CA Backtesting

CA -- USA Stock  

USD 44.02  0.07  0.16%

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

August 24, 2018
No Change 0.00  0.0%
In 31 days
September 23, 2018
If you would invest  0.00  in CA on August 24, 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 30 days. CA is related to or competes with BlackLine, Determine, Dell Technologies, EVO Payments, EVERTEC, and F5 Networks. CA, Inc., together with its subsidiaries, develops, markets, delivers, and licenses software products and services in th...

CA Upside/Downside Indicators

Downside Deviation0.1316
Information Ratio0.81
Maximum Drawdown0.7772
Value At Risk0.18
Potential Upside0.2275

CA Market Premium Indicators

Risk Adjusted Performance0.0764
Jensen Alpha0.0048
Total Risk Alpha0.038026
Sortino Ratio1.07
Treynor Ratio0.2052

CA Backtested Returns

We consider CA not too risky. CA secures Sharpe Ratio (or Efficiency) of 0.2897 which signifies that CA had 0.2897% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty technical indicators for CA which you can use to evaluate future volatility of the firm. Please confirm CA Mean Deviation of 0.1214, Risk Adjusted Performance of 0.0764 and Downside Deviation of 0.1316 to double-check if risk estimate we provide are consistent with the epected return of 0.0468%. CA has performance score of 19 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1235 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.. Although it is extremely important to respect CA historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing CA technical indicators you can presently evaluate if the expected return of 0.0468% will be sustainable into the future. CA right now shows a risk of 0.1614%. Please confirm CA Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to decide if CA will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.41 

Average predictability

CA has average predictability. Overlapping area represents the amount of predictability between CA time series from August 24, 2018 to September 8, 2018 and September 8, 2018 to September 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 0.41 indicates that just about 41.0% of current CA price fluctuation can be explain by its past prices.
Correlation Coefficient0.41
Spearman Rank Test0.7
Residual Average0.0
Price Variance0.0

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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Risk-Return Analysis

View associations between returns expected from investment and the risk you assume
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CA Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CA and BlackLine. 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 Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.