VASCO Data Security Backtested Returns
Macroaxis considers VASCO Data not very volatile given 1 month investment horizon. VASCO Data Security
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1365 which indicates VASCO Data Security
had 0.1365% 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 Inc which you can use to evaluate future volatility of the entity. Please operate VASCO Data Risk Adjusted Performance
of 0.0405, Market Risk Adjusted Performance
of (0.23) and Downside Deviation of 1.51 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 VASCO Data holds performance score of 9. The corporation has beta of -0.8999 which indicates . 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 0.2161% 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.
|15 days auto-correlation||(0.84) |
Excellent reverse predictability
VASCO Data Security International Inc has excellent reverse predictability. Overlapping area represents the amount of predictability between VASCO Data time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 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 VASCO Data Security price movement. The serial correlation of -0.84 indicates that around 84.0% of current VASCO Data price fluctuation can be explain by its past prices. Given that VASCO Data Security International Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of VASCO Data for similar time interval.
|Correlation Coefficient|| -0.84|
|Spearman Rank Test|| -0.16|
|Price Variance|| 0.05|
|Lagged Price Variance|| 0.15|
VASCO Data Lagged Returns