ABC BANKING (Mauritius) Market Value
| ABCB Stock | 20.00 0.05 0.25% |
| Symbol | ABC |
ABC BANKING '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 ABC BANKING'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 ABC BANKING.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in ABC BANKING on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding ABC BANKING PORATION or generate 0.0% return on investment in ABC BANKING over 30 days.
ABC BANKING 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 ABC BANKING'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 ABC BANKING PORATION upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.51 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 12.37 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 2.53 |
ABC BANKING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABC BANKING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABC BANKING's standard deviation. In reality, there are many statistical measures that can use ABC BANKING historical prices to predict the future ABC BANKING's volatility.| Risk Adjusted Performance | 0.0314 | |||
| Jensen Alpha | 0.0574 | |||
| Total Risk Alpha | (0.26) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 5.02 |
ABC BANKING PORATION Backtested Returns
At this point, ABC BANKING is not too volatile. ABC BANKING PORATION retains Efficiency (Sharpe Ratio) of 0.0334, which signifies that the company had a 0.0334% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for ABC BANKING, which you can use to evaluate the volatility of the entity. Please confirm ABC BANKING's coefficient of variation of 3065.15, and Market Risk Adjusted Performance of 5.03 to double-check if the risk estimate we provide is consistent with the expected return of 0.072%. ABC BANKING has a performance score of 2 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.0117, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ABC BANKING's returns are expected to increase less than the market. However, during the bear market, the loss of holding ABC BANKING is expected to be smaller as well. ABC BANKING PORATION at this moment owns a risk of 2.16%. Please confirm ABC BANKING PORATION semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if ABC BANKING PORATION will be following its current price history.
Auto-correlation | 0.65 |
Good predictability
ABC BANKING PORATION has good predictability. Overlapping area represents the amount of predictability between ABC BANKING time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 ABC BANKING PORATION price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current ABC BANKING price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
ABC BANKING PORATION lagged returns against current returns
Autocorrelation, which is ABC BANKING 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 ABC BANKING's stock expected returns. We can calculate the autocorrelation of ABC BANKING returns to help us make a trade decision. For example, suppose you find that ABC BANKING 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 |
ABC BANKING 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 ABC BANKING stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABC BANKING stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABC BANKING stock over time.
Current vs Lagged Prices |
| Timeline |
ABC BANKING Lagged Returns
When evaluating ABC BANKING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABC BANKING stock have on its future price. ABC BANKING 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, ABC BANKING autocorrelation shows the relationship between ABC BANKING stock current value and its past values and can show if there is a momentum factor associated with investing in ABC BANKING PORATION.
Regressed Prices |
| Timeline |
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