Byline Bancorp Backtesting

BY -- USA Stock  

USD 23.05  0.23  1.01%

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

Byline Bancorp 'What if' Analysis

June 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 20, 2018
0.00
If you would invest  0.00  in Byline Bancorp on June 20, 2018 and sell it all today you would earn a total of 0.00 from holding Byline Bancorp or generate 0.0% return on investment in Byline Bancorp over 30 days. Byline Bancorp is related to or competes with JPMorgan Chase, B of A, Wells Fargo, Citigroup, Royal Bank, Toronto Dominion, and HDFC BANK. Byline Bancorp, Inc. operates as the bank holding company for Byline Bank that provides a range of banking products and ...

Byline Bancorp Upside/Downside Indicators

Information Ratio0.13
Maximum Drawdown6.89
Value At Risk2.14
Potential Upside1.83
  

Byline Bancorp Market Premium Indicators

Risk Adjusted Performance0.00941
Jensen Alpha0.0354
Total Risk Alpha0.42
Treynor Ratio0.0857

Byline Bancorp Backtested Returns

Macroaxis considers Byline Bancorp to be not too volatile. Byline Bancorp secures Sharpe Ratio (or Efficiency) of -0.1543 which signifies that Byline Bancorp had -0.1543% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Byline Bancorp exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Byline Bancorp Risk Adjusted Performance of 0.00941 and Mean Deviation of 1.11 to double-check risk estimate we provide. Macroaxis gives Byline Bancorp performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.5685 which signifies that as returns on market increase, returns on owning Byline Bancorp are expected to decrease at a much smaller rate. During bear market, Byline Bancorp is likely to outperform the market.. Even though it is essential to pay attention to Byline Bancorp historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards 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. Byline Bancorp exposes twenty-eight different technical indicators which can help you to evaluate its performance. Byline Bancorp has expected return of -0.1881%. Please be advised to confirm Byline Bancorp Downside Variance, and the relationship between Sortino Ratio and Accumulation Distribution to decide if Byline Bancorp past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.42 

Average predictability

Byline Bancorp has average predictability. Overlapping area represents the amount of predictability between Byline Bancorp time series from June 20, 2018 to July 5, 2018 and July 5, 2018 to July 20, 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 Byline Bancorp price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Byline Bancorp price fluctuation can be explain by its past prices.
Correlation Coefficient 0.42
Spearman Rank Test 0.35
Price Variance 0.03
Lagged Price Variance 0.44

Byline Bancorp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Byline Bancorp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Byline Bancorp Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Byline Bancorp and JPMorgan Chase Co. 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 Byline Bancorp Hype Analysis, Byline Bancorp Correlation, Byline Bancorp Valuation, Byline Bancorp Volatility as well as analyze Byline Bancorp Alpha and Beta and Byline Bancorp Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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