse predictability

Loxo Oncology has very weak reverse predictability. Overlapping area represents the amount of predictability between Loxo Oncology time series from May 26, 2018 to June 10, 2018 and June 10, 2018 to June 25, 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 Loxo Oncology price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Loxo Oncology price fluctuation can be explain by its past prices. Given that Loxo Oncology has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Loxo Oncology for similar time interval.
Correlation Coefficient -0.09
Spearman Rank Test -0.43
Price Variance 4.23
Lagged Price Variance 26.41

Loxo Oncology lagged returns against current returns

 Current and Lagged Values 

Loxo Oncology regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Loxo Oncology Lagged Returns

 Regressed Prices 

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Please see also Loxo Oncology Hype Analysis, Loxo Oncology Correlation, Loxo Oncology Valuation, Loxo Oncology Volatility as well as analyze Loxo Oncology Alpha and Beta and Loxo Oncology Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.