VASCO Data Security Backtested Returns
Macroaxis considers VASCO Data to be not very volatile. VASCO Data Security
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2638 which indicates VASCO Data Security
had -0.2638% of return per unit of standard deviation over the last 1 month. Macroaxis approach into 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
. VASCO Data Security International Inc exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VASCO Data Risk Adjusted Performance
of 0.39 and Market Risk Adjusted Performance of 1.69 to confirm risk estimate we provide. Macroaxis gives VASCO Data performance score of 0 on a scale of 0 to 100. The corporation has beta of 0.3805 which indicates as returns on market increase, VASCO Data returns are expected to increase less than the market. However during bear market, the loss on holding VASCO Data will be expected to be smaller as well.. Even though it is essential to pay attention to VASCO Data Security current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis approach into 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. VASCO Data Security International Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. VASCO Data Security has expected return of -0.7407%. Please be advised to validate VASCO Data Jensen Alpha and Downside Variance to decide if VASCO Data Security past performance will be repeated at future time.
|15 days auto-correlation|| 0.65 |
VASCO Data Security International Inc has good predictability. Overlapping area represents the amount of predictability between VASCO Data time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 0.65 indicates that roughly 65.0% of current VASCO Data price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.65|
|Spearman Rank Test|| 0.17|
|Price Variance|| 0.31|
|Lagged Price Variance|| 0.2|
VASCO Data Lagged Returns