ON Semiconductor Backtesting

ON -- USA Stock  

USD 17.80  0.61  0.03%

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
SymbolX
Backtest

ON Semiconductor 'What if' Analysis

November 23, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 22, 2019
0.00
If you would invest  0.00  in ON Semiconductor on November 23, 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 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

Downside Deviation3.93
Information Ratio0.0176
Maximum Drawdown17.12
Value At Risk(6.28)
Potential Upside5.43
  

ON Semiconductor Market Premium Indicators

Risk Adjusted Performance0.013
Jensen Alpha(0.00373)
Total Risk Alpha0.1104
Sortino Ratio0.0159
Treynor Ratio(0.033875)

ON Semiconductor Backtested Returns

Macroaxis considers ON Semiconductor to be moderately volatile. ON Semiconductor retains Efficiency (Sharpe Ratio) of -0.0158 which implies the corporation had -0.0158% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ON Semiconductor Corporation Market Risk Adjusted Performance of (0.023875) and Standard Deviation of 3.57 to confirm risk estimate we provide. The organization owns Beta (Systematic Risk) of -0.1601 which implies as returns on market increase, returns on owning ON Semiconductor are expected to decrease at a much smaller rate. During bear market, ON Semiconductor is likely to outperform the market. 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-eight different technical indicators which can help you to evaluate its performance. ON Semiconductor has expected return of -0.0569%. Please be advised to check ON Semiconductor Corporation Maximum Drawdown, and the relationship between Information Ratio 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(0.70) 
correlation synergy

Very good reverse predictability

ON Semiconductor Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between ON Semiconductor time series from November 23, 2018 to December 23, 2018 and December 23, 2018 to January 22, 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 ON Semiconductor price movement. The serial correlation of -0.7 indicates that around 70.0% of current ON Semiconductor price fluctuation can be explain by its past prices. Given that ON Semiconductor Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ON Semiconductor for similar time interval.
Correlation Coefficient-0.7
Spearman Rank Test-0.82
Residual Average0.0
Price Variance1.11

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 Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.
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