Analog Devices Backtesting

Analog Devices Inc -- USA Stock  

USD 96.75  0.49  0.5%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Analog Devices Inc 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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Analog Devices 'What if' Analysis

December 20, 2017
0.00
No Change 0.00  0.0%
In 31 days
January 19, 2018
0.00
If you would invest  0.00  in Analog Devices on December 20, 2017 and sell it all today you would earn a total of 0.00 from holding Analog Devices Inc or generate 0.0% return on investment in Analog Devices over 30 days. Analog Devices is related to or competes with Micron Technology, ON Semiconductor, Flex Ltd, Advanced Micro, and Arrow Electronics. It offers data converter products, which translate realworld analog signals into digital data, as well as translates dig...

Analog Devices Upside/Downside Indicators

  

Analog Devices Market Premium Indicators

Analog Devices Inc lagged returns against current returns

 Current and Lagged Values 
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Analog Devices regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Analog Devices Inc Backtested Returns

Macroaxis considers Analog Devices not too risky given 1 month investment horizon. Analog Devices Inc secures Sharpe Ratio (or Efficiency) of 0.501 which signifies that Analog Devices Inc had 0.501% of return per unit of standard deviation over the last 1 month. 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-seven technical indicators for Analog Devices Inc which you can use to evaluate future volatility of the firm. Please makes use of Analog Devices Inc Mean Deviation of 0.7267 and Risk Adjusted Performance of 0.2505 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Analog Devices holds performance score of 32. The firm shows Beta (market volatility) of 0.1794 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 vital to follow to Analog Devices Inc historical returns, it is good to be conservative about what you can actually do with the information regarding 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 Inc technical indicators you can presently evaluate if the expected return of 0.4676% will be sustainable into the future. Please makes use of Analog Devices Inc Treynor Ratio, Expected Short fall and the relationship between Jensen Alpha and Potential Upside to make a quick decision on weather Analog Devices price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.9 

Excellent predictability

Analog Devices Inc has excellent predictability. Overlapping area represents the amount of predictability between Analog Devices time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 Inc price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Analog Devices price fluctuation can be explain by its past prices.
Correlation Coefficient 0.9
Spearman Rank Test 0.64
Price Variance 4.32
Lagged Price Variance 1.05

Analog Devices Lagged Returns

 Regressed Prices 
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Analog Devices Performance vs DOW

The median price of Analog Devices for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 90.28 with a coefficient of variation of 2.77. The daily time series for the period is distributed with a sample standard deviation of 2.51, arithmetic mean of 90.56, and mean deviation of 1.94. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
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2
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