Bank of New York Backtesting

The Bank of New York Mellon Corporation -- USA Stock  

USD 52.85  1.61  2.96%

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
Investment Horizon     30 Days    Login   to change

Bank of New York 'What if' Analysis

September 19, 2017
No Change 0.00  0.0%
In 31 days
October 19, 2017
If you would invest  0.00  in Bank of New York on September 19, 2017 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 Citigroup, Goldman Sachs, Morgan Stanley, Regions Financial, and Fifth Third. It operates through two segments, Investment Management and Investment Services

Bank of New York Upside/Downside Indicators


Bank of New York Market Premium Indicators

Bank of New York lagged returns against current returns

 Current and Lagged Values 

Bank of New York regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bank of New York Backtested Returns

We consider Bank of New York not too risky. Bank of New York secures Sharpe Ratio (or Efficiency) of 0.0532 which signifies that Bank of New York had 0.0532% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing 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 The Bank of New York Mellon Corporation which you can use to evaluate future volatility of the firm. Please confirm Bank of New York Mean Deviation of 0.5451, Risk Adjusted Performance of 0.0184 and Semi Deviation of 0.972 to double-check if risk estimate we provide are consistent with the epected return of 0.051%. Bank of New York has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.2796 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.. Although it is extremely important to respect Bank of New York historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy in foreseeing 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 analyzing Bank of New York technical indicators you can presently evaluate if the expected return of 0.051% will be sustainable into the future. Bank of New York right now shows a risk of 0.9593%. Please 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 will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 

Modest reverse predictability

The Bank of New York Mellon Corporation has modest reverse predictability. Overlapping area represents the amount of predictability between Bank of New York time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 2017. 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 -0.44 indicates that just about 44.0% of current Bank of New York price fluctuation can be explain by its past prices. Given that The Bank of New York Mellon Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bank of New York for similar time interval.
Correlation Coefficient -0.44
Spearman Rank Test -0.1
Price Variance 0.29
Lagged Price Variance 0.39

Bank of New York Lagged Returns

 Regressed Prices 

Bank of New York Performance vs DOW

The median price of Bank of New York for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 53.8 with a coefficient of variation of 1.81. The daily time series for the period is distributed with a sample standard deviation of 0.97, arithmetic mean of 53.62, and mean deviation of 0.86. The Stock received some media coverage during the period.
Price Growth (%)  
Acquisition by Certosimo Arthur of 76660 shares of Bank of N...10/19/2017