Byline Bancorp Backtesting

BY -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

Byline Bancorp 'What if' Analysis

September 13, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 12, 2019
If you would invest  0.00  in Byline Bancorp on September 13, 2019 and sell it all today you would earn a total of 0.00 from holding Byline Bancorp or generate 0.0% return on investment in Byline Bancorp over 90 days. Byline Bancorp is related to or competes with FFBW, Bridgewater Bancshares, Coastal Financial, Esquire Financial, FB Financial, and FSB Bancorp. Byline Bancorp, Inc. operates as the bank holding company for Byline Bank that provides a range of banking products and ...

Byline Bancorp Upside/Downside Indicators

Downside Deviation1.13
Information Ratio0.0079
Maximum Drawdown5.88
Value At Risk(2.27)
Potential Upside2.25

Byline Bancorp Market Premium Indicators

Risk Adjusted Performance0.0384
Jensen Alpha0.0033
Total Risk Alpha(0.037692)
Sortino Ratio0.0085
Treynor Ratio0.0501

Byline Bancorp Backtested Returns

We consider Byline Bancorp not too volatile. Byline Bancorp secures Sharpe Ratio (or Efficiency) of 0.0093 which signifies that the organization had 0.0093% of return per unit of risk over the last 3 months. Our philosophy towards 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 Byline Bancorp which you can use to evaluate future volatility of the firm. Please confirm Byline Bancorp Mean Deviation of 0.9161, Risk Adjusted Performance of 0.0384 and Downside Deviation of 1.13 to double-check if risk estimate we provide are consistent with the epected return of 0.0109%. The firm shows Beta (market volatility) of 1.1348 which signifies that Byline Bancorp returns are very sensitive to returns on the market. as market goes up or down, Byline Bancorp is expected to follow. Although it is extremely important to respect Byline Bancorp historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 Byline Bancorp technical indicators you can presently evaluate if the expected return of 0.0109% will be sustainable into the future. Byline Bancorp right now shows a risk of 1.17%. Please confirm Byline Bancorp Downside Variance, and the relationship between Sortino Ratio and Accumulation Distribution to decide if Byline Bancorp will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 
correlation synergy

Very good reverse predictability

Byline Bancorp has very good reverse predictability. Overlapping area represents the amount of predictability between Byline Bancorp time series from September 13, 2019 to October 28, 2019 and October 28, 2019 to December 12, 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 Byline Bancorp price movement. The serial correlation of -0.69 indicates that around 69.0% of current Byline Bancorp price fluctuation can be explain by its past prices. Given that Byline Bancorp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Byline Bancorp for similar time interval.
Correlation Coefficient-0.69
Spearman Rank Test0.08
Residual Average0.0
Price Variance0.16

Byline Bancorp lagged returns against current returns

 Current and Lagged Values 

Byline Bancorp regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Byline Bancorp Lagged Returns

 Regressed Prices 

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Byline Bancorp Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Byline Bancorp and FFBW. 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 Byline Bancorp Hype Analysis, Byline Bancorp Correlation, Byline Bancorp Valuation, Byline Bancorp Volatility as well as analyze Byline Bancorp Alpha and Beta and Byline Bancorp Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.