Vertex Pharmaceuticals Backtesting

VRTX -- USA Stock  

Quarterly Earning Report: October 23, 2019  

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
SymbolX
Backtest

Vertex Pharmaceuticals 'What if' Analysis

July 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 17, 2019
0.00
If you would invest  0.00  in Vertex Pharmaceuticals on July 19, 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 Deviation1.5
Information Ratio0.0148
Maximum Drawdown11.2
Value At Risk(2.20)
Potential Upside2.26

Vertex Pharmaceuticals Market Premium Indicators

Risk Adjusted Performance0.0153
Jensen Alpha0.0218
Total Risk Alpha0.0384
Sortino Ratio0.0172
Treynor Ratio0.0126

Vertex Pharmaceuticals Backtested Returns

We consider Vertex Pharmaceuticals very steady. Vertex Pharmaceuticals owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0268 which indicates the firm had 0.0268% 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 validate Vertex Pharmaceuticals Coefficient Of Variation of 8868.6, Semi Deviation of 1.47 and Risk Adjusted Performance of 0.0153 to confirm if risk estimate we provide are consistent with the epected return of 0.0465%. Vertex Pharmaceuticals has performance score of 1 on a scale of 0 to 100. The entity has beta of 0.7577 which indicates as returns on market increase, Vertex Pharmaceuticals returns are expected to increase less than the market. However during bear market, the loss on holding Vertex Pharmaceuticals will be expected to be smaller as well. Although it is extremely important to respect Vertex Pharmaceuticals current price movements, it is better to be realistic regarding the information on 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 0.0465% will be sustainable into the future. Vertex Pharmaceuticals right now has a risk of 1.7361%. Please validate Vertex Pharmaceuticals Value At Risk as well as the relationship between Semi Variance and Kurtosis to decide if Vertex Pharmaceuticals will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 
correlation synergy

Modest reverse predictability

Vertex Pharmaceuticals Incorpor has modest reverse predictability. Overlapping area represents the amount of predictability between Vertex Pharmaceuticals time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 2019. 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 -0.42 indicates that just about 42.0% of current Vertex Pharmaceuticals price fluctuation can be explain by its past prices. Given that Vertex Pharmaceuticals Incorpor has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vertex Pharmaceuticals for similar time interval.
Correlation Coefficient-0.42
Spearman Rank Test-0.4
Residual Average0.0
Price Variance14.01

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 

Current Sentiment - VRTX

Vertex Pharmaceuticals Investor Sentiment

Most of Macroaxis users are at this time bullish on Vertex Pharmaceuticals Incorpor. What is your outlook on investing in Vertex Pharmaceuticals Incorpor? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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