VASCO Data Backtesting

VASCO Data Security International Inc -- USA Stock  

USD 14  0.1  0.72%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of VASCO Data Security International Inc 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
Investment Horizon     30 Days    Login   to change

VASCO Data 'What if' Analysis

November 12, 2017
No Change 0.00  0.0%
In 31 days
December 12, 2017
If you would invest  0.00  in VASCO Data on November 12, 2017 and sell it all today you would earn a total of 0.00 from holding VASCO Data Security International Inc or generate 0.0% return on investment in VASCO Data over 30 days. VASCO Data is related to or competes with Digimarc, Dell Technologies, and Verint Systems. VASCO Data Security International Inc offers VACMAN Controller, a host system software authentication platform that comb...

VASCO Data Upside/Downside Indicators


VASCO Data Market Premium Indicators

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 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 0.1404 which indicates VASCO Data Security had 0.1404% 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 0.0579, Market Risk Adjusted Performance of 0.1751 and Downside Deviation of 1.65 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 1.1566 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VASCO Data will likely underperform.. Although it is vital to follow to VASCO Data Security current price movements, it is good to be conservative about what you can actually do with the information regarding 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 0.2815% 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 0.24 

Weak predictability

VASCO Data Security International Inc has weak predictability. Overlapping area represents the amount of predictability between VASCO Data time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 0.24 indicates that over 24.0% of current VASCO Data price fluctuation can be explain by its past prices.
Correlation Coefficient 0.24
Spearman Rank Test 0.42
Price Variance 0.11
Lagged Price Variance 0.04

VASCO Data Lagged Returns

 Regressed Prices 

VASCO Data Performance vs DOW

The median price of VASCO Data for the period between Sun, Nov 12, 2017 and Tue, Dec 12, 2017 is 13.35 with a coefficient of variation of 2.37. The daily time series for the period is distributed with a sample standard deviation of 0.32, arithmetic mean of 13.32, and mean deviation of 0.24. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Michael Cullinane of 600 shares of VASCO Data12/11/2017