Deutsche Bank Backtesting

Deutsche Bank AG -- USA Stock  

USD 19.4  0.1  0.52%

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

November 12, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 12, 2017
0.00
If you would invest  0.00  in Deutsche Bank on November 12, 2017 and sell it all today you would earn a total of 0.00 from holding Deutsche Bank AG or generate 0.0% return on investment in Deutsche Bank over 30 days. Deutsche Bank is related to or competes with Citigroup, Bank of New York, Byline Bancorp, Canadian Imperial, and . Deutsche Bank AG operates through Global Markets Corporationrate Investment Banking Private Wealth and Commercial Client...

Deutsche Bank Upside/Downside Indicators

  

Deutsche Bank Market Premium Indicators

Deutsche Bank AG lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Deutsche Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Deutsche Bank AG Backtested Returns

Macroaxis considers Deutsche Bank not too volatile given 1 month investment horizon. Deutsche Bank AG secures Sharpe Ratio (or Efficiency) of 0.2673 which denotes Deutsche Bank AG had 0.2673% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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-eight technical indicators for Deutsche Bank AG which you can use to evaluate future volatility of the firm. Please utilize Deutsche Bank AG Coefficient Of Variation of 310.07, Mean Deviation of 1.16 and Downside Deviation of 1.34 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Deutsche Bank holds performance score of 17. The firm shows Beta (market volatility) of 0.2633 which denotes to the fact that as returns on market increase, Deutsche Bank returns are expected to increase less than the market. However during bear market, the loss on holding Deutsche Bank will be expected to be smaller as well.. Although it is vital to follow to Deutsche Bank AG historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards predicting 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 reviewing Deutsche Bank AG technical indicators you can presently evaluate if the expected return of 0.3754% will be sustainable into the future. Please utilizes Deutsche Bank AG Sortino Ratio, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Deutsche Bank price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.1 

Insignificant predictability

Deutsche Bank AG has insignificant predictability. Overlapping area represents the amount of predictability between Deutsche Bank time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 Deutsche Bank AG price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Deutsche Bank price fluctuation can be explain by its past prices.
Correlation Coefficient 0.1
Spearman Rank Test 0.31
Price Variance 0.05
Lagged Price Variance 0.17

Deutsche Bank Lagged Returns

 Regressed Prices 
      Timeline 

Deutsche Bank Performance vs DOW

The median price of Deutsche Bank for the period between Sun, Nov 12, 2017 and Tue, Dec 12, 2017 is 18.91 with a coefficient of variation of 2.67. The daily time series for the period is distributed with a sample standard deviation of 0.5, arithmetic mean of 18.76, and mean deviation of 0.38. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Commerzbank Aktiengesellschaft Increases Position in Deutsch...12/11/2017