Bank Islami (Pakistan) Market Value
| BIPL Stock | 22.17 0.22 1.00% |
| Symbol | Bank |
Bank Islami '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 Islami'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 Islami.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Bank Islami on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Islami Pakistan or generate 0.0% return on investment in Bank Islami over 30 days. Bank Islami is related to or competes with JS Investments, ITTEFAQ Iron, Roshan Packages, Metropolitan Steel, and Unilever Pakistan. More
Bank Islami 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 Islami'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 Islami Pakistan upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 15.62 | |||
| Value At Risk | (2.51) | |||
| Potential Upside | 2.42 |
Bank Islami Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Islami's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Islami's standard deviation. In reality, there are many statistical measures that can use Bank Islami historical prices to predict the future Bank Islami's volatility.| Risk Adjusted Performance | 0.0051 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.28) | |||
| Treynor Ratio | (0.02) |
Bank Islami Pakistan Backtested Returns
Bank Islami Pakistan secures Sharpe Ratio (or Efficiency) of -0.0015, which signifies that the company had a -0.0015% return per unit of risk over the last 3 months. Bank Islami Pakistan exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Islami's Mean Deviation of 1.25, risk adjusted performance of 0.0051, and Standard Deviation of 2.04 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.57, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Islami's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Islami is expected to be smaller as well. At this point, Bank Islami Pakistan has a negative expected return of -0.0032%. Please make sure to confirm Bank Islami's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Bank Islami Pakistan performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.4 |
Poor reverse predictability
Bank Islami Pakistan has poor reverse predictability. Overlapping area represents the amount of predictability between Bank Islami time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 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 Bank Islami Pakistan price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Bank Islami price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Bank Islami Pakistan lagged returns against current returns
Autocorrelation, which is Bank Islami 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 Islami's stock expected returns. We can calculate the autocorrelation of Bank Islami returns to help us make a trade decision. For example, suppose you find that Bank Islami 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 Islami 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 Islami stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Islami stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Islami stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Islami Lagged Returns
When evaluating Bank Islami's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Islami stock have on its future price. Bank Islami 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 Islami autocorrelation shows the relationship between Bank Islami stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Islami Pakistan.
Regressed Prices |
| Timeline |
Pair Trading with Bank Islami
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 Islami 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 Islami will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Bank Islami 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 Islami 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 Islami - 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 Islami Pakistan to buy it.
The correlation of Bank Islami 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 Islami moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank Islami Pakistan 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 Islami 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 Islami 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 Islami security.