COMMONWBK AUSTRSPADRS (Germany) Market Value
| CWW0 Stock | EUR 96.50 0.50 0.52% |
| Symbol | COMMONWBK |
COMMONWBK AUSTRSPADRS '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 COMMONWBK AUSTRSPADRS'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 COMMONWBK AUSTRSPADRS.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in COMMONWBK AUSTRSPADRS on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding COMMONWBK AUSTRSPADRS or generate 0.0% return on investment in COMMONWBK AUSTRSPADRS over 360 days. COMMONWBK AUSTRSPADRS is related to or competes with Wayside Technology, MACOM Technology, PennantPark Investment, EAT WELL, SLR Investment, ECHO INVESTMENT, and PennyMac Mortgage. Commonwealth Bank of Australia provides integrated financial services in Australia, New Zealand, and internationally More
COMMONWBK AUSTRSPADRS 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 COMMONWBK AUSTRSPADRS'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 COMMONWBK AUSTRSPADRS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.55 | |||
| Information Ratio | 0.0601 | |||
| Maximum Drawdown | 5.49 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 2.3 |
COMMONWBK AUSTRSPADRS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for COMMONWBK AUSTRSPADRS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as COMMONWBK AUSTRSPADRS's standard deviation. In reality, there are many statistical measures that can use COMMONWBK AUSTRSPADRS historical prices to predict the future COMMONWBK AUSTRSPADRS's volatility.| Risk Adjusted Performance | 0.1275 | |||
| Jensen Alpha | 0.108 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0531 | |||
| Treynor Ratio | 0.2634 |
COMMONWBK AUSTRSPADRS Backtested Returns
At this point, COMMONWBK AUSTRSPADRS is very steady. COMMONWBK AUSTRSPADRS secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for COMMONWBK AUSTRSPADRS, which you can use to evaluate the volatility of the firm. Please confirm COMMONWBK AUSTRSPADRS's mean deviation of 1.11, and Risk Adjusted Performance of 0.1275 to double-check if the risk estimate we provide is consistent with the expected return of 0.18%. COMMONWBK AUSTRSPADRS has a performance score of 10 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.8, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, COMMONWBK AUSTRSPADRS's returns are expected to increase less than the market. However, during the bear market, the loss of holding COMMONWBK AUSTRSPADRS is expected to be smaller as well. COMMONWBK AUSTRSPADRS now shows a risk of 1.34%. Please confirm COMMONWBK AUSTRSPADRS jensen alpha, sortino ratio, and the relationship between the information ratio and total risk alpha , to decide if COMMONWBK AUSTRSPADRS will be following its price patterns.
Auto-correlation | 0.83 |
Very good predictability
COMMONWBK AUSTRSPADRS has very good predictability. Overlapping area represents the amount of predictability between COMMONWBK AUSTRSPADRS time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 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 COMMONWBK AUSTRSPADRS price movement. The serial correlation of 0.83 indicates that around 83.0% of current COMMONWBK AUSTRSPADRS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 30.29 |
COMMONWBK AUSTRSPADRS lagged returns against current returns
Autocorrelation, which is COMMONWBK AUSTRSPADRS 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 COMMONWBK AUSTRSPADRS's stock expected returns. We can calculate the autocorrelation of COMMONWBK AUSTRSPADRS returns to help us make a trade decision. For example, suppose you find that COMMONWBK AUSTRSPADRS 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 |
COMMONWBK AUSTRSPADRS 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 COMMONWBK AUSTRSPADRS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if COMMONWBK AUSTRSPADRS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in COMMONWBK AUSTRSPADRS stock over time.
Current vs Lagged Prices |
| Timeline |
COMMONWBK AUSTRSPADRS Lagged Returns
When evaluating COMMONWBK AUSTRSPADRS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of COMMONWBK AUSTRSPADRS stock have on its future price. COMMONWBK AUSTRSPADRS 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, COMMONWBK AUSTRSPADRS autocorrelation shows the relationship between COMMONWBK AUSTRSPADRS stock current value and its past values and can show if there is a momentum factor associated with investing in COMMONWBK AUSTRSPADRS.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in COMMONWBK Stock
COMMONWBK AUSTRSPADRS financial ratios help investors to determine whether COMMONWBK 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 COMMONWBK with respect to the benefits of owning COMMONWBK AUSTRSPADRS security.