ABBEY MORTGAGE (Nigeria) Market Value
| ABBEYBDS | 2.80 0.16 6.06% |
| Symbol | ABBEY |
ABBEY MORTGAGE '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 ABBEY MORTGAGE'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 ABBEY MORTGAGE.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in ABBEY MORTGAGE on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding ABBEY MORTGAGE BANK or generate 0.0% return on investment in ABBEY MORTGAGE over 30 days.
ABBEY MORTGAGE 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 ABBEY MORTGAGE'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 ABBEY MORTGAGE BANK upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0294 | |||
| Maximum Drawdown | 19.83 | |||
| Value At Risk | (9.23) | |||
| Potential Upside | 8.7 |
ABBEY MORTGAGE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABBEY MORTGAGE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABBEY MORTGAGE's standard deviation. In reality, there are many statistical measures that can use ABBEY MORTGAGE historical prices to predict the future ABBEY MORTGAGE's volatility.| Risk Adjusted Performance | 0.052 | |||
| Jensen Alpha | 0.2293 | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (0.95) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ABBEY MORTGAGE'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.
ABBEY MORTGAGE BANK Backtested Returns
ABBEY MORTGAGE appears to be very risky, given 3 months investment horizon. ABBEY MORTGAGE BANK retains Efficiency (Sharpe Ratio) of 0.0625, which signifies that the company had a 0.0625% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for ABBEY MORTGAGE, which you can use to evaluate the volatility of the entity. Please makes use of ABBEY MORTGAGE's market risk adjusted performance of (0.94), and Variance of 12.86 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ABBEY MORTGAGE holds a performance score of 4. The firm owns a Beta (Systematic Risk) of -0.22, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ABBEY MORTGAGE are expected to decrease at a much lower rate. During the bear market, ABBEY MORTGAGE is likely to outperform the market. Please check ABBEY MORTGAGE's variance, as well as the relationship between the potential upside and day median price , to make a quick decision on whether ABBEY MORTGAGE's current price history will revert.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
ABBEY MORTGAGE BANK has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ABBEY MORTGAGE time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 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 ABBEY MORTGAGE BANK price movement. The serial correlation of -0.75 indicates that around 75.0% of current ABBEY MORTGAGE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
ABBEY MORTGAGE BANK lagged returns against current returns
Autocorrelation, which is ABBEY MORTGAGE 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 ABBEY MORTGAGE's stock expected returns. We can calculate the autocorrelation of ABBEY MORTGAGE returns to help us make a trade decision. For example, suppose you find that ABBEY MORTGAGE 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 |
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ABBEY MORTGAGE 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 ABBEY MORTGAGE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABBEY MORTGAGE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABBEY MORTGAGE stock over time.
Current vs Lagged Prices |
| Timeline |
ABBEY MORTGAGE Lagged Returns
When evaluating ABBEY MORTGAGE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABBEY MORTGAGE stock have on its future price. ABBEY MORTGAGE 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, ABBEY MORTGAGE autocorrelation shows the relationship between ABBEY MORTGAGE stock current value and its past values and can show if there is a momentum factor associated with investing in ABBEY MORTGAGE BANK.
Regressed Prices |
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