Lam Research Backtesting

LRCX -- USA Stock  

USD 235.56  0.69  0.29%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Lam Research Corporation and determine expected loss or profit from investing in Lam Research over given investment horizon. Please see also Lam Research Hype Analysis, Lam Research Correlation, Lam Research Valuation, Lam Research Volatility as well as analyze Lam Research Alpha and Beta and Lam Research Performance.
Horizon     30 Days    Login   to change

Lam Research 'What if' Analysis

June 18, 2019
No Change 0.00  0.0%
In 2 months and 31 days
September 16, 2019
If you would invest  0.00  in Lam Research on June 18, 2019 and sell it all today you would earn a total of 0.00 from holding Lam Research Corporation or generate 0.0% return on investment in Lam Research over 90 days. Lam Research is related to or competes with DAQO New, eMagin, Enphase Energy, Entegris, Intermolecular, Park Electrochemical, and GREYSTONE LOGISTICS. Lam Research Corporation designs, manufactures, markets, refurbishes, and services semiconductor processing equipment us...

Lam Research Upside/Downside Indicators

Downside Deviation2.49
Information Ratio0.1914
Maximum Drawdown9.58
Value At Risk(3.06)
Potential Upside3.44

Lam Research Market Premium Indicators

Risk Adjusted Performance0.1861
Jensen Alpha0.3986
Total Risk Alpha0.3611
Sortino Ratio0.1528
Treynor Ratio(2.26)

Lam Research Backtested Returns

Macroaxis considers Lam Research very steady given 3 months investment horizon. Lam Research has Sharpe Ratio of 0.2187 which conveys that the firm had 0.2187% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lam Research which you can use to evaluate future volatility of the firm. Please exercise Lam Research Corporation Mean Deviation of 1.44, Risk Adjusted Performance of 0.1861 and Downside Deviation of 2.49 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Lam Research holds performance score of 14. The company secures Beta (Market Risk) of -0.1755 which conveys that as returns on market increase, returns on owning Lam Research are expected to decrease at a much smaller rate. During bear market, Lam Research is likely to outperform the market. Although it is vital to follow to Lam Research price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy towards estimating 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 Lam Research technical indicators you can presently evaluate if the expected return of 0.4444% will be sustainable into the future. Please exercises Lam Research Corporation Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to make a quick decision on weather Lam Research current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.92 
correlation synergy

Excellent predictability

Lam Research Corporation has excellent predictability. Overlapping area represents the amount of predictability between Lam Research time series from June 18, 2019 to August 2, 2019 and August 2, 2019 to September 16, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Lam Research price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current Lam Research price fluctuation can be explain by its past prices.
Correlation Coefficient0.92
Spearman Rank Test0.8
Residual Average0.0
Price Variance192.29

Lam Research lagged returns against current returns

 Current and Lagged Values 

Lam Research regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Lam Research Lagged Returns

 Regressed Prices 

Current Sentiment - LRCX

Lam Research Investor Sentiment

Most of Macroaxis users are now bullish on Lam Research Corporation. What is your trading attitude regarding investing in Lam Research Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please see also Lam Research Hype Analysis, Lam Research Correlation, Lam Research Valuation, Lam Research Volatility as well as analyze Lam Research Alpha and Beta and Lam Research Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.