Komercni Banka (Czech Republic) Market Value
| KOMB Stock | CZK 807.50 9.50 1.16% |
| Symbol | Komercni |
Komercni Banka '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 Komercni Banka'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 Komercni Banka.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Komercni Banka on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Komercni Banka AS or generate 0.0% return on investment in Komercni Banka over 30 days. Komercni Banka is related to or competes with Cez AS, Kofola CeskoSlovensko, MT 1997, HARDWARIO, Coloseum Holding, Primoco UAV, and Prabos Plus. Komercn banka, a.s., together with its subsidiaries, provides various retail, corporate, and investment banking services... More
Komercni Banka 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 Komercni Banka'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 Komercni Banka AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6211 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 3.02 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.17 |
Komercni Banka Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Komercni Banka's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Komercni Banka's standard deviation. In reality, there are many statistical measures that can use Komercni Banka historical prices to predict the future Komercni Banka's volatility.| Risk Adjusted Performance | 0.1071 | |||
| Jensen Alpha | 0.0803 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 1.74 |
Komercni Banka AS Backtested Returns
Currently, Komercni Banka AS is very steady. Komercni Banka AS has Sharpe Ratio of 0.14, which conveys that the firm had a 0.14% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Komercni Banka, which you can use to evaluate the volatility of the firm. Please verify Komercni Banka's Risk Adjusted Performance of 0.1071, mean deviation of 0.5555, and Downside Deviation of 0.6211 to check out if the risk estimate we provide is consistent with the expected return of 0.094%. Komercni Banka has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.0495, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Komercni Banka's returns are expected to increase less than the market. However, during the bear market, the loss of holding Komercni Banka is expected to be smaller as well. Komercni Banka AS right now secures a risk of 0.68%. Please verify Komercni Banka AS standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Komercni Banka AS will be following its current price movements.
Auto-correlation | -0.85 |
Excellent reverse predictability
Komercni Banka AS has excellent reverse predictability. Overlapping area represents the amount of predictability between Komercni Banka time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Komercni Banka AS price movement. The serial correlation of -0.85 indicates that around 85.0% of current Komercni Banka price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.85 | |
| Spearman Rank Test | -0.94 | |
| Residual Average | 0.0 | |
| Price Variance | 20.8 |
Komercni Banka AS lagged returns against current returns
Autocorrelation, which is Komercni Banka 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 Komercni Banka's stock expected returns. We can calculate the autocorrelation of Komercni Banka returns to help us make a trade decision. For example, suppose you find that Komercni Banka 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 |
Komercni Banka 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 Komercni Banka stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Komercni Banka stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Komercni Banka stock over time.
Current vs Lagged Prices |
| Timeline |
Komercni Banka Lagged Returns
When evaluating Komercni Banka's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Komercni Banka stock have on its future price. Komercni Banka 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, Komercni Banka autocorrelation shows the relationship between Komercni Banka stock current value and its past values and can show if there is a momentum factor associated with investing in Komercni Banka AS.
Regressed Prices |
| Timeline |
Pair Trading with Komercni Banka
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 Komercni Banka 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 Komercni Banka will appreciate offsetting losses from the drop in the long position's value.Moving together with Komercni Stock
Moving against Komercni Stock
| 0.88 | COLOS | Coloseum Holding | PairCorr |
| 0.69 | KLIKY | MT 1997 AS | PairCorr |
| 0.55 | PRIUA | Primoco UAV SE | PairCorr |
| 0.45 | FIXED | FIXEDzone as | PairCorr |
The ability to find closely correlated positions to Komercni Banka could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Komercni Banka 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 Komercni Banka - 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 Komercni Banka AS to buy it.
The correlation of Komercni Banka 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 Komercni Banka moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Komercni Banka AS 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 Komercni Banka 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.Additional Tools for Komercni Stock Analysis
When running Komercni Banka's price analysis, check to measure Komercni Banka'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 Komercni Banka is operating at the current time. Most of Komercni Banka's value examination focuses on studying past and present price action to predict the probability of Komercni Banka's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Komercni Banka's price. Additionally, you may evaluate how the addition of Komercni Banka to your portfolios can decrease your overall portfolio volatility.