BORUSSIA DORTMUND (Germany) Backtesting

BVB -- Germany Stock  

EUR 8.00  0.005  0.06%

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

BORUSSIA DORTMUND 'What if' Analysis

October 15, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
If you would invest  0.00  in BORUSSIA DORTMUND on October 15, 2018 and sell it all today you would earn a total of 0.00 from holding BORUSSIA DORTMUND or generate 0.0% return on investment in BORUSSIA DORTMUND over 60 days. BORUSSIA DORTMUND is related to or competes with Apple, Alibaba Group, Exxon Mobil, Samsung Electronics, Walmart, Royal Dutch, and Bank of America.

BORUSSIA DORTMUND Upside/Downside Indicators

Downside Deviation1.77
Information Ratio0.0441
Maximum Drawdown12.87
Value At Risk(2.62)
Potential Upside4.39

BORUSSIA DORTMUND Market Premium Indicators

Risk Adjusted Performance0.0439
Jensen Alpha0.0728
Total Risk Alpha0.156
Sortino Ratio0.0632
Treynor Ratio0.6225

BORUSSIA DORTMUND Backtested Returns

We consider BORUSSIA DORTMUND relatively volatile. BORUSSIA DORTMUND secures Sharpe Ratio (or Efficiency) of 0.0307 which signifies that BORUSSIA DORTMUND had 0.0307% of return per unit of risk over the last 2 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BORUSSIA DORTMUND which you can use to evaluate future volatility of the firm. Please confirm BORUSSIA DORTMUND Mean Deviation of 1.78 and Risk Adjusted Performance of 0.0439 to double-check if risk estimate we provide are consistent with the epected return of 0.078%. BORUSSIA DORTMUND has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1093 which signifies that as returns on market increase, BORUSSIA DORTMUND returns are expected to increase less than the market. However during bear market, the loss on holding BORUSSIA DORTMUND will be expected to be smaller as well.. Although it is extremely important to respect BORUSSIA DORTMUND historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing 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 analyzing BORUSSIA DORTMUND technical indicators you can now evaluate if the expected return of 0.078% will be sustainable into the future. BORUSSIA DORTMUND currently shows a risk of 2.5383%. Please confirm BORUSSIA DORTMUND Value At Risk, Expected Short fall and the relationship between Treynor Ratio and Downside Variance to decide if BORUSSIA DORTMUND will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.91) 
correlation synergy

Near perfect reversele predictability

BORUSSIA DORTMUND has near perfect reversele predictability. Overlapping area represents the amount of predictability between BORUSSIA DORTMUND time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 BORUSSIA DORTMUND price movement. The serial correlation of -0.91 indicates that approximately 91.0% of current BORUSSIA DORTMUND price fluctuation can be explain by its past prices. Given that BORUSSIA DORTMUND has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BORUSSIA DORTMUND for similar time interval.
Correlation Coefficient-0.91
Spearman Rank Test-0.83
Residual Average0.0
Price Variance0.22

BORUSSIA DORTMUND lagged returns against current returns

 Current and Lagged Values 

BORUSSIA DORTMUND regressed lagged prices vs. current prices

 Current vs Lagged Prices 


 Regressed Prices 

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Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for BORUSSIA DORTMUND and Apple. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also BORUSSIA DORTMUND Hype Analysis, BORUSSIA DORTMUND Correlation, BORUSSIA DORTMUND Valuation, BORUSSIA DORTMUND Volatility as well as analyze BORUSSIA DORTMUND Alpha and Beta and BORUSSIA DORTMUND Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.