Bank Of America Stock Market Value
| BOFA Stock | 24.50 0.31 1.28% |
| Symbol | Bank |
Bank of America '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 of America'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 of America.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Bank of America on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Bank of America or generate 0.0% return on investment in Bank of America over 720 days. Bank of America is related to or competes with DelphX Capital, Citadel Income, IShares Canadian, Altagas Cum, European Residential, RBC Discount, and IShares SPTSX. Bank of America is entity of Canada. It is traded as Stock on NEO exchange. More
Bank of America 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 of America'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 of America upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9589 | |||
| Information Ratio | 0.1107 | |||
| Maximum Drawdown | 10.15 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 2.5 |
Bank of America Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank of America's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank of America's standard deviation. In reality, there are many statistical measures that can use Bank of America historical prices to predict the future Bank of America's volatility.| Risk Adjusted Performance | 0.1514 | |||
| Jensen Alpha | 0.1933 | |||
| Total Risk Alpha | 0.0441 | |||
| Sortino Ratio | 0.1895 | |||
| Treynor Ratio | 0.3344 |
Bank of America Backtested Returns
Bank of America appears to be very steady, given 3 months investment horizon. Bank of America secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the company had a 0.17% return per unit of risk over the last 3 months. We have found thirty technical indicators for Bank of America, which you can use to evaluate the volatility of the firm. Please makes use of Bank of America's Downside Deviation of 0.9589, risk adjusted performance of 0.1514, and Mean Deviation of 1.12 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bank of America holds a performance score of 13. The firm shows a Beta (market volatility) of 0.9, which signifies possible diversification benefits within a given portfolio. Bank of America returns are very sensitive to returns on the market. As the market goes up or down, Bank of America is expected to follow. Please check Bank of America's total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Bank of America's price patterns will revert.
Auto-correlation | -0.62 |
Very good reverse predictability
Bank of America has very good reverse predictability. Overlapping area represents the amount of predictability between Bank of America time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 of America price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Bank of America price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 3.97 |
Bank of America lagged returns against current returns
Autocorrelation, which is Bank of America 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 of America's stock expected returns. We can calculate the autocorrelation of Bank of America returns to help us make a trade decision. For example, suppose you find that Bank of America 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 of America 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 of America stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank of America stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank of America stock over time.
Current vs Lagged Prices |
| Timeline |
Bank of America Lagged Returns
When evaluating Bank of America's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank of America stock have on its future price. Bank of America 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 of America autocorrelation shows the relationship between Bank of America stock current value and its past values and can show if there is a momentum factor associated with investing in Bank of America.
Regressed Prices |
| Timeline |
Pair Trading with Bank of America
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 of America 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 of America 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 of America 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 of America 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 of America - 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 of America to buy it.
The correlation of Bank of America 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 of America moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank of America 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 of America 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.Check out Bank of America Correlation, Bank of America Volatility and Bank of America Alpha and Beta module to complement your research on Bank of America. For information on how to trade Bank Stock refer to our How to Trade Bank Stock guide.You can also try the Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Bank of America technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.