VOXX International Backtesting

VOXX -- USA Stock  

USD 5.55  0.10  1.83%

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

VOXX International 'What if' Analysis

June 23, 2018
No Change 0.00  0.0%
In 31 days
July 23, 2018
If you would invest  0.00  in VOXX International on June 23, 2018 and sell it all today you would earn a total of 0.00 from holding VOXX International Corporation or generate 0.0% return on investment in VOXX International over 30 days. VOXX International is related to or competes with US Foods, Macquarie Infrastructure, Performance Food, Central Garden, Sunoco LP, Kaman, and UNIVERSAL CP. VOXX International Corporation, together with its subsidiaries, manufactures and distributes automotive, audio, and cons...

VOXX International Upside/Downside Indicators

Downside Deviation4.2
Information Ratio0.009984
Maximum Drawdown16.05
Value At Risk3.48
Potential Upside5.5

VOXX International Market Premium Indicators

Risk Adjusted Performance0.0218
Jensen Alpha0.09
Total Risk Alpha0.70
Sortino Ratio0.007616
Treynor Ratio0.0539

VOXX International Backtested Returns

We consider VOXX International unusually risky. VOXX International owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0438 which indicates VOXX International had 0.0438% of return per unit of risk 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 VOXX International Corporation which you can use to evaluate future volatility of the company. Please validate VOXX International Semi Deviation of 3.5, Coefficient Of Variation of 3515.85 and Risk Adjusted Performance of 0.0218 to confirm if risk estimate we provide are consistent with the epected return of 0.1418%. VOXX International has performance score of 2 on a scale of 0 to 100. The entity has beta of 1.5048 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VOXX International will likely underperform.. Although it is extremely important to respect VOXX International 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 evaluating VOXX International technical indicators you can currently evaluate if the expected return of 0.1418% will be sustainable into the future. VOXX International presently has a risk of 3.2366%. Please validate VOXX International Downside Deviation, Treynor Ratio, Expected Short fall, as well as the relationship between Variance and Potential Upside to decide if VOXX International will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.63 

Good predictability

VOXX International Corporation has good predictability. Overlapping area represents the amount of predictability between VOXX International time series from June 23, 2018 to July 8, 2018 and July 8, 2018 to July 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 VOXX International price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current VOXX International price fluctuation can be explain by its past prices.
Correlation Coefficient 0.63
Spearman Rank Test -0.31
Price Variance 0.02
Lagged Price Variance 0.01

VOXX International lagged returns against current returns

 Current and Lagged Values 

VOXX International regressed lagged prices vs. current prices

 Current vs Lagged Prices 

VOXX International Lagged Returns

 Regressed Prices 

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Also please take a look at VOXX International Hype Analysis, VOXX International Correlation, VOXX International Valuation, VOXX International Volatility as well as analyze VOXX International Alpha and Beta and VOXX International Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.