Toronto Dominion Bank Stock Market Value
| TD Stock | CAD 78.51 0.40 0.51% |
| Symbol | Toronto |
Toronto Dominion Bank Price To Book Ratio
Toronto Dominion 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Toronto Dominion's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Toronto Dominion.
| 12/06/2022 |
| 11/25/2024 |
If you would invest 0.00 in Toronto Dominion on December 6, 2022 and sell it all today you would earn a total of 0.00 from holding Toronto Dominion Bank or generate 0.0% return on investment in Toronto Dominion over 720 days. Toronto Dominion is related to or competes with Royal Bank, Bank of Nova Scotia, Bank of Montreal, Canadian Imperial, and Enbridge. The Toronto-Dominion Bank, together with its subsidiaries, provides various personal and commercial banking products and... More
Toronto Dominion Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Toronto Dominion's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Toronto Dominion Bank upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 7.45 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 1.82 |
Toronto Dominion Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Toronto Dominion's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Toronto Dominion's standard deviation. In reality, there are many statistical measures that can use Toronto Dominion historical prices to predict the future Toronto Dominion's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (3.25) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Toronto Dominion's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Toronto Dominion Bank Backtested Returns
Toronto Dominion Bank owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0081, which indicates the firm had a -0.0081% return per unit of risk over the last 3 months. Toronto Dominion Bank exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Toronto Dominion's Coefficient Of Variation of (4,167), risk adjusted performance of (0.01), and Variance of 1.37 to confirm the risk estimate we provide. The entity has a beta of 0.0117, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Toronto Dominion's returns are expected to increase less than the market. However, during the bear market, the loss of holding Toronto Dominion is expected to be smaller as well. At this point, Toronto Dominion Bank has a negative expected return of -0.0094%. Please make sure to validate Toronto Dominion's maximum drawdown, accumulation distribution, as well as the relationship between the Accumulation Distribution and market facilitation index , to decide if Toronto Dominion Bank performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.18 |
Very weak predictability
Toronto Dominion Bank has very weak predictability. Overlapping area represents the amount of predictability between Toronto Dominion time series from 6th of December 2022 to 1st of December 2023 and 1st of December 2023 to 25th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Toronto Dominion Bank price movement. The serial correlation of 0.18 indicates that over 18.0% of current Toronto Dominion price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 8.72 |
Toronto Dominion Bank lagged returns against current returns
Autocorrelation, which is Toronto Dominion stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Toronto Dominion's stock expected returns. We can calculate the autocorrelation of Toronto Dominion returns to help us make a trade decision. For example, suppose you find that Toronto Dominion has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Toronto Dominion regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Toronto Dominion stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Toronto Dominion stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Toronto Dominion stock over time.
Current vs Lagged Prices |
| Timeline |
Toronto Dominion Lagged Returns
When evaluating Toronto Dominion's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Toronto Dominion stock have on its future price. Toronto Dominion autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Toronto Dominion autocorrelation shows the relationship between Toronto Dominion stock current value and its past values and can show if there is a momentum factor associated with investing in Toronto Dominion Bank.
Regressed Prices |
| Timeline |
Pair Trading with Toronto Dominion
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Toronto Dominion position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Toronto Dominion will appreciate offsetting losses from the drop in the long position's value.Moving against Toronto Stock
| 0.69 | JPM | JPMorgan Chase | PairCorr |
| 0.57 | BOFA | Bank of America | PairCorr |
| 0.44 | GOOG | Alphabet CDR | PairCorr |
| 0.32 | WMT | Walmart Inc CDR | PairCorr |
The ability to find closely correlated positions to Toronto Dominion could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Toronto Dominion when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Toronto Dominion - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Toronto Dominion Bank to buy it.
The correlation of Toronto Dominion is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Toronto Dominion moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Toronto Dominion Bank moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Toronto Dominion can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Toronto Dominion Correlation, Toronto Dominion Volatility and Toronto Dominion Alpha and Beta module to complement your research on Toronto Dominion. You can also try the Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
Toronto Dominion technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.