The Toronto Dominion Backtested Returns
We consider Toronto Dominion not too risky. The Toronto Dominion
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0204 which indicates The Toronto Dominion
had 0.0204% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 The Toronto Dominion Bank which you can use to evaluate future volatility of the company. Please validate Toronto Dominion Coefficient Of Variation
of 2,878 and Risk Adjusted Performance of 0.087664 to confirm if risk estimate we provide are consistent with the epected return of 0.0037%. Toronto Dominion has performance score of 1 on a scale of 0 to 100. The entity has beta of 0.0404 which indicates as returns on market increase, Toronto Dominion returns are expected to increase less than the market. However during bear market, the loss on holding Toronto Dominion will be expected to be smaller as well.. Although it is extremely important to respect The Toronto Dominion current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting The Toronto Dominion technical indicators you can presently evaluate if the expected return of 0.0037% will be sustainable into the future. The Toronto Dominion right now has a risk of 0.179%. Please validate Toronto Dominion Standard Deviation, Value At Risk, Kurtosis, as well as the relationship between Jensen Alpha and Semi Variance to decide if Toronto Dominion will be following its existing price patterns.
|15 days auto-correlation||(0.29) |
Weak reverse predictability
The Toronto Dominion Bank has weak reverse predictability. Overlapping area represents the amount of predictability between Toronto Dominion time series from February 16, 2018 to March 3, 2018 and March 3, 2018 to March 18, 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 The Toronto Dominion price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current Toronto Dominion price fluctuation can be explain by its past prices. Given that The Toronto Dominion Bank has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Toronto Dominion for similar time interval.
|Correlation Coefficient|| -0.29|
|Spearman Rank Test|| -0.31|
|Average Price|| 24.83|
|Lagged Average Price|| 24.86|
Toronto Dominion Lagged Returns