AbbVie Backtesting

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ABBV -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of AbbVie and determine expected loss or profit from investing in AbbVie over given investment horizon. Please continue to AbbVie Hype Analysis, AbbVie Correlation, AbbVie Valuation, AbbVie Volatility as well as analyze AbbVie Alpha and Beta and AbbVie Performance.

AbbVie 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in AbbVie on November 30, 2019 and sell it all today you would earn a total of 0.00 from holding AbbVie or generate 0.0% return on investment in AbbVie over 90 days. AbbVie is related to or competes with Allergan Plc, Astrazeneca PLC, Bristol Myers, GlaxoSmithKline PLC, Johnson Johnson, Eli Lilly, and Merck. AbbVie Inc. discovers, develops, manufactures, and sells pharmaceutical products in the United States, Japan, Germany, C...

AbbVie Upside/Downside Indicators

Information Ratio0.0656
Maximum Drawdown10.11
Value At Risk(2.22)
Potential Upside2.5

AbbVie Market Premium Indicators

Risk Adjusted Performance(0.019309)
Jensen Alpha(0.016307)
Total Risk Alpha0.149
Treynor Ratio(0.24)

AbbVie Backtested Returns

Macroaxis considers AbbVie to be very steady. AbbVie secures Sharpe Ratio (or Efficiency) of -0.0113 which signifies that the organization had -0.0113% of return per unit of standard deviation over the last 3 months. 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. AbbVie exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AbbVie Risk Adjusted Performance of (0.019309) and Mean Deviation of 1.16 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.164, which signifies that as returns on market increase, AbbVie returns are expected to increase less than the market. However during bear market, the loss on holding AbbVie will be expected to be smaller as well. Even though it is essential to pay attention to AbbVie historical returns, it is always good to be careful when utilizing equity current trending patterns. 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. AbbVie exposes twenty-one different technical indicators, which can help you to evaluate its performance. AbbVie has an expected return of -0.0179%. Please be advised to confirm AbbVie Coefficient Of Variation as well as the relationship between Treynor Ratio and Semi Variance to decide if AbbVie stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.07 
correlation synergy

Virtually no predictability

AbbVie has virtually no predictability. Overlapping area represents the amount of predictability between AbbVie time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AbbVie price movement. The serial correlation of 0.07 indicates that barely 7.0% of current AbbVie price fluctuation can be explain by its past prices.
Correlation Coefficient0.07
Spearman Rank Test0.14
Residual Average0.0
Price Variance23.88

AbbVie lagged returns against current returns

 Current and Lagged Values 

AbbVie regressed lagged prices vs. current prices

 Current vs Lagged Prices 

AbbVie Lagged Returns

 Regressed Prices 

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AbbVie Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for AbbVie and Allergan Plc. 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
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Please continue to AbbVie Hype Analysis, AbbVie Correlation, AbbVie Valuation, AbbVie Volatility as well as analyze AbbVie Alpha and Beta and AbbVie Performance. Please also try Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.