Deutsche Bank Backtesting

Deutsche Bank AG -- USA Stock  

USD 16.71  0.01  0.06%

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

Deutsche Bank 'What if' Analysis

September 17, 2017
No Change 0.00  0.0%
In 31 days
October 17, 2017
If you would invest  0.00  in Deutsche Bank on September 17, 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 

Deutsche Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Deutsche Bank AG Backtested Returns

We consider Deutsche Bank not very risky. Deutsche Bank AG secures Sharpe Ratio (or Efficiency) of 0.0328 which denotes Deutsche Bank AG had 0.0328% 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-one technical indicators for Deutsche Bank AG which you can use to evaluate future volatility of the firm. Please confirm Deutsche Bank AG Coefficient Of Variation of 3211.35, Mean Deviation of 1.21 and Downside Deviation of 1.36 to check if risk estimate we provide are consistent with the epected return of 0.0538%. Deutsche Bank has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 2.3215 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Deutsche Bank will likely underperform.. Although it is extremely important to respect Deutsche Bank AG historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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 0.0538% will be sustainable into the future. Deutsche Bank AG right now shows a risk of 1.6394%. Please confirm Deutsche Bank AG Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Deutsche Bank AG will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 

Modest reverse predictability

Deutsche Bank AG has modest reverse predictability. Overlapping area represents the amount of predictability between Deutsche Bank time series from September 17, 2017 to October 2, 2017 and October 2, 2017 to October 17, 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 -0.44 indicates that just about 44.0% of current Deutsche Bank price fluctuation can be explain by its past prices. Given that Deutsche Bank AG has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Deutsche Bank for similar time interval.
Correlation Coefficient -0.44
Spearman Rank Test -0.15
Price Variance 0.04
Lagged Price Variance 0.14

Deutsche Bank Lagged Returns

 Regressed Prices 

Deutsche Bank Performance vs DOW

The median price of Deutsche Bank for the period between Sun, Sep 17, 2017 and Tue, Oct 17, 2017 is 16.72 with a coefficient of variation of 2.02. The daily time series for the period is distributed with a sample standard deviation of 0.34, arithmetic mean of 16.75, and mean deviation of 0.26. The Stock received some media coverage during the period.
Price Growth (%)  
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