Wells Fargo Backtesting

WFC -- USA Stock  

USD 55.22  0.72  1.32%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Wells Fargo Company and determine expected loss or profit from investing in Wells Fargo over given investment horizon. See also Wells Fargo Hype Analysis, Wells Fargo Correlation, Wells Fargo Valuation, Wells Fargo Volatility as well as analyze Wells Fargo Alpha and Beta and Wells Fargo Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Wells Fargo 'What if' Analysis

August 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 20, 2018
0.00
If you would invest  0.00  in Wells Fargo on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Wells Fargo Company or generate 0.0% return on investment in Wells Fargo over 30 days. Wells Fargo is related to or competes with First Republic, Zions Bancorporation, and Walmart. Wells Fargo Company, a diversified financial services company, provides retail, commercial, and corporate banking servic...

Wells Fargo Upside/Downside Indicators

Information Ratio0.55
Maximum Drawdown3.21
Value At Risk1.73
Potential Upside0.5472
  

Wells Fargo Market Premium Indicators

Risk Adjusted Performance0.16
Jensen Alpha0.36
Total Risk Alpha0.52
Treynor Ratio1.17

Wells Fargo Backtested Returns

Macroaxis considers Wells Fargo to be not too risky. Wells Fargo shows Sharpe Ratio of -0.3225 which attests that Wells Fargo had -0.3225% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. Wells Fargo exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Wells Fargo Market Risk Adjusted Performance of 1.16 and Mean Deviation of 0.5794 to validate risk estimate we provide. Macroaxis gives Wells Fargo performance score of 0 on a scale of 0 to 100. The firm maintains market beta of 0.2897 which attests that as returns on market increase, Wells Fargo returns are expected to increase less than the market. However during bear market, the loss on holding Wells Fargo will be expected to be smaller as well.. Even though it is essential to pay attention to Wells Fargo historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining 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. Wells Fargo exposes twenty-one different technical indicators which can help you to evaluate its performance. Wells Fargo has expected return of -0.2809%. Please be advised to check out Wells Fargo Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Wells Fargo past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.23 

Weak predictability

Wells Fargo Company has weak predictability. Overlapping area represents the amount of predictability between Wells Fargo time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 Wells Fargo price movement. The serial correlation of 0.23 indicates that over 23.0% of current Wells Fargo price fluctuation can be explain by its past prices.
Correlation Coefficient0.23
Spearman Rank Test0.29
Residual Average0.0
Price Variance2.32

Wells Fargo lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Wells Fargo regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Wells Fargo Lagged Returns

 Regressed Prices 
      Timeline 

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See also Wells Fargo Hype Analysis, Wells Fargo Correlation, Wells Fargo Valuation, Wells Fargo Volatility as well as analyze Wells Fargo Alpha and Beta and Wells Fargo Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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