National Bank (Pakistan) Market Value
| NBP Stock | 63.51 3.22 5.34% |
| Symbol | National |
National Bank '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 National Bank'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 National Bank.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in National Bank on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding National Bank of or generate 0.0% return on investment in National Bank over 30 days. National Bank is related to or competes with Reliance Insurance, Soneri Bank, EFU General, and Century Insurance. More
National Bank 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 National Bank'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 National Bank of upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.46 | |||
| Information Ratio | 0.1083 | |||
| Maximum Drawdown | 16.79 | |||
| Value At Risk | (3.38) | |||
| Potential Upside | 5.35 |
National Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for National Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as National Bank's standard deviation. In reality, there are many statistical measures that can use National Bank historical prices to predict the future National Bank's volatility.| Risk Adjusted Performance | 0.1186 | |||
| Jensen Alpha | 0.3891 | |||
| Total Risk Alpha | 0.035 | |||
| Sortino Ratio | 0.1287 | |||
| Treynor Ratio | 1.56 |
National Bank Backtested Returns
National Bank appears to be very steady, given 3 months investment horizon. National Bank has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for National Bank, which you can use to evaluate the volatility of the firm. Please exercise National Bank's Mean Deviation of 2.09, downside deviation of 2.46, and Risk Adjusted Performance of 0.1186 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, National Bank holds a performance score of 10. The company secures a Beta (Market Risk) of 0.27, which conveys not very significant fluctuations relative to the market. As returns on the market increase, National Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding National Bank is expected to be smaller as well. Please check National Bank's treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to make a quick decision on whether National Bank's current price movements will revert.
Auto-correlation | -0.21 |
Weak reverse predictability
National Bank of has weak reverse predictability. Overlapping area represents the amount of predictability between National Bank time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 National Bank price movement. The serial correlation of -0.21 indicates that over 21.0% of current National Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.83 |
National Bank lagged returns against current returns
Autocorrelation, which is National Bank 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 National Bank's stock expected returns. We can calculate the autocorrelation of National Bank returns to help us make a trade decision. For example, suppose you find that National Bank 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 |
National Bank 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 National Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if National Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in National Bank stock over time.
Current vs Lagged Prices |
| Timeline |
National Bank Lagged Returns
When evaluating National Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of National Bank stock have on its future price. National Bank 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, National Bank autocorrelation shows the relationship between National Bank stock current value and its past values and can show if there is a momentum factor associated with investing in National Bank of.
Regressed Prices |
| Timeline |
Pair Trading with National Bank
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 National Bank 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 National Bank will appreciate offsetting losses from the drop in the long position's value.Moving together with National Stock
The ability to find closely correlated positions to National Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace National Bank 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 National Bank - 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 National Bank of to buy it.
The correlation of National Bank 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 National Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if National Bank 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 National Bank 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 National Stock Analysis
When running National Bank's price analysis, check to measure National Bank'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 National Bank is operating at the current time. Most of National Bank's value examination focuses on studying past and present price action to predict the probability of National Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move National Bank's price. Additionally, you may evaluate how the addition of National Bank to your portfolios can decrease your overall portfolio volatility.