Vertex Pharmaceuticals Backtesting

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VRTX -- USA Stock  

 Earnings Call  This Week

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

October 27, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 25, 2020
0.00
If you would invest  0.00  in Vertex Pharmaceuticals on October 27, 2019 and sell it all today you would earn a total of 0.00 from holding Vertex Pharmaceuticals Incorpor or generate 0.0% return on investment in Vertex Pharmaceuticals over 90 days. Vertex Pharmaceuticals is related to or competes with Dr Reddys, Zoetis, Perrigo Company, Regeneron Pharmaceuticals, and Origin Agritech. Vertex Pharmaceuticals Incorporated engages in developing and commercializing therapies for treating cystic fibrosis

Vertex Pharmaceuticals Upside/Downside Indicators

Downside Deviation0.9376
Information Ratio0.1438
Maximum Drawdown4.69
Value At Risk(1.74)
Potential Upside2.78

Vertex Pharmaceuticals Market Premium Indicators

Risk Adjusted Performance0.1181
Jensen Alpha0.2771
Total Risk Alpha0.0237
Sortino Ratio0.1852
Treynor Ratio(5.69)

Vertex Pharmaceuticals Backtested Returns

Macroaxis considers Vertex Pharmaceuticals very steady given 3 months investment horizon. Vertex Pharmaceuticals owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2257 which indicates the firm had 0.2257% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vertex Pharmaceuticals Incorpor which you can use to evaluate future volatility of the company. Please operate Vertex Pharmaceuticals Semi Deviation of 0.5475, Coefficient Of Variation of 427.5 and Risk Adjusted Performance of 0.1181 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Vertex Pharmaceuticals holds performance score of 15. The entity has beta of -0.0479 which indicates as returns on market increase, returns on owning Vertex Pharmaceuticals are expected to decrease at a much smaller rate. During bear market, Vertex Pharmaceuticals is likely to outperform the market. Although it is vital to follow to Vertex Pharmaceuticals current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. The philosophy towards 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 inspecting Vertex Pharmaceuticals technical indicators you can presently evaluate if the expected return of 0.2754% will be sustainable into the future. Please operates Vertex Pharmaceuticals Value At Risk as well as the relationship between Semi Variance and Kurtosis to make a quick decision on weather Vertex Pharmaceuticals existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.87 
correlation synergy

Very good predictability

Vertex Pharmaceuticals Incorpor has very good predictability. Overlapping area represents the amount of predictability between Vertex Pharmaceuticals time series from October 27, 2019 to December 26, 2019 and December 11, 2019 to January 25, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Vertex Pharmaceuticals price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current Vertex Pharmaceuticals price fluctuation can be explain by its past prices.
Correlation Coefficient0.87
Spearman Rank Test0.82
Residual Average0.0
Price Variance41.4

Vertex Pharmaceuticals lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Vertex Pharmaceuticals regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Vertex Pharmaceuticals Lagged Returns

 Regressed Prices 
    
  Timeline 

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Also please take a look at Vertex Pharmaceuticals Hype Analysis, Vertex Pharmaceuticals Correlation, Vertex Pharmaceuticals Valuation, Vertex Pharmaceuticals Volatility as well as analyze Vertex Pharmaceuticals Alpha and Beta and Vertex Pharmaceuticals Performance. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.