Micron Technology Backtesting

MU -- USA Stock  

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

Micron Technology 'What if' Analysis

August 21, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
0.00
If you would invest  0.00  in Micron Technology on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding Micron Technology or generate 0.0% return on investment in Micron Technology over 90 days. Micron Technology is related to or competes with Fabrinet, Impinj, Deswell Industries, Eltek Ltd, Flex Ltd, and Amphenol. Micron Technology, Inc. manufactures and sells memory and storage solutions worldwide

Micron Technology Upside/Downside Indicators

Downside Deviation2.88
Information Ratio(0.005916)
Maximum Drawdown15.83
Value At Risk(4.06)
Potential Upside4.05

Micron Technology Market Premium Indicators

Risk Adjusted Performance0.0309
Jensen Alpha(0.13)
Total Risk Alpha(0.27)
Sortino Ratio(0.005476)
Treynor Ratio0.0351

Micron Technology Backtested Returns

We consider Micron Technology not too volatile. Micron Technology has Sharpe Ratio of 0.0443 which conveys that the firm had 0.0443% 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 Micron Technology which you can use to evaluate future volatility of the firm. Please verify Micron Technology Mean Deviation of 1.96, Downside Deviation of 2.88 and Risk Adjusted Performance of 0.0309 to check out if risk estimate we provide are consistent with the epected return of 0.1196%. Micron Technology has performance score of 2 on a scale of 0 to 100. The company secures Beta (Market Risk) of 2.2142 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Micron Technology will likely underperform. Although it is extremely important to respect Micron Technology price patterns, it is better to be realistic regarding the information on 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 Micron Technology technical indicators you can presently evaluate if the expected return of 0.1196% will be sustainable into the future. Micron Technology right now secures a risk of 2.6987%. Please verify Micron Technology Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to decide if Micron Technology will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 
correlation synergy

Average predictability

Micron Technology has average predictability. Overlapping area represents the amount of predictability between Micron Technology time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 Micron Technology price movement. The serial correlation of 0.49 indicates that about 49.0% of current Micron Technology price fluctuation can be explain by its past prices.
Correlation Coefficient0.49
Spearman Rank Test0.02
Residual Average0.0
Price Variance3.53

Micron Technology lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Micron Technology regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Micron Technology Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also Micron Technology Hype Analysis, Micron Technology Correlation, Micron Technology Valuation, Micron Technology Volatility as well as analyze Micron Technology Alpha and Beta and Micron Technology Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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