CA Backtesting

CA -- USA Stock  

USD 60.65  6.15  9.21%

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.
Horizon     30 Days    Login   to change

CA 'What if' Analysis

October 12, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 11, 2018
If you would invest  0.00  in CA on October 12, 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 Workday, Xunlei, Teradata, Unisys, VMware, and Alphabet. CA, Inc., doing business as CA technologies, develops, markets, delivers, and licenses software products and services in...

CA Upside/Downside Indicators

Downside Deviation11.61
Information Ratio0.125
Maximum Drawdown81.99
Value At Risk(2.66)
Potential Upside1.49

CA Market Premium Indicators

Risk Adjusted Performance0.1634
Jensen Alpha1.49
Total Risk Alpha2.73
Sortino Ratio0.1275
Treynor Ratio1.21

CA Backtested Returns

CA is relatively volatile given 2 months investment horizon. CA secures Sharpe Ratio (or Efficiency) of 0.122 which signifies that CA had 0.122% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.5539% are justified by taking the suggested risk. Use CA Mean Deviation of 4.38, Risk Adjusted Performance of 0.1634 and Semi Deviation of 5.39 to evaluate company specific risk that cannot be diversified away. CA holds performance score of 8 on a scale of zero to a hundred. The firm shows Beta (market volatility) of 1.0822 which signifies that CA returns are very sensitive to returns on the market. as market goes up or down, CA is expected to follow.. Although it is essential to pay attention to CA historical returns, it is also good to be reasonable about what you can actually do with equity current trending patterns. Macroaxis philosophy in foreseeing 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 CA expected return of 1.5539 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable. Use CA Variance, Maximum Drawdown and the relationship between Coefficient Of Variation and Jensen Alpha to analyze future returns on CA.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.43 
correlation synergy

Average predictability

CA has average predictability. Overlapping area represents the amount of predictability between CA time series from October 12, 2018 to November 11, 2018 and November 11, 2018 to December 11, 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 0.43 indicates that just about 43.0% of current CA price fluctuation can be explain by its past prices.
Correlation Coefficient0.43
Spearman Rank Test0.65
Residual Average0.0
Price Variance105.91

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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CA Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CA and Workday. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.