CA Backtesting

CA -- USA Stock  

USD 34.58  0.26  0.75%

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

CA 'What if' Analysis

February 22, 2018
No Change 0.00  0.0%
In 2 months and 1 day
April 23, 2018
If you would invest  0.00  in CA on February 22, 2018 and sell it all today you would earn a total of 0.00 from holding CA or generate 0.0% return on investment in CA over 60 days. CA is related to or competes with Broadridge Financial, Gartner, Workday, F5 Networks, and Salesforce. CA, Inc. provides software and solutions that help organizations to plan, develop, manage, and secure applications and e...

CA Upside/Downside Indicators

Information Ratio0.0329
Maximum Drawdown6.28
Value At Risk2.83
Potential Upside2.65

CA Market Premium Indicators

Risk Adjusted Performance0.046323
Jensen Alpha0.037586
Total Risk Alpha0.0353
Treynor Ratio0.42

CA Backtested Returns

Macroaxis considers CA to be not too volatile. CA secures Sharpe Ratio (or Efficiency) of -0.0053 which signifies that CA had -0.0053% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in foreseeing 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. CA exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CA Mean Deviation of 1.03 and Risk Adjusted Performance of 0.046323 to double-check risk estimate we provide. Macroaxis gives CA performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1177 which signifies that as returns on market increase, CA returns are expected to increase less than the market. However during bear market, the loss on holding CA will be expected to be smaller as well.. Even though it is essential to pay attention to CA historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing 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. CA exposes twenty-one different technical indicators which can help you to evaluate its performance. CA has expected return of -0.0078%. Please be advised to confirm CA Variance, Maximum Drawdown and the relationship between Coefficient Of Variation and Jensen Alpha to decide if CA past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.36 

Below average predictability

CA has below average predictability. Overlapping area represents the amount of predictability between CA time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 23, 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 CA price movement. The serial correlation of 0.36 indicates that just about 36.0% of current CA price fluctuation can be explain by its past prices.
Correlation Coefficient 0.36
Spearman Rank Test 0.27
Price Variance 0.49
Lagged Price Variance 0.31

CA lagged returns against current returns

 Current and Lagged Values 

CA regressed lagged prices vs. current prices

 Current vs Lagged Prices 

CA Lagged Returns

 Regressed Prices 

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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Check also CA Hype Analysis, CA Correlation, CA Valuation, CA Volatility as well as analyze CA Alpha and Beta and CA Performance. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.