Toronto Dominion Backtesting

The Toronto Dominion Bank -- Canada Stock  

CAD 71.21  0.19  0.27%

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 17, 2017
No Change 0.00  0.0%
In 31 days
October 17, 2017
If you would invest  0.00  in Toronto Dominion on September 17, 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 Bank of Nova Scotia, National Bank, Bank of Montreal, Canadian Imperial, Royal Bank, and Canadian Western. It operates through three segments Canadian Retail U.S

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

Macroaxis considers Toronto Dominion not too risky given 1 month investment horizon. The Toronto Dominion owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.4264 which indicates The Toronto Dominion had 0.4264% 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 technical indicators for The Toronto Dominion Bank which you can use to evaluate future volatility of the company. Please operate Toronto Dominion Downside Deviation of 0.494, Standard Deviation of 0.5926 and Risk Adjusted Performance of 0.1021 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Toronto Dominion holds performance score of 29. The entity has beta of 0.0177 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 vital to follow to The Toronto Dominion current price movements, it is good to be conservative about what you can actually do with the information regarding 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 0.2582% will be sustainable into the future. Please operates Toronto Dominion Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to make a quick decision on weather The Toronto Dominion existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.27) 

Weak reverse predictability

The Toronto Dominion Bank has weak reverse predictability. Overlapping area represents the amount of predictability between Toronto Dominion time series from September 17, 2017 to October 2, 2017 and October 2, 2017 to October 17, 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 -0.27 indicates that nearly 27.0% 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 -0.27
Spearman Rank Test -0.26
Price Variance 0.1
Lagged Price Variance 1.13

Toronto Dominion Lagged Returns

 Regressed Prices 

Toronto Dominion Performance vs SPTSX Comp

The median price of Toronto Dominion for the period between Sun, Sep 17, 2017 and Tue, Oct 17, 2017 is 70.4 with a coefficient of variation of 1.86. The daily time series for the period is distributed with a sample standard deviation of 1.3, arithmetic mean of 70.05, and mean deviation of 1.08. The Stock received some media coverage during the period.
Price Growth (%)  
Toronto-Dominion Bank A Smart Dividend Play10/16/2017