Deutsche Bank Backtesting

DB -- USA Stock  

USD 11.51  0.74  6.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Deutsche Bank Aktiengesellschaft 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.
Horizon     30 Days    Login   to change

Deutsche Bank 'What if' Analysis

August 22, 2018
No Change 0.00  0.0%
In 30 days
September 21, 2018
If you would invest  0.00  in Deutsche Bank on August 22, 2018 and sell it all today you would earn a total of 0.00 from holding Deutsche Bank Aktiengesellschaft or generate 0.0% return on investment in Deutsche Bank over 30 days. Deutsche Bank is related to or competes with Lloyds Banking, Citigroup, Loews, Diamond Hill, AllianceBernstein, and Associated Capital. Deutsche Bank Aktiengesellschaft provides investment, financial, and related products and services to private individual...

Deutsche Bank Upside/Downside Indicators

Downside Deviation1.88
Information Ratio0.1108
Maximum Drawdown5.18
Value At Risk2.20
Potential Upside2.99

Deutsche Bank Market Premium Indicators

Risk Adjusted Performance0.0759
Jensen Alpha0.0372
Total Risk Alpha0.11
Sortino Ratio0.0971
Treynor Ratio0.1068

Deutsche Bank Aktien Backtested Returns

Macroaxis considers Deutsche Bank not very risky given 1 month investment horizon. Deutsche Bank Aktien secures Sharpe Ratio (or Efficiency) of 0.1598 which denotes Deutsche Bank Aktien had 0.1598% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Deutsche Bank Aktiengesellschaft which you can use to evaluate future volatility of the firm. Please utilize Deutsche Bank Aktien Coefficient Of Variation of 578.23, Mean Deviation of 1.24 and Downside Deviation of 1.88 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Deutsche Bank holds performance score of 10. The firm shows Beta (market volatility) of 2.5705 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 vital to follow to Deutsche Bank Aktien 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 Aktien technical indicators you can presently evaluate if the expected return of 0.2693% will be sustainable into the future. Please utilizes Deutsche Bank Aktien Jensen Alpha, 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(0.20) 

Insignificant reverse predictability

Deutsche Bank Aktiengesellschaft has insignificant reverse predictability. Overlapping area represents the amount of predictability between Deutsche Bank time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 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 Deutsche Bank Aktien price movement. The serial correlation of -0.2 indicates that over 20.0% of current Deutsche Bank price fluctuation can be explain by its past prices. Given that Deutsche Bank Aktiengesellschaft 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-0.2
Spearman Rank Test-0.32
Residual Average0.0
Price Variance0.11

Deutsche Bank Aktien lagged returns against current returns

 Current and Lagged Values 

Deutsche Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Deutsche Bank Lagged Returns

 Regressed Prices 

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Deutsche Bank Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Deutsche Bank and Lloyds Banking Group. 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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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. Please also try Content Syndication module to quickly integrate customizable finance content to your own investment portal.