SBERBANK Backtesting

SBRCY -- USA Stock  

USD 14.66  0.19  1.31%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of SBERBANK OF RUSSIA and determine expected loss or profit from investing in SBERBANK over given investment horizon. Also please take a look at SBERBANK Hype Analysis, SBERBANK Correlation, SBERBANK Valuation, SBERBANK Volatility as well as analyze SBERBANK Alpha and Beta and SBERBANK Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

SBERBANK 'What if' Analysis

July 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 17, 2019
0.00
If you would invest  0.00  in SBERBANK on July 19, 2019 and sell it all today you would earn a total of 0.00 from holding SBERBANK OF RUSSIA or generate 0.0% return on investment in SBERBANK over 90 days. SBERBANK is related to or competes with COMMERZBANK, NATIXIS, Deutsche Bank, CAIXABANK, Lloyds Banking, Skandinaviska Enskil, and COMMERZBANK. Sberbank of Russia provides corporate and retail banking products and services to individuals, small businesses, corpora...

SBERBANK Upside/Downside Indicators

Information Ratio(0.024127)
Maximum Drawdown6.92
Value At Risk(2.89)
Potential Upside2.2

SBERBANK Market Premium Indicators

Risk Adjusted Performance(0.027065)
Jensen Alpha(0.04426)
Total Risk Alpha(0.02308)
Treynor Ratio(0.07)

SBERBANK OF RUSSIA Backtested Returns

Macroaxis considers SBERBANK to be somewhat reliable. SBERBANK OF RUSSIA owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0303 which indicates the company had -0.0303% of return per unit of volatility over the last 3 months. Macroaxis way of measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. SBERBANK OF RUSSIA exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SBERBANK Risk Adjusted Performance of (0.027065) and Market Risk Adjusted Performance of (0.06) to confirm risk estimate we provide. The corporation has beta of 0.8714 which indicates SBERBANK returns are very sensitive to returns on the market. as market goes up or down, SBERBANK is expected to follow. Even though it is essential to pay attention to SBERBANK OF RUSSIA current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis way of measuring future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. SBERBANK OF RUSSIA exposes twenty-seven different technical indicators which can help you to evaluate its performance. SBERBANK OF RUSSIA has expected return of -0.052%. Please be advised to validate SBERBANK Sortino Ratio as well as the relationship between Semi Variance and Rate Of Daily Change to decide if SBERBANK OF RUSSIA past performance will be repeated in the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.32 
correlation synergy

Below average predictability

SBERBANK OF RUSSIA has below average predictability. Overlapping area represents the amount of predictability between SBERBANK time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 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 SBERBANK OF RUSSIA price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current SBERBANK price fluctuation can be explain by its past prices.
Correlation Coefficient0.32
Spearman Rank Test0.37
Residual Average0.0
Price Variance0.12

SBERBANK OF RUSSIA lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SBERBANK regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SBERBANK Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - SBRCY

SBERBANK OF RUSSIA Investor Sentiment

Most of Macroaxis users are at this time bullish on SBERBANK OF RUSSIA. What is your outlook on investing in SBERBANK OF RUSSIA? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Also please take a look at SBERBANK Hype Analysis, SBERBANK Correlation, SBERBANK Valuation, SBERBANK Volatility as well as analyze SBERBANK Alpha and Beta and SBERBANK Performance. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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