NCBA GROUP (Kenya) Market Value
| NIC Stock | 41.90 0.15 0.36% |
| Symbol | NCBA |
NCBA GROUP '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 NCBA GROUP'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 NCBA GROUP.
| 12/15/2022 |
| 12/04/2024 |
If you would invest 0.00 in NCBA GROUP on December 15, 2022 and sell it all today you would earn a total of 0.00 from holding NCBA GROUP PLC or generate 0.0% return on investment in NCBA GROUP over 720 days.
NCBA GROUP 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 NCBA GROUP'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 NCBA GROUP PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.82 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 12.44 | |||
| Value At Risk | (3.15) | |||
| Potential Upside | 2.2 |
NCBA GROUP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NCBA GROUP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NCBA GROUP's standard deviation. In reality, there are many statistical measures that can use NCBA GROUP historical prices to predict the future NCBA GROUP's volatility.| Risk Adjusted Performance | 0.0088 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.28) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.07) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NCBA GROUP's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
NCBA GROUP PLC Backtested Returns
NCBA GROUP PLC retains Efficiency (Sharpe Ratio) of -0.0122, which conveys that the company had a -0.0122% return per unit of risk over the last 3 months. NCBA GROUP exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NCBA GROUP's Mean Deviation of 1.16, market risk adjusted performance of (0.06), and Semi Deviation of 2.34 to check out the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.0496, which conveys not very significant fluctuations relative to the market. As returns on the market increase, NCBA GROUP's returns are expected to increase less than the market. However, during the bear market, the loss of holding NCBA GROUP is expected to be smaller as well. At this point, NCBA GROUP PLC has a negative expected return of -0.025%. Please make sure to verify NCBA GROUP's downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to decide if NCBA GROUP PLC performance from the past will be repeated in the future.
Auto-correlation | 0.20 |
Weak predictability
NCBA GROUP PLC has weak predictability. Overlapping area represents the amount of predictability between NCBA GROUP time series from 15th of December 2022 to 10th of December 2023 and 10th of December 2023 to 4th 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 NCBA GROUP PLC price movement. The serial correlation of 0.2 indicates that over 20.0% of current NCBA GROUP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 5.64 |
NCBA GROUP PLC lagged returns against current returns
Autocorrelation, which is NCBA GROUP 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 NCBA GROUP's stock expected returns. We can calculate the autocorrelation of NCBA GROUP returns to help us make a trade decision. For example, suppose you find that NCBA GROUP 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 |
NCBA GROUP 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 NCBA GROUP stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NCBA GROUP stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NCBA GROUP stock over time.
Current vs Lagged Prices |
| Timeline |
NCBA GROUP Lagged Returns
When evaluating NCBA GROUP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NCBA GROUP stock have on its future price. NCBA GROUP 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, NCBA GROUP autocorrelation shows the relationship between NCBA GROUP stock current value and its past values and can show if there is a momentum factor associated with investing in NCBA GROUP PLC.
Regressed Prices |
| Timeline |