Bank Alfalah (Pakistan) Market Value
| BAFL Stock | 81.96 6.21 8.20% |
| Symbol | Bank |
Bank Alfalah '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 Bank Alfalah'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 Bank Alfalah.
| 12/08/2022 |
| 11/27/2024 |
If you would invest 0.00 in Bank Alfalah on December 8, 2022 and sell it all today you would earn a total of 0.00 from holding Bank Alfalah or generate 0.0% return on investment in Bank Alfalah over 720 days. Bank Alfalah is related to or competes with Reliance Insurance, Adamjee Insurance, Hi Tech, Agritech, TPL Insurance, and Unity Foods. More
Bank Alfalah 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 Bank Alfalah'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 Bank Alfalah upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | 0.16 | |||
| Maximum Drawdown | 9.2 | |||
| Value At Risk | (2.40) | |||
| Potential Upside | 3.24 |
Bank Alfalah Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Alfalah's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Alfalah's standard deviation. In reality, there are many statistical measures that can use Bank Alfalah historical prices to predict the future Bank Alfalah's volatility.| Risk Adjusted Performance | 0.1765 | |||
| Jensen Alpha | 0.398 | |||
| Total Risk Alpha | 0.1256 | |||
| Sortino Ratio | 0.2645 | |||
| Treynor Ratio | 0.9759 |
Bank Alfalah Backtested Returns
Bank Alfalah appears to be very steady, given 3 months investment horizon. Bank Alfalah secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Bank Alfalah, which you can use to evaluate the volatility of the firm. Please makes use of Bank Alfalah's Downside Deviation of 1.26, mean deviation of 1.49, and Risk Adjusted Performance of 0.1765 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bank Alfalah holds a performance score of 17. The firm shows a Beta (market volatility) of 0.47, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Alfalah's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Alfalah is expected to be smaller as well. Please check Bank Alfalah's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Bank Alfalah's price patterns will revert.
Auto-correlation | 0.73 |
Good predictability
Bank Alfalah has good predictability. Overlapping area represents the amount of predictability between Bank Alfalah time series from 8th of December 2022 to 3rd of December 2023 and 3rd of December 2023 to 27th 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 Bank Alfalah price movement. The serial correlation of 0.73 indicates that around 73.0% of current Bank Alfalah price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 89.73 |
Bank Alfalah lagged returns against current returns
Autocorrelation, which is Bank Alfalah 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 Bank Alfalah's stock expected returns. We can calculate the autocorrelation of Bank Alfalah returns to help us make a trade decision. For example, suppose you find that Bank Alfalah 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 |
Bank Alfalah 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 Bank Alfalah stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Alfalah stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Alfalah stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Alfalah Lagged Returns
When evaluating Bank Alfalah's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Alfalah stock have on its future price. Bank Alfalah 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, Bank Alfalah autocorrelation shows the relationship between Bank Alfalah stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Alfalah.
Regressed Prices |
| Timeline |
Pair Trading with Bank Alfalah
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 Bank Alfalah 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 Bank Alfalah will appreciate offsetting losses from the drop in the long position's value.Moving together with Bank Stock
Moving against Bank Stock
The ability to find closely correlated positions to Bank Alfalah could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank Alfalah 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 Bank Alfalah - 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 Bank Alfalah to buy it.
The correlation of Bank Alfalah 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 Bank Alfalah moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank Alfalah 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 Bank Alfalah 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.Other Information on Investing in Bank Stock
Bank Alfalah financial ratios help investors to determine whether Bank 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 Bank with respect to the benefits of owning Bank Alfalah security.