Royal Bank Backtesting

Royal Bank of Canada -- Canada Stock  

CAD 107.55  0.5  0.46%

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
 Time Horizon     30 Days    Login   to change

Royal Bank 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in Royal Bank on December 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 

Royal Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 

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 0.68 which implies Royal Bank of had 0.68% 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-eight 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 168.08 and Risk Adjusted Performance of 0.2598 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Royal Bank holds performance score of 44. The organization holds Beta of -0.0142 which implies as returns on market increase, returns on owning Royal Bank are expected to decrease at a much smaller rate. During bear market, Royal Bank is likely to outperform the market.. Although it is vital to follow to Royal Bank of current trending patterns, 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 0.2686% will be sustainable into the future. Please employ Royal Bank of Maximum Drawdown, Expected Short fall as well as the relationship between Expected Short fall and Rate Of Daily Change to make a quick decision on weather Royal Bank historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.76 

Good predictability

Royal Bank of Canada has good predictability. Overlapping area represents the amount of predictability between Royal Bank time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 Royal Bank of price movement. The serial correlation of 0.76 indicates that around 76.0% of current Royal Bank price fluctuation can be explain by its past prices.
Correlation Coefficient 0.76
Spearman Rank Test 0.9
Price Variance 0.31
Lagged Price Variance 0.97

Royal Bank Lagged Returns

 Regressed Prices 

Royal Bank Performance vs SPTSX Comp

The median price of Royal Bank for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 104.84 with a coefficient of variation of 1.69. The daily time series for the period is distributed with a sample standard deviation of 1.76, arithmetic mean of 104.49, and mean deviation of 1.44. The Stock received some media coverage during the period.
Price Growth (%)  
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