Banco Pan (Brazil) Market Value
| BPAN4 Preferred Stock | BRL 7.41 0.25 3.26% |
| Symbol | Banco |
Banco Pan '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 Banco Pan's preferred 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 Banco Pan.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Banco Pan on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Banco Pan SA or generate 0.0% return on investment in Banco Pan over 30 days. Banco Pan is related to or competes with Banco BTG, Eneva SA, Oi SA, Movida Participaes, and Helbor Empreendimentos. Banco Pan S.A., together with its subsidiaries, operates as a middle-sized financial institution in Brazil More
Banco Pan 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 Banco Pan's preferred 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 Banco Pan SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 10.98 | |||
| Value At Risk | (3.54) | |||
| Potential Upside | 2.71 |
Banco Pan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Banco Pan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Banco Pan's standard deviation. In reality, there are many statistical measures that can use Banco Pan historical prices to predict the future Banco Pan's volatility.| Risk Adjusted Performance | (0.19) | |||
| Jensen Alpha | (0.54) | |||
| Total Risk Alpha | (0.81) | |||
| Treynor Ratio | 38.34 |
Banco Pan SA Backtested Returns
Banco Pan SA secures Sharpe Ratio (or Efficiency) of -0.24, which signifies that the company had a -0.24% return per unit of risk over the last 3 months. Banco Pan SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Banco Pan's Standard Deviation of 2.04, risk adjusted performance of (0.19), and Mean Deviation of 1.5 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0142, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Banco Pan are expected to decrease at a much lower rate. During the bear market, Banco Pan is likely to outperform the market. At this point, Banco Pan SA has a negative expected return of -0.5%. Please make sure to confirm Banco Pan's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Banco Pan SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.77 |
Good predictability
Banco Pan SA has good predictability. Overlapping area represents the amount of predictability between Banco Pan 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 Banco Pan SA price movement. The serial correlation of 0.77 indicates that around 77.0% of current Banco Pan price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Banco Pan SA lagged returns against current returns
Autocorrelation, which is Banco Pan preferred 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 Banco Pan's preferred stock expected returns. We can calculate the autocorrelation of Banco Pan returns to help us make a trade decision. For example, suppose you find that Banco Pan has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Banco Pan 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 Banco Pan preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Banco Pan preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Banco Pan preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Banco Pan Lagged Returns
When evaluating Banco Pan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Banco Pan preferred stock have on its future price. Banco Pan 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, Banco Pan autocorrelation shows the relationship between Banco Pan preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Banco Pan SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Banco Preferred Stock Analysis
When running Banco Pan's price analysis, check to measure Banco Pan's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Banco Pan is operating at the current time. Most of Banco Pan's value examination focuses on studying past and present price action to predict the probability of Banco Pan's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Banco Pan's price. Additionally, you may evaluate how the addition of Banco Pan to your portfolios can decrease your overall portfolio volatility.