VBI Vaccines Backtesting

VBIV -- USA Stock  

USD 2.93  0.04  1.38%

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

June 15, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 15, 2018
0.00
If you would invest  0.00  in VBI Vaccines on June 15, 2018 and sell it all today you would earn a total of 0.00 from holding VBI Vaccines or generate 0.0% return on investment in VBI Vaccines over 30 days. VBI Vaccines is related to or competes with Foamix Pharmaceuticals, and IBEX Technologies. VBI Vaccines Inc., a biopharmaceutical company, develops and sells vaccines to address unmet needs in infectious disease...

VBI Vaccines Upside/Downside Indicators

Information Ratio0.45
Maximum Drawdown7.67
Value At Risk6.38
Potential Upside2.52
  

VBI Vaccines Market Premium Indicators

Risk Adjusted Performance0.21
Jensen Alpha1.26
Total Risk Alpha1.80
Treynor Ratio2.45

VBI Vaccines Backtested Returns

Macroaxis considers VBI Vaccines to be risky. VBI Vaccines owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.3056 which indicates VBI Vaccines had -0.3056% of return per unit of volatility over the last 1 month. Macroaxis approach towards measuring 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. VBI Vaccines exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VBI Vaccines Risk Adjusted Performance of 0.21 and Market Risk Adjusted Performance of 2.44 to confirm risk estimate we provide. Macroaxis gives VBI Vaccines performance score of 0 on a scale of 0 to 100. The corporation has beta of 0.4897 which indicates as returns on market increase, VBI Vaccines returns are expected to increase less than the market. However during bear market, the loss on holding VBI Vaccines will be expected to be smaller as well.. Even though it is essential to pay attention to VBI Vaccines current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis approach towards measuring 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. VBI Vaccines exposes twenty-one different technical indicators which can help you to evaluate its performance. VBI Vaccines has expected return of -0.8335%. Please be advised to validate VBI Vaccines Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to decide if VBI Vaccines past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.92) 

Near perfect reversele predictability

VBI Vaccines has near perfect reversele predictability. Overlapping area represents the amount of predictability between VBI Vaccines time series from June 15, 2018 to June 30, 2018 and June 30, 2018 to July 15, 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 VBI Vaccines price movement. The serial correlation of -0.92 indicates that approximately 92.0% of current VBI Vaccines price fluctuation can be explain by its past prices. Given that VBI Vaccines has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of VBI Vaccines for similar time interval.
Correlation Coefficient -0.92
Spearman Rank Test -0.93
Price Variance 0.01
Lagged Price Variance 0.05

VBI Vaccines lagged returns against current returns

 Current and Lagged Values 
      Timeline 

VBI Vaccines regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

VBI Vaccines Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at VBI Vaccines Hype Analysis, VBI Vaccines Correlation, VBI Vaccines Valuation, VBI Vaccines Volatility as well as analyze VBI Vaccines Alpha and Beta and VBI Vaccines Performance. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.