ANZ Group (Australia) Market Value
| AN3PI Stock | 104.38 0.12 0.11% |
| Symbol | ANZ |
ANZ 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 ANZ Group'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 ANZ Group.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in ANZ Group on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding ANZ Group Holdings or generate 0.0% return on investment in ANZ Group over 30 days. ANZ Group is related to or competes with Australian Unity, WiseTech Global, Ainsworth Game, EMvision Medical, Hansen Technologies, and Ras Technology. ANZ Group is entity of Australia. It is traded as Stock on AU exchange. More
ANZ 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 ANZ Group'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 ANZ Group Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6531 | |||
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 4.22 | |||
| Value At Risk | (0.70) | |||
| Potential Upside | 0.71 |
ANZ Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ANZ Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ANZ Group's standard deviation. In reality, there are many statistical measures that can use ANZ Group historical prices to predict the future ANZ Group's volatility.| Risk Adjusted Performance | 0.0041 | |||
| Jensen Alpha | 0.0312 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.19) | |||
| Treynor Ratio | 0.0164 |
ANZ Group Holdings Backtested Returns
At this point, ANZ Group is very steady. ANZ Group Holdings secures Sharpe Ratio (or Efficiency) of 0.0091, which signifies that the company had a 0.0091% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for ANZ Group Holdings, which you can use to evaluate the volatility of the firm. Please confirm ANZ Group's mean deviation of 0.3528, and Risk Adjusted Performance of 0.0041 to double-check if the risk estimate we provide is consistent with the expected return of 0.006%. The firm shows a Beta (market volatility) of -0.3, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning ANZ Group are expected to decrease at a much lower rate. During the bear market, ANZ Group is likely to outperform the market. ANZ Group Holdings currently shows a risk of 0.66%. Please confirm ANZ Group Holdings value at risk, kurtosis, market facilitation index, as well as the relationship between the semi variance and rate of daily change , to decide if ANZ Group Holdings will be following its price patterns.
Auto-correlation | 0.16 |
Very weak predictability
ANZ Group Holdings has very weak predictability. Overlapping area represents the amount of predictability between ANZ Group time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 ANZ Group Holdings price movement. The serial correlation of 0.16 indicates that over 16.0% of current ANZ Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
ANZ Group Holdings lagged returns against current returns
Autocorrelation, which is ANZ Group 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 ANZ Group's stock expected returns. We can calculate the autocorrelation of ANZ Group returns to help us make a trade decision. For example, suppose you find that ANZ Group 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 |
ANZ 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 ANZ Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ANZ Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ANZ Group stock over time.
Current vs Lagged Prices |
| Timeline |
ANZ Group Lagged Returns
When evaluating ANZ Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ANZ Group stock have on its future price. ANZ 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, ANZ Group autocorrelation shows the relationship between ANZ Group stock current value and its past values and can show if there is a momentum factor associated with investing in ANZ Group Holdings.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in ANZ Stock
ANZ Group financial ratios help investors to determine whether ANZ Stock 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 ANZ with respect to the benefits of owning ANZ Group security.