Absa Group Limited Stock Market Value
| AGRPF Stock | USD 8.11 0.00 0.00% |
| Symbol | Absa |
Absa Group '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 Group's pink sheet 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 Group.
| 11/28/2023 |
| 11/22/2024 |
If you would invest 0.00 in Absa Group on November 28, 2023 and sell it all today you would earn a total of 0.00 from holding Absa Group Limited or generate 0.0% return on investment in Absa Group over 360 days. Absa Group is related to or competes with Nedbank, Standard Bank, Bank Central, PSB Holdings, United Overseas, Turkiye Garanti, and Hang Seng. Absa Group Limited, together with its subsidiaries, provides various financial products and services in South Africa and... More
Absa Group 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 Group's pink sheet 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 Group Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 5.05 |
Absa Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absa Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absa Group's standard deviation. In reality, there are many statistical measures that can use Absa Group historical prices to predict the future Absa Group's volatility.| Risk Adjusted Performance | 0.0916 | |||
| Jensen Alpha | 0.0607 | |||
| Total Risk Alpha | (0.01) | |||
| Treynor Ratio | 1.13 |
Absa Group Limited Backtested Returns
At this point, Absa Group is very steady. Absa Group Limited secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of risk over the last 3 months. We have found sixteen technical indicators for Absa Group Limited, which you can use to evaluate the volatility of the firm. Please confirm Absa Group's Standard Deviation of 0.6218, mean deviation of 0.1508, and Risk Adjusted Performance of 0.0916 to double-check if the risk estimate we provide is consistent with the expected return of 0.0802%. Absa Group has a performance score of 9 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0591, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Absa Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Absa Group is expected to be smaller as well. Absa Group Limited right now shows a risk of 0.64%. Please confirm Absa Group Limited information ratio and kurtosis , to decide if Absa Group Limited will be following its price patterns.
Auto-correlation | 0.31 |
Below average predictability
Absa Group Limited has below average predictability. Overlapping area represents the amount of predictability between Absa Group time series from 28th of November 2023 to 26th of May 2024 and 26th of May 2024 to 22nd 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 Absa Group Limited price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Absa Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Absa Group Limited lagged returns against current returns
Autocorrelation, which is Absa Group pink sheet'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 Group's pink sheet expected returns. We can calculate the autocorrelation of Absa Group returns to help us make a trade decision. For example, suppose you find that Absa Group has exhibited high autocorrelation historically, and you observe that the pink sheet 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 Group 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 Group pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absa Group pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absa Group pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Absa Group Lagged Returns
When evaluating Absa Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absa Group pink sheet have on its future price. Absa Group 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 Group autocorrelation shows the relationship between Absa Group pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Absa Group Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Absa Pink Sheet
Absa Group financial ratios help investors to determine whether Absa Pink Sheet is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Absa with respect to the benefits of owning Absa Group security.