Absa Prudential (South Africa) Market Value
| 0P000182JS | 4.39 0.01 0.23% |
| Symbol | Absa |
Absa Prudential '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 Absa Prudential's fund 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 Absa Prudential.
| 12/23/2022 |
| 12/12/2024 |
If you would invest 0.00 in Absa Prudential on December 23, 2022 and sell it all today you would earn a total of 0.00 from holding Absa Prudential or generate 0.0% return on investment in Absa Prudential over 720 days.
Absa Prudential 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 Absa Prudential's fund 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 Absa Prudential upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3181 | |||
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 1.18 | |||
| Value At Risk | (0.46) | |||
| Potential Upside | 0.4695 |
Absa Prudential Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absa Prudential's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absa Prudential's standard deviation. In reality, there are many statistical measures that can use Absa Prudential historical prices to predict the future Absa Prudential's volatility.| Risk Adjusted Performance | 0.1479 | |||
| Jensen Alpha | 0.0414 | |||
| Total Risk Alpha | 0.0091 | |||
| Sortino Ratio | (0.19) | |||
| Treynor Ratio | 0.4949 |
Absa Prudential Backtested Returns
At this point, Absa Prudential is very steady. Absa Prudential secures Sharpe Ratio (or Efficiency) of 0.22, which signifies that the fund had a 0.22% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Absa Prudential, which you can use to evaluate the volatility of the entity. Please confirm Absa Prudential's Coefficient Of Variation of 441.91, risk adjusted performance of 0.1479, and Mean Deviation of 0.2222 to double-check if the risk estimate we provide is consistent with the expected return of 0.0631%. The fund shows a Beta (market volatility) of 0.11, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Absa Prudential's returns are expected to increase less than the market. However, during the bear market, the loss of holding Absa Prudential is expected to be smaller as well.
Auto-correlation | 0.59 |
Modest predictability
Absa Prudential has modest predictability. Overlapping area represents the amount of predictability between Absa Prudential time series from 23rd of December 2022 to 18th of December 2023 and 18th of December 2023 to 12th of December 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 Absa Prudential price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Absa Prudential price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Absa Prudential lagged returns against current returns
Autocorrelation, which is Absa Prudential fund'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 Absa Prudential's fund expected returns. We can calculate the autocorrelation of Absa Prudential returns to help us make a trade decision. For example, suppose you find that Absa Prudential has exhibited high autocorrelation historically, and you observe that the fund 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 |
Absa Prudential 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 Absa Prudential fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absa Prudential fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absa Prudential fund over time.
Current vs Lagged Prices |
| Timeline |
Absa Prudential Lagged Returns
When evaluating Absa Prudential's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absa Prudential fund have on its future price. Absa Prudential 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, Absa Prudential autocorrelation shows the relationship between Absa Prudential fund current value and its past values and can show if there is a momentum factor associated with investing in Absa Prudential.
Regressed Prices |
| Timeline |
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