Credit Suisse Backtesting

CS -- USA Stock  

USD 12.32  0.03  0.24%

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

Credit Suisse 'What if' Analysis

July 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 18, 2019
If you would invest  0.00  in Credit Suisse on July 20, 2019 and sell it all today you would earn a total of 0.00 from holding Credit Suisse Group or generate 0.0% return on investment in Credit Suisse over 90 days. Credit Suisse is related to or competes with Citigroup, Canadian Imperial, East West, B of A, Barclays PLC, and Bank Of Montreal. Credit Suisse Group AG, through its subsidiaries, provides various financial services worldwide

Credit Suisse Upside/Downside Indicators

Downside Deviation1.59
Information Ratio0.0091
Maximum Drawdown6.21
Value At Risk(2.70)
Potential Upside2.46

Credit Suisse Market Premium Indicators

Risk Adjusted Performance0.0084
Jensen Alpha0.0162
Total Risk Alpha0.0228
Sortino Ratio0.0087
Treynor Ratio(0.002095)

Credit Suisse Group Backtested Returns

We consider Credit Suisse somewhat reliable. Credit Suisse Group secures Sharpe Ratio (or Efficiency) of 0.0058 which signifies that the organization had 0.0058% of return per unit of standard deviation over the last 3 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-eight technical indicators for Credit Suisse Group which you can use to evaluate future volatility of the firm. Please confirm Credit Suisse Group Mean Deviation of 1.21 and Risk Adjusted Performance of 0.0084 to double-check if risk estimate we provide are consistent with the epected return of 0.0088%. The firm shows Beta (market volatility) of 1.1538 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Credit Suisse will likely underperform. Although it is extremely important to respect Credit Suisse Group 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 Credit Suisse Group technical indicators you can presently evaluate if the expected return of 0.0088% will be sustainable into the future. Credit Suisse Group right now shows a risk of 1.5173%. Please confirm Credit Suisse Group Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to decide if Credit Suisse Group will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.23 
correlation synergy

Weak predictability

Credit Suisse Group has weak predictability. Overlapping area represents the amount of predictability between Credit Suisse time series from July 20, 2019 to September 3, 2019 and September 3, 2019 to October 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Credit Suisse Group price movement. The serial correlation of 0.23 indicates that over 23.0% of current Credit Suisse price fluctuation can be explain by its past prices.
Correlation Coefficient0.23
Spearman Rank Test0.18
Residual Average0.0
Price Variance0.29

Credit Suisse Group lagged returns against current returns

 Current and Lagged Values 

Credit Suisse regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Credit Suisse Lagged Returns

 Regressed Prices 

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Credit Suisse Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Credit Suisse and Citigroup. 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 Credit Suisse Hype Analysis, Credit Suisse Correlation, Credit Suisse Valuation, Credit Suisse Volatility as well as analyze Credit Suisse Alpha and Beta and Credit Suisse Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.