Analog Devices Backtesting

ADI -- USA Stock  

USD 82.55  0.21  0.26%

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

Analog Devices 'What if' Analysis

September 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 22, 2018
0.00
If you would invest  0.00  in Analog Devices on September 22, 2018 and sell it all today you would earn a total of 0.00 from holding Analog Devices or generate 0.0% return on investment in Analog Devices over 30 days. Analog Devices is related to or competes with Diodes Incorporated, Aquantia Corp, Cypress Semiconductor, MagnaChip Semiconductor, ON Semiconductor, DSP, and EMCORE. Analog Devices, Inc. designs, manufactures, and markets a portfolio of solutions that leverage analog, mixed-signal, and...

Analog Devices Upside/Downside Indicators

Information Ratio0.32
Maximum Drawdown5.34
Value At Risk3.56
Potential Upside1.78
  

Analog Devices Market Premium Indicators

Risk Adjusted Performance0.46
Jensen Alpha0.59
Total Risk Alpha0.42
Treynor Ratio1.46

Analog Devices Backtested Returns

Macroaxis considers Analog Devices to be not too risky. Analog Devices secures Sharpe Ratio (or Efficiency) of -0.3746 which signifies that Analog Devices had -0.3746% of return per unit of standard deviation over the last 1 month. 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. Analog Devices exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Analog Devices Mean Deviation of 1.15 and Risk Adjusted Performance of 0.46 to double-check risk estimate we provide. Macroaxis gives Analog Devices performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4594 which signifies that as returns on market increase, Analog Devices returns are expected to increase less than the market. However during bear market, the loss on holding Analog Devices will be expected to be smaller as well.. Even though it is essential to pay attention to Analog Devices 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. Analog Devices exposes twenty-eight different technical indicators which can help you to evaluate its performance. Analog Devices has expected return of -0.605%. Please be advised to confirm Analog Devices Sortino Ratio, Semi Variance and the relationship between Information Ratio and Value At Risk to decide if Analog Devices past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 

Good predictability

Analog Devices has good predictability. Overlapping area represents the amount of predictability between Analog Devices time series from September 22, 2018 to October 7, 2018 and October 7, 2018 to October 22, 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 Analog Devices price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Analog Devices price fluctuation can be explain by its past prices.
Correlation Coefficient0.65
Spearman Rank Test0.81
Residual Average0.0
Price Variance1.83

Analog Devices lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Analog Devices regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Analog Devices Lagged Returns

 Regressed Prices 
      Timeline 

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Analog Devices Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Analog Devices and Diodes Incorporated. 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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Check also Analog Devices Hype Analysis, Analog Devices Correlation, Analog Devices Valuation, Analog Devices Volatility as well as analyze Analog Devices Alpha and Beta and Analog Devices Performance. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.
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