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.
|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|