Toronto Dominion Backtesting

The Toronto Dominion Bank -- Canada Stock  

CAD 75.45  0.27  0.36%

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
 Time Horizon     30 Days    Login   to change

Toronto Dominion 'What if' Analysis

February 17, 2018
No Change 0.00  0.0%
In 31 days
March 19, 2018
If you would invest  0.00  in Toronto Dominion on February 17, 2018 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. The Toronto-Dominion Bank, together with its subsidiaries, provides various personal and commercial banking products and...

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 0.2933 which indicates The Toronto Dominion had 0.2933% 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-eight 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 0.4579, Coefficient Of Variation of 1272.26 and Risk Adjusted Performance of 0.0772 to confirm if risk estimate we provide are consistent with the epected return of 0.1765%. Toronto Dominion has performance score of 19 on a scale of 0 to 100. The entity has beta of 0.0287 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 0.1765% will be sustainable into the future. The Toronto Dominion right now has a risk of 0.6018%. Please validate Toronto Dominion Potential Upside, and the relationship between Total Risk Alpha and Kurtosis to decide if Toronto Dominion will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.46 

Average predictability

The Toronto Dominion Bank has average predictability. Overlapping area represents the amount of predictability between Toronto Dominion time series from February 17, 2018 to March 4, 2018 and March 4, 2018 to March 19, 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 0.46 indicates that about 46.0% of current Toronto Dominion price fluctuation can be explain by its past prices.
Correlation Coefficient 0.46
Spearman Rank Test 0.38
Price Variance 0.03
Lagged Price Variance 0.87

Toronto Dominion Lagged Returns

 Regressed Prices 

Toronto Dominion Performance vs SPTSX Comp

The median price of Toronto Dominion for the period between Sat, Feb 17, 2018 and Mon, Mar 19, 2018 is 75.69999695 with a coefficient of variation of 48.26. The daily time series for the period is distributed with a sample standard deviation of 29.83, arithmetic mean of 61.81, and mean deviation of 22.48. The Stock did not receive any noticable media coverage during the period.
 Price Growth (%)