Analog Devices Backtesting

Analog Devices -- USA Stock  

USD 89.76  0.09  0.10%

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.
 Time Horizon     30 Days    Login   to change

Analog Devices 'What if' Analysis

February 22, 2018
No Change 0.00  0.0%
In 2 months and 1 day
April 23, 2018
If you would invest  0.00  in Analog Devices on February 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 60 days. Analog Devices is related to or competes with Flex Ltd, Advanced Micro, Arrow Electronics, Avnet, Xilinx, and TEXAS INSTRUMENTS. Analog Devices, Inc. designs, manufactures, and markets a portfolio of solutions that leverage analog, mixed-signal, and...

Analog Devices Upside/Downside Indicators

Downside Deviation1.93
Information Ratio0.1026
Maximum Drawdown11.16
Value At Risk2.89
Potential Upside2.44

Analog Devices Market Premium Indicators

Risk Adjusted Performance0.0989
Jensen Alpha0.1142
Total Risk Alpha0.2164
Sortino Ratio0.1036
Treynor Ratio0.9369

Analog Devices Backtested Returns

We consider Analog Devices not too risky. Analog Devices secures Sharpe Ratio (or Efficiency) of 0.0259 which signifies that Analog Devices had 0.0259% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing 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-one technical indicators for Analog Devices which you can use to evaluate future volatility of the firm. Please confirm Analog Devices Mean Deviation of 1.43 and Risk Adjusted Performance of 0.0989 to double-check if risk estimate we provide are consistent with the epected return of 0.0507%. Analog Devices has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1105 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.. Although it is extremely important to respect Analog Devices 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 Analog Devices technical indicators you can presently evaluate if the expected return of 0.0507% will be sustainable into the future. Analog Devices right now shows a risk of 1.9584%. Please confirm Analog Devices Jensen Alpha, Semi Variance and the relationship between Standard Deviation and Value At Risk to decide if Analog Devices will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.33 

Below average predictability

Analog Devices has below average predictability. Overlapping area represents the amount of predictability between Analog Devices time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 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 Analog Devices price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Analog Devices price fluctuation can be explain by its past prices.
Correlation Coefficient 0.33
Spearman Rank Test -0.1
Price Variance 3.83
Lagged Price Variance 4.04

Analog Devices lagged returns against current returns

 Current and Lagged Values 

Analog Devices regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Analog Devices Lagged Returns

 Regressed Prices 

Current Sentiment - ADI

Analog Devices Investor Sentiment
Greater number of Macroaxis users are presently bullish on Analog Devices. What is your sentiment towards investing in Analog Devices? Are you bullish or bearish?
98% Bullish
2% Bearish

BATS Exchange Efficient Frontier

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .