Genmab Backtesting

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GMAB -- Denmark Stock  

DKK 2,028  73.00  3.47%

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

Genmab AS 'What if' Analysis

0.00
02/27/2020
No Change 0.00  0.0 
In 2 months and 31 days
05/27/2020
0.00
If you would invest  0.00  in Genmab AS on February 27, 2020 and sell it all today you would earn a total of 0.00 from holding Genmab AS or generate 0.0% return on investment in Genmab AS over 90 days. Genmab AS, a biotechnology company, creates and develops antibody therapeutics for the treatment of cancer primarily in ...

Genmab AS Upside/Downside Indicators

Downside Deviation4.34
Information Ratio0.1529
Maximum Drawdown16.69
Value At Risk(5.81)
Potential Upside5.5

Genmab AS Market Premium Indicators

Risk Adjusted Performance0.451
Jensen Alpha0.3803
Total Risk Alpha0.4914
Sortino Ratio0.1192
Treynor Ratio3.76

Genmab AS Backtested Returns

Macroaxis considers Genmab AS very steady given 3 months investment horizon. Genmab AS holds Efficiency (Sharpe) Ratio of 0.1415, which attests that the entity had 0.1415% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating Genmab AS technical indicators you can presently evaluate if the expected return of 0.5142% is justified by implied risk. Please utilize Genmab AS Risk Adjusted Performance of 0.451, Market Risk Adjusted Performance of 3.77 and Downside Deviation of 4.34 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Genmab AS holds performance score of 9. The company retains a Market Volatility (i.e. Beta) of 0.0972, which attests that as returns on market increase, Genmab AS returns are expected to increase less than the market. However, during bear market, the loss on holding Genmab AS will be expected to be smaller as well. Although it is vital to follow to Genmab AS current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards determining 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. We have found twenty-one technical indicators for Genmab AS, which you can use to evaluate performance of the corporation. Please utilizes Genmab AS Standard Deviation, Information Ratio, Treynor Ratio, as well as the relationship between Variance and Jensen Alpha to make a quick decision on weather Genmab AS current trending patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

Genmab AS has very weak reverse predictability. Overlapping area represents the amount of predictability between Genmab AS time series from 27th of February 2020 to 12th of April 2020 and 12th of April 2020 to 27th of May 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 Genmab AS price movement. The serial correlation of -0.03 indicates that only 3.0% of current Genmab AS price fluctuation can be explain by its past prices. Given that Genmab AS has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Genmab AS for similar time interval.
Correlation Coefficient-0.03
Spearman Rank Test-0.11
Residual Average0.0
Price Variance35429.33

Genmab AS lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Genmab AS regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Genmab AS Lagged Returns

 Regressed Prices 
      Timeline 

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Please check Genmab AS Hype Analysis, Genmab AS Correlation, Genmab AS Valuation, Genmab AS Volatility as well as analyze Genmab AS Alpha and Beta and Genmab AS Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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