VASCO Data Backtesting

VDSI -- USA Stock  

USD 21.80  0.000001  0.00%

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

VASCO Data 'What if' Analysis

May 25, 2018
No Change 0.00  0.0%
In 31 days
June 24, 2018
If you would invest  0.00  in VASCO Data on May 25, 2018 and sell it all today you would earn a total of 0.00 from holding VASCO Data Security International or generate 0.0% return on investment in VASCO Data over 30 days. VASCO Data is related to or competes with Intrusion, Chipotle Mexican, Target, Valeant Pharmaceuticals, Merck, Cerus, and GAMESTOP CORP. VASCO Data Security International, Inc., together with its subsidiaries, designs, develops, and markets digital solution...

VASCO Data Upside/Downside Indicators

Information Ratio0.0014
Maximum Drawdown1.38
Value At Risk0.69
Potential Upside0.6928

VASCO Data Market Premium Indicators

Risk Adjusted Performance0.01

VASCO Data Security Backtested Returns

Macroaxis considers VASCO Data not too volatile given 1 month investment horizon. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2191 which indicates VASCO Data Security had 0.2191% of return per unit of standard deviation over the last 1 month. Our approach into measuring 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-one technical indicators for VASCO Data Security International which you can use to evaluate future volatility of the entity. Please operate VASCO Data Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 VASCO Data holds performance score of 14. The corporation has beta of 0.0 which indicates the returns on MARKET and VASCO Data are completely uncorrelated. Although it is extremely important to respect VASCO Data Security current price movements, it is better to be realistic regarding the information on equity historical returns. The approach into 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 examining VASCO Data Security technical indicators you can now evaluate if the expected return of 0.2418% will be sustainable into the future. Please operates VASCO Data Jensen Alpha and Downside Variance to make a quick decision on weather VASCO Data Security existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 

No correlation between past and present

VASCO Data Security International has no correlation between past and present. Overlapping area represents the amount of predictability between VASCO Data time series from May 25, 2018 to June 9, 2018 and June 9, 2018 to June 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 VASCO Data Security price movement. The serial correlation of 0.0 indicates that just 0.0% of current VASCO Data price fluctuation can be explain by its past prices.
Spearman Rank Test 0.87
Lagged Price Variance 0.21
Average Price 21.8
Lagged Average Price 21.55

VASCO Data Security lagged returns against current returns

 Current and Lagged Values 

VASCO Data regressed lagged prices vs. current prices

 Current vs Lagged Prices 

VASCO Data Lagged Returns

 Regressed Prices 

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Also please take a look at VASCO Data Hype Analysis, VASCO Data Correlation, VASCO Data Valuation, VASCO Data Volatility as well as analyze VASCO Data Alpha and Beta and VASCO Data Performance. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.