Biogen Backtesting

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BIIB -- USA Stock  

Report: 28th of July 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Biogen Inc and determine expected loss or profit from investing in Biogen over given investment horizon. Continue to Biogen Hype Analysis, Biogen Correlation, Biogen Valuation, Biogen Volatility as well as analyze Biogen Alpha and Beta and Biogen Performance.
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Backtest

Biogen 'What if' Analysis

0.00
04/12/2020
No Change 0.00  0.0 
In 2 months and 31 days
07/11/2020
0.00
If you would invest  0.00  in Biogen on April 12, 2020 and sell it all today you would earn a total of 0.00 from holding Biogen Inc or generate 0.0% return on investment in Biogen over 90 days. Biogen is related to or competes with Gilead Sciences, Eli Lilly, GW Pharmaceuticals, GlaxoSmithKline PLC, Novartis, Johnson Johnson, and Astrazeneca PLC. Biogen Inc. discovers, develops, manufactures, and delivers therapies for treating neurological and neurodegenerative di...

Biogen Upside/Downside Indicators

Information Ratio(0.12)
Maximum Drawdown14.65
Value At Risk(3.27)
Potential Upside4.11

Biogen Market Premium Indicators

Risk Adjusted Performance(0.09)
Jensen Alpha(0.13)
Total Risk Alpha(0.37)
Treynor Ratio1.18

Biogen Inc Backtested Returns

Biogen Inc secures Sharpe Ratio (or Efficiency) of -0.0807, which signifies that the company had -0.0807% of return per unit of risk over the last 3 months. Macroaxis standpoint towards foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Biogen Inc exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Biogen Inc mean deviation of 1.86, and risk adjusted performance of (0.09) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.1231, which signifies not very significant fluctuations relative to the market. Let's try to break down what Biogen's beta means in this case. As returns on the market increase, returns on owning Biogen are expected to decrease at a much lower rate. During the bear market, Biogen is likely to outperform the market. Even though it is essential to pay attention to Biogen Inc historical returns, it is always good to be careful when utilizing equity current trending patterns. Our philosophy towards foreseeing any stock's future performance is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Biogen Inc exposes twenty-eight different technical indicators, which can help you to evaluate its performance. Biogen Inc has an expected return of -0.1986%. Please be advised to confirm Biogen Inc maximum drawdown, semi variance, and the relationship between the sortino ratio and potential upside to decide if Biogen Inc stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.26 
correlation synergy

Poor predictability

Biogen Inc has poor predictability. Overlapping area represents the amount of predictability between Biogen time series from 12th of April 2020 to 27th of May 2020 and 27th of May 2020 to 11th of July 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Biogen Inc price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Biogen price fluctuation can be explain by its past prices.
Correlation Coefficient0.26
Spearman Rank Test0.51
Residual Average0.0
Price Variance255.98

Biogen Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Biogen regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Biogen Lagged Returns

 Regressed Prices 
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Current Sentiment - BIIB

Biogen Inc Investor Sentiment

Majority of Macroaxis users are currently bullish on Biogen Inc. What is your opinion about investing in Biogen Inc? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Biogen Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Biogen and Gilead Sciences. 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
Run Pair Correlation  
Continue to Biogen Hype Analysis, Biogen Correlation, Biogen Valuation, Biogen Volatility as well as analyze Biogen Alpha and Beta and Biogen Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page