Toronto Dominion Backtesting

The Toronto Dominion Bank -- Canada Stock  

CAD 25.4  0.1  0.4%

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

Toronto Dominion 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in Toronto Dominion on September 23, 2017 and sell it all today you would earn a total of 0.00 from holding The Toronto Dominion Bank or generate 0.0% return on investment in Toronto Dominion over 30 days. Toronto Dominion is related to or competes with Power Financial, BCE, Brookfield Renewable, and ATCO Ltd. Toronto Dominion is entity of Canada. It is traded as Stock on TOR exchange.

Toronto Dominion Upside/Downside Indicators


Toronto Dominion Market Premium Indicators

The Toronto Dominion lagged returns against current returns

 Current and Lagged Values 

Toronto Dominion regressed lagged prices vs. current prices

 Current vs Lagged Prices 

The Toronto Dominion Backtested Returns

We consider Toronto Dominion not too risky. The Toronto Dominion owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1593 which indicates The Toronto Dominion had 0.1593% 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 Semi Deviation of 0.1919, Coefficient Of Variation of 566.84 and Risk Adjusted Performance of 0.0503 to confirm if risk estimate we provide are consistent with the epected return of 0.0601%. Toronto Dominion has performance score of 10 on a scale of 0 to 100. The entity has beta of 0.3142 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 0.0601% will be sustainable into the future. The Toronto Dominion right now has a risk of 0.3772%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.4 

Average predictability

The Toronto Dominion Bank has average predictability. Overlapping area represents the amount of predictability between Toronto Dominion time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 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 The Toronto Dominion price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Toronto Dominion price fluctuation can be explain by its past prices.
Correlation Coefficient 0.4
Spearman Rank Test 0.39
Lagged Price Variance 0.01
Average Price 25.33

Toronto Dominion Lagged Returns

 Regressed Prices 

Toronto Dominion Performance vs SPTSX Comp

The median price of Toronto Dominion for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 25.29 with a coefficient of variation of 0.46. The daily time series for the period is distributed with a sample standard deviation of 0.12, arithmetic mean of 25.25, and mean deviation of 0.1. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)