Bank of New York Backtesting

BK -- USA Stock  

USD 52.73  0.27  0.51%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of The Bank of New York Mellon Corporation and determine expected loss or profit from investing in Bank of New York over given investment horizon. Check also Bank of New York Hype Analysis, Bank of New York Correlation, Bank of New York Valuation, Bank of New York Volatility as well as analyze Bank of New York Alpha and Beta and Bank of New York Performance.
 Time Horizon     30 Days    Login   to change
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Bank of New York 'What if' Analysis

June 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 22, 2018
0.00
If you would invest  0.00  in Bank of New York on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding The Bank of New York Mellon Corporation or generate 0.0% return on investment in Bank of New York over 30 days. Bank of New York is related to or competes with Diamond Hill, AllianceBernstein, Blackstone Group, Carlyle Group, Eaton Vance, and Jupai Holdings. The Bank of New York Mellon Corporation provides a range of financial products and services to institutions, corporation...

Bank of New York Upside/Downside Indicators

Information Ratio0.32
Maximum Drawdown8.17
Value At Risk1.90
Potential Upside1.71
  

Bank of New York Market Premium Indicators

Risk Adjusted Performance0.11
Jensen Alpha0.38
Total Risk Alpha0.72
Treynor Ratio1.48

Bank of New York Backtested Returns

Macroaxis considers Bank of New York to be not too risky. Bank of New York secures Sharpe Ratio (or Efficiency) of -0.2248 which signifies that Bank of New York had -0.2248% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing 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. The Bank of New York Mellon Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bank of New York Mean Deviation of 1.04 and Risk Adjusted Performance of 0.11 to double-check risk estimate we provide. Macroaxis gives Bank of New York performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.2733 which signifies that as returns on market increase, returns on owning Bank of New York are expected to decrease at a much smaller rate. During bear market, Bank of New York is likely to outperform the market.. Even though it is essential to pay attention to Bank of New York historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing 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. The Bank of New York Mellon Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Bank of New York has expected return of -0.3611%. Please be advised to confirm Bank of New York Downside Deviation, Treynor Ratio, Expected Short fall, as well as the relationship between Variance and Potential Upside to decide if Bank of New York past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 

Very weak predictability

The Bank of New York Mellon Corporation has very weak predictability. Overlapping area represents the amount of predictability between Bank of New York time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 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 Bank of New York price movement. The serial correlation of 0.17 indicates that over 17.0% of current Bank of New York price fluctuation can be explain by its past prices.
Correlation Coefficient 0.17
Spearman Rank Test 0.3
Price Variance 0.78
Lagged Price Variance 1.14

Bank of New York lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bank of New York regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bank of New York Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Bank of New York and Diamond Hill Investment. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Bank of New York Hype Analysis, Bank of New York Correlation, Bank of New York Valuation, Bank of New York Volatility as well as analyze Bank of New York Alpha and Beta and Bank of New York Performance. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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