ABN Amro (Netherlands) Market Value
| ABN Stock | EUR 14.89 0.15 1.02% |
| Symbol | ABN |
ABN Amro '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 ABN Amro'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 ABN Amro.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in ABN Amro on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding ABN Amro Group or generate 0.0% return on investment in ABN Amro over 510 days. ABN Amro is related to or competes with ING Groep, Aegon NV, NN Group, Koninklijke Ahold, and Koninklijke KPN. ABN AMRO Bank N.V. provides various banking products and services in the Netherlands and internationally More
ABN Amro 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 ABN Amro'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 ABN Amro Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 6.1 | |||
| Value At Risk | (1.84) | |||
| Potential Upside | 1.79 |
ABN Amro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABN Amro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABN Amro's standard deviation. In reality, there are many statistical measures that can use ABN Amro historical prices to predict the future ABN Amro's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (0.16) |
ABN Amro Group Backtested Returns
ABN Amro Group secures Sharpe Ratio (or Efficiency) of -0.0572, which signifies that the company had a -0.0572% return per unit of return volatility over the last 3 months. ABN Amro Group exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ABN Amro's Mean Deviation of 0.9807, standard deviation of 1.21, and Variance of 1.45 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.32, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ABN Amro's returns are expected to increase less than the market. However, during the bear market, the loss of holding ABN Amro is expected to be smaller as well. At this point, ABN Amro Group has a negative expected return of -0.0695%. Please make sure to confirm ABN Amro's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if ABN Amro Group performance from the past will be repeated in the future.
Auto-correlation | -0.28 |
Weak reverse predictability
ABN Amro Group has weak reverse predictability. Overlapping area represents the amount of predictability between ABN Amro 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 ABN Amro Group price movement. The serial correlation of -0.28 indicates that nearly 28.0% of current ABN Amro price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.28 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.33 |
ABN Amro Group lagged returns against current returns
Autocorrelation, which is ABN Amro 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 ABN Amro's stock expected returns. We can calculate the autocorrelation of ABN Amro returns to help us make a trade decision. For example, suppose you find that ABN Amro 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 |
ABN Amro 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 ABN Amro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABN Amro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABN Amro stock over time.
Current vs Lagged Prices |
| Timeline |
ABN Amro Lagged Returns
When evaluating ABN Amro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABN Amro stock have on its future price. ABN Amro 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, ABN Amro autocorrelation shows the relationship between ABN Amro stock current value and its past values and can show if there is a momentum factor associated with investing in ABN Amro Group.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for ABN Stock Analysis
When running ABN Amro's price analysis, check to measure ABN Amro'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 ABN Amro is operating at the current time. Most of ABN Amro's value examination focuses on studying past and present price action to predict the probability of ABN Amro's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ABN Amro's price. Additionally, you may evaluate how the addition of ABN Amro to your portfolios can decrease your overall portfolio volatility.