CA Backtesting

CA Inc -- USA Stock  

USD 33.77  0.58  1.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of CA Inc 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
Investment Horizon     30 Days    Login   to change

CA 'What if' Analysis

November 15, 2017
No Change 0.00  0.0%
In 31 days
December 15, 2017
If you would invest  0.00  in CA on November 15, 2017 and sell it all today you would earn a total of 0.00 from holding CA Inc or generate 0.0% return on investment in CA over 30 days. CA is related to or competes with Broadridge Financial, Gartner, Workday, F5 Networks, and CDK Global. CA Inc operates through three segments Mainframe Solutions, Enterprise Solutions, and Services

CA Upside/Downside Indicators


CA Market Premium Indicators

CA Inc lagged returns against current returns

 Current and Lagged Values 

CA regressed lagged prices vs. current prices

 Current vs Lagged Prices 

CA Inc Backtested Returns

We consider CA not too risky. CA Inc retains Efficiency (Sharpe Ratio) of 0.2673 which signifies that CA Inc had 0.2673% of return per unit of price deviation over the last 1 month. Our way in which we are foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for CA which you can use to evaluate future volatility of the entity. Please confirm CA Inc Variance of 0.3415, Market Risk Adjusted Performance of 0.1604 and Standard Deviation of 0.5844 to double-check if risk estimate we provide are consistent with the epected return of 0.1506%. CA has performance score of 17 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of 0.757 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 Inc existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are 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 evaluating CA Inc technical indicators you can at this moment evaluate if the expected return of 0.1506% will be sustainable into the future. CA Inc today owns a risk of 0.5634%. Please confirm CA Inc Jensen Alpha, Maximum Drawdown and the relationship between Coefficient Of Variation and Sortino Ratio to decide if CA Inc will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.36 

Below average predictability

CA Inc has below average predictability. Overlapping area represents the amount of predictability between CA time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 2017. 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 Inc 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 0.56
Price Variance 0.02
Lagged Price Variance 0.04

CA Lagged Returns

 Regressed Prices 

CA Performance vs DOW

The median price of CA for the period between Wed, Nov 15, 2017 and Fri, Dec 15, 2017 is 33.07 with a coefficient of variation of 1.28. The daily time series for the period is distributed with a sample standard deviation of 0.42, arithmetic mean of 32.9, and mean deviation of 0.38. The Stock received some media coverage during the period.
November 29, 2017CA Dividend Paid
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