SBERBANK Backtesting

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SBER -- Russia Stock  

RUB 209.85  1.88  0.89%

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. Additionally, take a look at SBERBANK Hype Analysis, SBERBANK Correlation, SBERBANK Valuation, SBERBANK Volatility as well as analyze SBERBANK Alpha and Beta and SBERBANK Performance.

SBERBANK 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in SBERBANK on April 12, 2020 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 of Russia provides corporate and retail banking products and services to individuals, small businesses, corpora...

SBERBANK Upside/Downside Indicators

Downside Deviation3.05
Information Ratio5.0E-4
Maximum Drawdown18.36
Value At Risk(3.79)
Potential Upside4.48

SBERBANK Market Premium Indicators

Risk Adjusted Performance0.1126
Jensen Alpha0.1211
Total Risk Alpha(0.09)
Sortino Ratio5.0E-4
Treynor Ratio0.6546

SBERBANK OF RUSSIA Backtested Returns

We consider SBERBANK very steady. SBERBANK OF RUSSIA owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0546, which indicates the company had 0.0546% of return per unit of volatility over the last 3 months. Our viewpoint regarding measuring the 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 SBERBANK OF RUSSIA, which you can use to evaluate future volatility of the entity. Please validate SBERBANK risk adjusted performance of 0.1126, market risk adjusted performance of 0.6646, and downside deviation of 3.05 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. SBERBANK has performance score of 3 on a scale of 0 to 100. The firm has a beta of 0.2441, which indicates not very significant fluctuations relative to the market. Let's try to break down what SBERBANK's beta means in this case. As returns on the market increase, SBERBANK returns are expected to increase less than the market. However, during the bear market, the loss on holding SBERBANK will be expected to be smaller as well. Although it is extremely important to respect SBERBANK OF RUSSIA current price movements, it is better to be realistic regarding the information on equity historical returns. The way of measuring 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 SBERBANK OF RUSSIA technical indicators, you can today evaluate if the expected return of 0.16% will be sustainable into the future. SBERBANK OF RUSSIA now has a risk of 2.88%. Please validate SBERBANK downside deviation, standard deviation, information ratio, as well as the relationship between the coefficient of variation and variance to decide if SBERBANK will be following its existing price patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.14 
correlation synergy

Insignificant predictability

SBERBANK OF RUSSIA has insignificant predictability. Overlapping area represents the amount of predictability between SBERBANK time series from 12th of April 2020 to 27th of May 2020 and 27th of May 2020 to 11th of July 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 SBERBANK OF RUSSIA price movement. The serial correlation of 0.14 indicates that less than 14.0% of current SBERBANK price fluctuation can be explain by its past prices.
Correlation Coefficient0.14
Spearman Rank Test0.05
Residual Average0.0
Price Variance29.37

SBERBANK OF RUSSIA lagged returns against current returns

 Current and Lagged Values 

SBERBANK regressed lagged prices vs. current prices

 Current vs Lagged Prices 

SBERBANK Lagged Returns

 Regressed Prices 

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Additionally, 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 Stock Screener module to find equities using custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page