AbbVie Backtesting

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ABBV -- USA Stock  

Earning Report: February 7, 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

AbbVie 'What if' Analysis

October 24, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
January 22, 2020
0.00
If you would invest  0.00  in AbbVie on October 24, 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

Downside Deviation0.9015
Information Ratio0.0923
Maximum Drawdown5.95
Value At Risk(1.39)
Potential Upside2.34

AbbVie Market Premium Indicators

Risk Adjusted Performance0.1038
Jensen Alpha0.0955
Total Risk Alpha(0.06)
Sortino Ratio0.1159
Treynor Ratio0.2062

AbbVie Backtested Returns

Macroaxis considers AbbVie very steady given 3 months investment horizon. AbbVie secures Sharpe Ratio (or Efficiency) of 0.2001 which signifies that the organization had 0.2001% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for AbbVie which you can use to evaluate future volatility of the firm. Please makes use of AbbVie Mean Deviation of 0.89 and Risk Adjusted Performance of 0.1038 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 AbbVie holds performance score of 13. The firm shows Beta (market volatility) of 1.076 which signifies that AbbVie returns are very sensitive to returns on the market. as market goes up or down, AbbVie is expected to follow. Although it is extremely important to respect AbbVie historical returns, it is better to be realistic regarding the information on 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 AbbVie technical indicators you can presently evaluate if the expected return of 0.2297% will be sustainable into the future. Please makes use of AbbVie Coefficient Of Variation as well as the relationship between Treynor Ratio and Semi Variance to make a quick decision on weather AbbVie price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.37 
correlation synergy

Below average predictability

AbbVie has below average predictability. Overlapping area represents the amount of predictability between AbbVie time series from October 24, 2019 to December 8, 2019 and December 8, 2019 to January 22, 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 0.37 indicates that just about 37.0% of current AbbVie price fluctuation can be explain by its past prices.
Correlation Coefficient0.37
Spearman Rank Test0.08
Residual Average0.0
Price Variance1.1

AbbVie lagged returns against current returns

 Current and Lagged Values 
    
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AbbVie regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
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AbbVie Lagged Returns

 Regressed Prices 
    
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Current Sentiment - ABBV

AbbVie Investor Sentiment

Majority of Macroaxis users are presently bullish on AbbVie. What is your sentiment towards investing in AbbVie? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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
Run Pair Correlation  
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 Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.