ON Semiconductor Backtesting

ON Semiconductor Corporation -- USA Stock  

USD 23.31  0.44  1.85%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ON Semiconductor 'What if' Analysis

February 26, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 27, 2018
0.00
If you would invest  0.00  in ON Semiconductor on February 26, 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 60 days. ON Semiconductor is related to or competes with Micron Technology, Flex Ltd, Analog Devices, Advanced Micro, Arrow Electronics, and AVNET INC. ON Semiconductor Corporation manufactures and sells semiconductor components for various electronic devices worldwide

ON Semiconductor Upside/Downside Indicators

Downside Deviation2.77
Information Ratio0.0168
Maximum Drawdown10.38
Value At Risk4.46
Potential Upside4.13
  

ON Semiconductor Market Premium Indicators

Risk Adjusted Performance0.0244
Jensen Alpha0.0295
Total Risk Alpha0.0529
Sortino Ratio0.0153
Treynor Ratio0.0593

ON Semiconductor Backtested Returns

Macroaxis considers ON Semiconductor to be not very risky. ON Semiconductor retains Efficiency (Sharpe Ratio) of -0.0116 which implies ON Semiconductor had -0.0116% of return per unit of price deviation over the last 2 months. 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 2.51 and Market Risk Adjusted Performance of 0.0693 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 0.3704 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 -0.029%. 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 0.34 

Below average predictability

ON Semiconductor Corporation has below average predictability. Overlapping area represents the amount of predictability between ON Semiconductor time series from February 26, 2018 to March 28, 2018 and March 28, 2018 to April 27, 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 0.34 indicates that nearly 34.0% of current ON Semiconductor price fluctuation can be explain by its past prices.
Correlation Coefficient 0.34
Spearman Rank Test -0.22
Price Variance 0.6
Lagged Price Variance 0.75

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 

Did you try this?

Run Financial Widgets Now
   

Financial Widgets

Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets
View All  Next Launch Financial Widgets

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
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .