Royal Bank Backtesting

Royal Bank of Canada -- Canada Stock  

CAD 97.28  0.000001  0.00%

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
SymbolX
Backtest

Royal Bank 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in Royal Bank on February 21, 2018 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 60 days. Royal Bank is related to or competes with Bank of Nova Scotia, National Bank, Bank of Montreal, Canadian Imperial, Canadian Western, and TORONTO DOMINION. Royal Bank of Canada, together with its subsidiaries, operates as a diversified financial service company worldwide

Royal Bank Upside/Downside Indicators

Information Ratio0.0029
Maximum Drawdown5.77
Value At Risk2.12
Potential Upside2.13
  

Royal Bank Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.088517
Total Risk Alpha0.023401
Treynor Ratio1.84

Royal Bank of Backtested Returns

Macroaxis considers Royal Bank to be not too risky. Royal Bank of maintains Sharpe Ratio (i.e. Efficiency) of -0.1167 which implies Royal Bank of had -0.1167% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Royal Bank of exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Royal Bank of Coefficient Of Variation of 1,452 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide. Macroaxis gives Royal Bank performance score of 0 on a scale of 0 to 100. The organization holds Beta of 0.0507 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.. Even though it is essential to pay attention to Royal Bank of current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Royal Bank of exposes twenty-one different technical indicators which can help you to evaluate its performance. Royal Bank of has expected return of -0.0873%. Please be advised to check Royal Bank of Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Royal Bank of past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.22) 

Weak reverse predictability

Royal Bank of Canada has weak reverse predictability. Overlapping area represents the amount of predictability between Royal Bank time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 22, 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 -0.22 indicates that over 22.0% of current Royal Bank price fluctuation can be explain by its past prices. Given that Royal Bank of Canada has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Royal Bank for similar time interval.
Correlation Coefficient -0.22
Price Variance 1.76
Lagged Price Variance 0.78
Average Price 97.71

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 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.