BORUSSIA DORTMUND (Germany) Backtesting

BVB -- Germany Stock  

EUR 7.83  0.00  0.00%

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

September 19, 2018
No Change 0.00  0.0%
In 31 days
October 19, 2018
If you would invest  0.00  in BORUSSIA DORTMUND on September 19, 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 30 days. BORUSSIA DORTMUND is related to or competes with Apple, Ecopetrol, Microsoft, Alphabet, Facebook, Berkshire Hathaway, and Alibaba Group.

BORUSSIA DORTMUND Upside/Downside Indicators

Downside Deviation3.59
Information Ratio0.3187
Maximum Drawdown12.28
Value At Risk4.17
Potential Upside4.58

BORUSSIA DORTMUND Market Premium Indicators

Risk Adjusted Performance0.2966
Jensen Alpha0.7858
Total Risk Alpha1.32
Sortino Ratio0.2777
Treynor Ratio3.78

BORUSSIA DORTMUND Backtested Returns

Macroaxis considers BORUSSIA DORTMUND relatively risky given 1 month investment horizon. BORUSSIA DORTMUND secures Sharpe Ratio (or Efficiency) of 0.1055 which signifies that BORUSSIA DORTMUND had 0.1055% of return per unit of risk over the last 1 month. 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 makes use of BORUSSIA DORTMUND Mean Deviation of 2.48 and Risk Adjusted Performance of 0.2966 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 BORUSSIA DORTMUND holds performance score of 6. The firm shows Beta (market volatility) of -0.2181 which signifies that as returns on market increase, returns on owning BORUSSIA DORTMUND are expected to decrease at a much smaller rate. During bear market, BORUSSIA DORTMUND is likely to outperform the market.. Although it is vital to follow to BORUSSIA DORTMUND historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.3154% will be sustainable into the future. Please makes use of BORUSSIA DORTMUND Value At Risk, Expected Short fall and the relationship between Treynor Ratio and Downside Variance to make a quick decision on weather BORUSSIA DORTMUND price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 

Poor reverse predictability

BORUSSIA DORTMUND has poor reverse predictability. Overlapping area represents the amount of predictability between BORUSSIA DORTMUND time series from September 19, 2018 to October 4, 2018 and October 4, 2018 to October 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 BORUSSIA DORTMUND price movement. The serial correlation of -0.33 indicates that nearly 33.0% 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-0.33
Spearman Rank Test-0.85
Residual Average0.0
Price Variance0.04

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 

Did you try this?

Run Fundamentals Comparison Now


Fundamentals Comparison

Compare fundamentals across multiple equities to find investing opportunities
All  Next Launch Fundamentals Comparison


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
Run Pair Correlation  
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.