VASCO Data Backtesting

VASCO Data Security International Inc -- USA Stock  

USD 12.40  0.15  1.22%

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
 Time Horizon     30 Days    Login   to change

VASCO Data 'What if' Analysis

January 24, 2018
No Change 0.00  0.0%
In 31 days
February 23, 2018
If you would invest  0.00  in VASCO Data on January 24, 2018 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., together with its subsidiaries, designs, develops, and markets digital solution...

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 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 

Good predictability

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

 Regressed Prices 

VASCO Data Performance vs DOW

The median price of VASCO Data for the period between Wed, Jan 24, 2018 and Fri, Feb 23, 2018 is 13.85 with a coefficient of variation of 5.06. The daily time series for the period is distributed with a sample standard deviation of 0.7, arithmetic mean of 13.93, and mean deviation of 0.52. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Hunt T Kendall of 11503 shares of VASCO Data02/22/2018