ON Semiconductor Backtesting

ON -- USA Stock  

USD 16.65  0.14  0.85%

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

ON Semiconductor 'What if' Analysis

September 16, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 16, 2018
0.00
If you would invest  0.00  in ON Semiconductor on September 16, 2018 and sell it all today you would earn a total of 0.00 from holding ON Semiconductor Corporation or generate 0.0% return on investment in ON Semiconductor over 30 days. ON Semiconductor is related to or competes with Diodes Incorporated, Aquantia Corp, Cypress Semiconductor, MagnaChip Semiconductor, DSP, and EMCORE. ON Semiconductor Corporation manufactures and sells semiconductor components for various electronic devices worldwide

ON Semiconductor Upside/Downside Indicators

Information Ratio0.29
Maximum Drawdown9.1
Value At Risk4.25
Potential Upside1.99
  

ON Semiconductor Market Premium Indicators

Risk Adjusted Performance0.35
Jensen Alpha0.72
Total Risk Alpha0.48
Treynor Ratio1.20

ON Semiconductor Backtested Returns

Macroaxis considers ON Semiconductor to be not very risky. ON Semiconductor retains Efficiency (Sharpe Ratio) of -0.2873 which implies ON Semiconductor had -0.2873% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are forecasting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. ON Semiconductor exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ON Semiconductor Corporation Standard Deviation of 2.35 and Market Risk Adjusted Performance of 1.19 to confirm risk estimate we provide. Macroaxis gives ON Semiconductor performance score of 0 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of 0.6861 which implies as returns on market increase, ON Semiconductor returns are expected to increase less than the market. However during bear market, the loss on holding ON Semiconductor will be expected to be smaller as well.. Even though it is essential to pay attention to ON Semiconductor existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis way in which we are forecasting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ON Semiconductor exposes twenty-one different technical indicators which can help you to evaluate its performance. ON Semiconductor has expected return of -0.6567%. Please be advised to check ON Semiconductor Corporation Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if ON Semiconductor past performance will be repeated sooner or later.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.45 

Average predictability

ON Semiconductor Corporation has average predictability. Overlapping area represents the amount of predictability between ON Semiconductor time series from September 16, 2018 to October 1, 2018 and October 1, 2018 to October 16, 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 ON Semiconductor price movement. The serial correlation of 0.45 indicates that just about 45.0% of current ON Semiconductor price fluctuation can be explain by its past prices.
Correlation Coefficient0.45
Spearman Rank Test0.49
Residual Average0.0
Price Variance0.78

ON Semiconductor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ON Semiconductor regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ON Semiconductor Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at ON Semiconductor Hype Analysis, ON Semiconductor Correlation, ON Semiconductor Valuation, ON Semiconductor Volatility as well as analyze ON Semiconductor Alpha and Beta and ON Semiconductor Performance. Please also try Portfolio Quick Import module to import or update all your transactions via one easy-to-use interface.
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