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FIRST REPUBLIC Backtesting

<div class='circular--portrait' style='background:#FF9E01;color: white;font-size:3em;padding-top: 40px;;'>FRC</div>
FRC -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of FIRST REPUBLIC BANK and determine expected loss or profit from investing in FIRST REPUBLIC over given investment horizon. Please check FIRST REPUBLIC Hype Analysis, FIRST REPUBLIC Correlation, FIRST REPUBLIC Valuation, FIRST REPUBLIC Volatility as well as analyze FIRST REPUBLIC Alpha and Beta and FIRST REPUBLIC Performance.
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Backtest

FIRST REPUBLIC 'What if' Analysis

November 20, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
February 18, 2020
0.00
If you would invest  0.00  in FIRST REPUBLIC on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding FIRST REPUBLIC BANK or generate 0.0% return on investment in FIRST REPUBLIC over 90 days. FIRST REPUBLIC is related to or competes with Regions Financial, BBT, SunTrust Banks, U S, Wells Fargo, and Zions Bancorporation. First Republic Bank, together with its subsidiaries, provides private banking, private business banking, real estate len...

FIRST REPUBLIC Upside/Downside Indicators

Downside Deviation1.47
Information Ratio0.0223
Maximum Drawdown10.17
Value At Risk(1.86)
Potential Upside2.22

FIRST REPUBLIC Market Premium Indicators

Risk Adjusted Performance0.0688
Jensen Alpha0.0989
Total Risk Alpha(0.030792)
Sortino Ratio0.0222
Treynor Ratio0.8829

FIRST REPUBLIC BANK Backtested Returns

We consider FIRST REPUBLIC very steady. FIRST REPUBLIC BANK secures Sharpe Ratio (or Efficiency) of 0.0859 which denotes the organization had 0.0859% of return per unit of volatility over the last 3 months. Our approach towards 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-eight technical indicators for FIRST REPUBLIC BANK which you can use to evaluate future volatility of the firm. Please confirm FIRST REPUBLIC BANK Mean Deviation of 0.9941, Market Risk Adjusted Performance of 0.8929 and Downside Deviation of 1.47 to check if risk estimate we provide are consistent with the epected return of 0.1301%. FIRST REPUBLIC has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1225 which denotes to the fact that as returns on market increase, FIRST REPUBLIC returns are expected to increase less than the market. However during bear market, the loss on holding FIRST REPUBLIC will be expected to be smaller as well. Although it is extremely important to respect FIRST REPUBLIC BANK historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards 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 evaluating FIRST REPUBLIC BANK technical indicators you can now evaluate if the expected return of 0.1301% will be sustainable into the future. FIRST REPUBLIC BANK currently shows a risk of 1.52%. Please confirm FIRST REPUBLIC BANK Expected Short fall, Day Median Price and the relationship between Potential Upside and Accumulation Distribution to decide if FIRST REPUBLIC BANK will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.13) 
correlation synergy

Insignificant reverse predictability

FIRST REPUBLIC BANK has insignificant reverse predictability. Overlapping area represents the amount of predictability between FIRST REPUBLIC time series from November 20, 2019 to January 4, 2020 and January 4, 2020 to February 18, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of FIRST REPUBLIC BANK price movement. The serial correlation of -0.13 indicates that less than 13.0% of current FIRST REPUBLIC price fluctuation can be explain by its past prices. Given that FIRST REPUBLIC BANK has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of FIRST REPUBLIC for similar time interval.
Correlation Coefficient-0.13
Spearman Rank Test0.12
Residual Average0.0
Price Variance5.48

FIRST REPUBLIC BANK lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

FIRST REPUBLIC regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

FIRST REPUBLIC Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - FRC

FIRST REPUBLIC BANK Investor Sentiment

Greater number of Macroaxis users are currently bullish on FIRST REPUBLIC BANK. What is your opinion about investing in FIRST REPUBLIC BANK? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please check FIRST REPUBLIC Hype Analysis, FIRST REPUBLIC Correlation, FIRST REPUBLIC Valuation, FIRST REPUBLIC Volatility as well as analyze FIRST REPUBLIC Alpha and Beta and FIRST REPUBLIC Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.