Investec (South Africa) Market Value
| INL Stock | 13,224 403.00 2.96% |
| Symbol | Investec |
Investec '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 Investec'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 Investec.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Investec on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Investec or generate 0.0% return on investment in Investec over 30 days. Investec is related to or competes with Capitec Bank, Capitec Bank, Nedbank, and RMB Holdings. More
Investec 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 Investec'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 Investec upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.63 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 5.77 | |||
| Value At Risk | (2.23) | |||
| Potential Upside | 1.91 |
Investec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Investec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Investec's standard deviation. In reality, there are many statistical measures that can use Investec historical prices to predict the future Investec's volatility.| Risk Adjusted Performance | 0.0414 | |||
| Jensen Alpha | 0.025 | |||
| Total Risk Alpha | (0.15) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.2304 |
Investec Backtested Returns
Investec holds Efficiency (Sharpe) Ratio of -0.0011, which attests that the entity had a -0.0011% return per unit of risk over the last 3 months. Investec exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Investec's Market Risk Adjusted Performance of 0.2404, downside deviation of 1.63, and Risk Adjusted Performance of 0.0414 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.23, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Investec's returns are expected to increase less than the market. However, during the bear market, the loss of holding Investec is expected to be smaller as well. At this point, Investec has a negative expected return of -0.0013%. Please make sure to check out Investec's treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to decide if Investec performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.63 |
Very good reverse predictability
Investec has very good reverse predictability. Overlapping area represents the amount of predictability between Investec time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Investec price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Investec price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 73.2 K |
Investec lagged returns against current returns
Autocorrelation, which is Investec 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 Investec's stock expected returns. We can calculate the autocorrelation of Investec returns to help us make a trade decision. For example, suppose you find that Investec 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 |
Investec 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 Investec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Investec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Investec stock over time.
Current vs Lagged Prices |
| Timeline |
Investec Lagged Returns
When evaluating Investec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Investec stock have on its future price. Investec 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, Investec autocorrelation shows the relationship between Investec stock current value and its past values and can show if there is a momentum factor associated with investing in Investec.
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.Other Information on Investing in Investec Stock
Investec financial ratios help investors to determine whether Investec 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 Investec with respect to the benefits of owning Investec security.