ON Semiconductor Backtesting

ON Semiconductor Corporation -- USA Stock  

USD 25.04  0.3  1.21%

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
 Time Horizon     30 Days    Login   to change

ON Semiconductor 'What if' Analysis

December 23, 2017
No Change 0.00  0.0%
In 31 days
January 22, 2018
If you would invest  0.00  in ON Semiconductor on December 23, 2017 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 Micron Technology, Flex Ltd, Analog Devices, Advanced Micro, and Arrow Electronics. Its Application Products Group segment offer analog mixedsignal and advanced logic application specific integrated circu...

ON Semiconductor Upside/Downside Indicators


ON Semiconductor Market Premium Indicators

ON Semiconductor lagged returns against current returns

 Current and Lagged Values 

ON Semiconductor regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ON Semiconductor Backtested Returns

ON Semiconductor is not too volatile given 1 month investment horizon. ON Semiconductor retains Efficiency (Sharpe Ratio) of 0.6165 which implies ON Semiconductor had 0.6165% of return per unit of price deviation over the last 1 month. Our way in which we are forecasting risk of a stock is to use both market data as well as company specific technical data. We found twenty different technical indicators which can help you to evaluate if expected returns of 1.0301% are justified by taking the suggested risk. Use ON Semiconductor Variance of 2.45 and Market Risk Adjusted Performance of 0.7728 to evaluate company specific risk that cannot be diversified away. ON Semiconductor holds performance score of 40 on a scale of zero to a hundred. The organization owns Beta (Systematic Risk) of 1.1006 which implies ON Semiconductor returns are very sensitive to returns on the market. as market goes up or down, ON Semiconductor is expected to follow.. Although it is vital to follow to ON Semiconductor existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. Macroaxis way in which we are forecasting future performance of any stock is to look not only at its past charts but also at the business as a whole, including all fundamental and technical indicators. To evaluate if ON Semiconductor expected return of 1.0301 will be sustainable into the future, we have found twenty different technical indicators which can help you to check if the expected returns are sustainable. Use ON Semiconductor Variance as well as the relationship between Value At Risk and Skewness to analyze future returns on ON Semiconductor.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.85 

Very good predictability

ON Semiconductor Corporation has very good predictability. Overlapping area represents the amount of predictability between ON Semiconductor time series from December 23, 2017 to January 7, 2018 and January 7, 2018 to January 22, 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 0.85 indicates that around 85.0% of current ON Semiconductor price fluctuation can be explain by its past prices.
Correlation Coefficient 0.85
Spearman Rank Test 0.85
Price Variance 0.62
Lagged Price Variance 0.74

ON Semiconductor Lagged Returns

 Regressed Prices 

ON Semiconductor Performance vs DOW

The median price of ON Semiconductor for the period between Sat, Dec 23, 2017 and Mon, Jan 22, 2018 is 22.78 with a coefficient of variation of 6.06. The daily time series for the period is distributed with a sample standard deviation of 1.35, arithmetic mean of 22.32, and mean deviation of 1.18. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by George Cave of 4261 shares of ON Semiconductor01/19/2018