Allied Bank (Pakistan) Market Value
| ABL Stock | 122.01 1.80 1.50% |
| Symbol | Allied |
Allied Bank '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 Allied Bank'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 Allied Bank.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Allied Bank on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Allied Bank or generate 0.0% return on investment in Allied Bank over 510 days. Allied Bank is related to or competes with TPL Insurance, National Foods, Metropolitan Steel, United Insurance, Atlas Insurance, and Pakistan Tobacco. More
Allied Bank 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 Allied Bank'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 Allied Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | 0.0496 | |||
| Maximum Drawdown | 7.82 | |||
| Value At Risk | (1.89) | |||
| Potential Upside | 2.19 |
Allied Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allied Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allied Bank's standard deviation. In reality, there are many statistical measures that can use Allied Bank historical prices to predict the future Allied Bank's volatility.| Risk Adjusted Performance | 0.1125 | |||
| Jensen Alpha | 0.2101 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0572 | |||
| Treynor Ratio | (1.02) |
Allied Bank Backtested Returns
Allied Bank appears to be very steady, given 3 months investment horizon. Allied Bank secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Allied Bank, which you can use to evaluate the volatility of the firm. Please makes use of Allied Bank's Mean Deviation of 0.9815, downside deviation of 1.22, and Risk Adjusted Performance of 0.1125 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Allied Bank holds a performance score of 11. The firm shows a Beta (market volatility) of -0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Allied Bank are expected to decrease at a much lower rate. During the bear market, Allied Bank is likely to outperform the market. Please check Allied Bank's standard deviation, treynor ratio, downside variance, as well as the relationship between the total risk alpha and value at risk , to make a quick decision on whether Allied Bank's price patterns will revert.
Auto-correlation | 0.78 |
Good predictability
Allied Bank has good predictability. Overlapping area represents the amount of predictability between Allied Bank time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 Allied Bank price movement. The serial correlation of 0.78 indicates that around 78.0% of current Allied Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 148.76 |
Allied Bank lagged returns against current returns
Autocorrelation, which is Allied Bank 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 Allied Bank's stock expected returns. We can calculate the autocorrelation of Allied Bank returns to help us make a trade decision. For example, suppose you find that Allied Bank 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 |
Allied Bank 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 Allied Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allied Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allied Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Allied Bank Lagged Returns
When evaluating Allied Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allied Bank stock have on its future price. Allied Bank 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, Allied Bank autocorrelation shows the relationship between Allied Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Allied Bank.
Regressed Prices |
| Timeline |
Pair Trading with Allied Bank
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 Allied Bank 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 Allied Bank will appreciate offsetting losses from the drop in the long position's value.Moving together with Allied Stock
The ability to find closely correlated positions to Allied Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Allied Bank 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 Allied Bank - 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 Allied Bank to buy it.
The correlation of Allied Bank 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 Allied Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Allied 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 Allied Bank 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.Additional Tools for Allied Stock Analysis
When running Allied Bank's price analysis, check to measure Allied Bank's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Allied Bank is operating at the current time. Most of Allied Bank's value examination focuses on studying past and present price action to predict the probability of Allied Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Allied Bank's price. Additionally, you may evaluate how the addition of Allied Bank to your portfolios can decrease your overall portfolio volatility.