Analog Devices Backtesting

ADI -- USA Stock  

USD 98.07  0.05  0.05%

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
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Backtest

Analog Devices 'What if' Analysis

June 16, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 16, 2018
0.00
If you would invest  0.00  in Analog Devices on June 16, 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, Electro Scientific, Envision Solar, and . Analog Devices, Inc. designs, manufactures, and markets a portfolio of solutions that leverage analog, mixed-signal, and...

Analog Devices Upside/Downside Indicators

Information Ratio0.20
Maximum Drawdown4.35
Value At Risk2.24
Potential Upside2.0
  

Analog Devices Market Premium Indicators

Risk Adjusted Performance0.04836
Jensen Alpha0.16
Total Risk Alpha0.40
Treynor Ratio0.66

Analog Devices Backtested Returns

Macroaxis considers Analog Devices to be not too risky. Analog Devices secures Sharpe Ratio (or Efficiency) of -0.1064 which signifies that Analog Devices had -0.1064% 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 0.9564 and Risk Adjusted Performance of 0.04836 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 0.2055 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 -0.1365%. 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(0.75) 

Almost perfect reverse predictability

Analog Devices has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Analog Devices time series from June 16, 2018 to July 1, 2018 and July 1, 2018 to July 16, 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 -0.75 indicates that around 75.0% of current Analog Devices price fluctuation can be explain by its past prices. Given that Analog Devices has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Analog Devices for similar time interval.
Correlation Coefficient -0.75
Spearman Rank Test -0.72
Price Variance 1.4
Lagged Price Variance 3.49

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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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.