EMBASSY BANCORP Backtesting

EMYB -- USA Stock  

USD 16.75  0.50  3.08%

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

EMBASSY BANCORP 'What if' Analysis

July 21, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 19, 2019
0.00
If you would invest  0.00  in EMBASSY BANCORP on July 21, 2019 and sell it all today you would earn a total of 0.00 from holding EMBASSY BANCORP INC or generate 0.0% return on investment in EMBASSY BANCORP over 90 days. EMBASSY BANCORP is related to or competes with Eagle Bancorp, Emclaire Financial, Prosperity Bancshares, EAGLE FINANCIAL, Enterprise Financial, Eagle Bancorp, and ENB FINACIAL. Embassy Bancorp, Inc. operates as the bank holding company for the Embassy Bank for the Lehigh Valley that provides trad...

EMBASSY BANCORP Upside/Downside Indicators

Downside Deviation1.76
Information Ratio0.1003
Maximum Drawdown7.09
Value At Risk(1.16)
Potential Upside1.85

EMBASSY BANCORP Market Premium Indicators

Risk Adjusted Performance0.0803
Jensen Alpha0.0685
Total Risk Alpha0.1115
Sortino Ratio0.0614
Treynor Ratio(0.26)

EMBASSY BANCORP INC Backtested Returns

We consider EMBASSY BANCORP not too volatile. EMBASSY BANCORP INC retains Efficiency (Sharpe Ratio) of 0.0709 which denotes the organization had 0.0709% of return per unit of risk over the last 3 months. Our philosophy in predicting 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-six technical indicators for EMBASSY BANCORP which you can use to evaluate future volatility of the firm. Please confirm EMBASSY BANCORP INC Downside Deviation of 1.76, Market Risk Adjusted Performance of (0.25) and Coefficient Of Variation of 1231.75 to check if risk estimate we provide are consistent with the epected return of 0.0775%. EMBASSY BANCORP has performance score of 4 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of -0.297 which denotes to the fact that as returns on market increase, returns on owning EMBASSY BANCORP are expected to decrease at a much smaller rate. During bear market, EMBASSY BANCORP is likely to outperform the market. Although it is extremely important to respect EMBASSY BANCORP INC existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy in predicting 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 reviewing EMBASSY BANCORP INC technical indicators you can right now evaluate if the expected return of 0.0775% will be sustainable into the future. EMBASSY BANCORP INC at this time owns a risk of 1.0937%. Please confirm EMBASSY BANCORP INC Downside Deviation, Value At Risk, Rate Of Daily Change, as well as the relationship between Total Risk Alpha and Expected Short fall to decide if EMBASSY BANCORP INC will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 
correlation synergy

Modest reverse predictability

EMBASSY BANCORP INC has modest reverse predictability. Overlapping area represents the amount of predictability between EMBASSY BANCORP time series from July 21, 2019 to September 4, 2019 and September 4, 2019 to October 19, 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 EMBASSY BANCORP INC price movement. The serial correlation of -0.44 indicates that just about 44.0% of current EMBASSY BANCORP price fluctuation can be explain by its past prices. Given that EMBASSY BANCORP INC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of EMBASSY BANCORP for similar time interval.
Correlation Coefficient-0.44
Spearman Rank Test-0.5
Residual Average0.0
Price Variance0.14

EMBASSY BANCORP INC lagged returns against current returns

 Current and Lagged Values 
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EMBASSY BANCORP regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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EMBASSY BANCORP Lagged Returns

 Regressed Prices 
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Current Sentiment - EMYB

EMBASSY BANCORP INC Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in EMBASSY BANCORP INC. What is your opinion about investing in EMBASSY BANCORP INC? Are you bullish or bearish?
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EMBASSY BANCORP Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for EMBASSY BANCORP and Eagle Bancorp Montana. 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  
Additionally see EMBASSY BANCORP Hype Analysis, EMBASSY BANCORP Correlation, EMBASSY BANCORP Valuation, EMBASSY BANCORP Volatility as well as analyze EMBASSY BANCORP Alpha and Beta and EMBASSY BANCORP Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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