Royal Bank Backtesting

Royal Bank of Canada -- Canada Stock  

CAD 101.42  0.19  0.19%

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

Royal Bank 'What if' Analysis

September 24, 2017
0.00
No Change 0.00  0.0%
In 30 days
October 24, 2017
0.00
If you would invest  0.00  in Royal Bank on September 24, 2017 and sell it all today you would earn a total of 0.00 from holding Royal Bank of Canada or generate 0.0% return on investment in Royal Bank over 30 days. Royal Bank is related to or competes with Bank of Nova Scotia, National Bank, Bank of Montreal, Canadian Imperial, Canadian Western. Royal Bank of Canada operates through five segments Personal Commercial Banking Wealth Management Insurance Investor Tre...

Royal Bank Upside/Downside Indicators

  

Royal Bank Market Premium Indicators

Royal Bank of lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Royal Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Royal Bank of Backtested Returns

Macroaxis considers Royal Bank not too risky given 1 month investment horizon. Royal Bank of maintains Sharpe Ratio (i.e. Efficiency) of 1.0266 which implies Royal Bank of had 1.0266% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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 Royal Bank of which you can use to evaluate future volatility of the company. Please employ Royal Bank of Coefficient Of Variation of 96.25 and Risk Adjusted Performance of 0.2833 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Royal Bank holds performance score of 67. The organization holds Beta of 0.5218 which implies as returns on market increase, Royal Bank returns are expected to increase less than the market. However during bear market, the loss on holding Royal Bank will be expected to be smaller as well.. Although it is vital to follow to Royal Bank of current trending patternss, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting 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 Royal Bank of technical indicators you can presently evaluate if the expected return of 0.3401% will be sustainable into the future. Please employ Royal Bank of Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather Royal Bank historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.93 

Excellent predictability

Royal Bank of Canada has excellent predictability. Overlapping area represents the amount of predictability between Royal Bank time series from September 24, 2017 to October 9, 2017 and October 9, 2017 to October 24, 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 Royal Bank of price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current Royal Bank price fluctuation can be explain by its past prices.
Correlation Coefficient 0.93
Spearman Rank Test 0.97
Price Variance 1.25
Lagged Price Variance 1.95

Royal Bank Lagged Returns

 Regressed Prices 
      Timeline 

Royal Bank Performance vs SPTSX Comp

The median price of Royal Bank for the period between Sun, Sep 24, 2017 and Tue, Oct 24, 2017 is 98.19 with a coefficient of variation of 2.3. The daily time series for the period is distributed with a sample standard deviation of 2.25, arithmetic mean of 97.81, and mean deviation of 1.82. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
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