Visa Backtesting

V -- USA Stock  

USD 149.23  0.82  0.55%

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

Visa 'What if' Analysis

August 25, 2018
No Change 0.00  0.0%
In 31 days
September 24, 2018
If you would invest  0.00  in Visa on August 25, 2018 and sell it all today you would earn a total of 0.00 from holding Visa or generate 0.0% return on investment in Visa over 30 days. Visa is related to or competes with Genpact, Broadridge Financial, Bazaarvoice, Verisk Analytics, Eco Tek, and Euronet Worldwide. Visa Inc. operates as a payments technology company worldwide

Visa Upside/Downside Indicators

Downside Deviation1.56
Information Ratio0.0896
Maximum Drawdown6.49
Value At Risk1.12
Potential Upside1.28

Visa Market Premium Indicators

Risk Adjusted Performance0.1124
Jensen Alpha0.1358
Total Risk Alpha0.17
Sortino Ratio0.0702
Treynor Ratio0.3272

Visa Backtested Returns

We consider Visa not too risky. Visa owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1493 which indicates Visa had 0.1493% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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-eight technical indicators for Visa which you can use to evaluate future volatility of the company. Please validate Visa Semi Deviation of 1.15, Coefficient Of Variation of 428.44 and Risk Adjusted Performance of 0.1124 to confirm if risk estimate we provide are consistent with the epected return of 0.1633%. Visa has performance score of 9 on a scale of 0 to 100. The entity has beta of 0.843 which indicates as returns on market increase, Visa returns are expected to increase less than the market. However during bear market, the loss on holding Visa will be expected to be smaller as well.. Although it is extremely important to respect Visa current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Visa technical indicators you can presently evaluate if the expected return of 0.1633% will be sustainable into the future. Visa right now has a risk of 1.0938%. Please validate Visa Value At Risk, Kurtosis, Market Facilitation Index, as well as the relationship between Semi Variance and Rate Of Daily Change to decide if Visa will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 

Modest reverse predictability

Visa has modest reverse predictability. Overlapping area represents the amount of predictability between Visa time series from August 25, 2018 to September 9, 2018 and September 9, 2018 to September 24, 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 Visa price movement. The serial correlation of -0.46 indicates that about 46.0% of current Visa price fluctuation can be explain by its past prices. Given that Visa has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Visa for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.45
Residual Average0.0
Price Variance2.73

Visa lagged returns against current returns

 Current and Lagged Values 

Visa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Visa Lagged Returns

 Regressed Prices 

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Also please take a look at Visa Hype Analysis, Visa Correlation, Visa Valuation, Visa Volatility as well as analyze Visa Alpha and Beta and Visa Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.