Micron Technology Backtesting

Micron Technology -- USA Stock  

USD 51.42  2.59  4.80%

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.
 Time Horizon     30 Days    Login   to change

Micron Technology 'What if' Analysis

February 18, 2018
No Change 0.00  0.0%
In 2 months and 2 days
April 19, 2018
If you would invest  0.00  in Micron Technology on February 18, 2018 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 60 days. Micron Technology is related to or competes with ON Semiconductor, Flex Ltd, Analog Devices, Advanced Micro, Arrow Electronics, and AVNET INC. Micron Technology, Inc. provides semiconductor systems worldwide

Micron Technology Upside/Downside Indicators

Downside Deviation3.57
Information Ratio0.1363
Maximum Drawdown16.83
Value At Risk5.69
Potential Upside5.25

Micron Technology Market Premium Indicators

Risk Adjusted Performance0.224
Jensen Alpha0.4176
Total Risk Alpha0.4922
Sortino Ratio0.1286
Treynor Ratio1.56

Micron Technology Backtested Returns

Macroaxis considers Micron Technology not very risky given 2 months investment horizon. Micron Technology has Sharpe Ratio of 0.1224 which conveys that Micron Technology had 0.1224% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with company 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 exercise Micron Technology Downside Deviation of 3.57, Mean Deviation of 2.57 and Risk Adjusted Performance of 0.224 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Micron Technology holds performance score of 8. The company secures Beta (Market Risk) of -0.273 which conveys that as returns on market increase, returns on owning Micron Technology are expected to decrease at a much smaller rate. During bear market, Micron Technology is likely to outperform the market.. Although it is vital to follow to Micron Technology 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 Micron Technology technical indicators you can presently evaluate if the expected return of 0.4158% will be sustainable into the future. Please exercises Micron Technology Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to make a quick decision on weather Micron Technology current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.58) 

Good reverse predictability

Micron Technology has good reverse predictability. Overlapping area represents the amount of predictability between Micron Technology time series from February 18, 2018 to March 20, 2018 and March 20, 2018 to April 19, 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 Micron Technology price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Micron Technology price fluctuation can be explain by its past prices. Given that Micron Technology has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Micron Technology for similar time interval.
Correlation Coefficient -0.58
Spearman Rank Test -0.44
Price Variance 12.49
Lagged Price Variance 33.75

Micron Technology lagged returns against current returns

 Current and Lagged Values 

Micron Technology regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Micron Technology Lagged Returns

 Regressed Prices 

Current Sentiment - MU

Micron Technology Investor Sentiment
Nearly all of Macroaxis users are now bullish on Micron Technology. What is your trading attitude regarding investing in Micron Technology? Are you bullish or bearish?
98% Bullish
2% Bearish
Skip  Hide

Generate Optimal Portfolios

Align your risk and return expectations
Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 CEO Directory module to screen ceos from public companies around the world.