Raiffeisen Bank (Czech Republic) Market Value
| RBI Stock | 458.80 2.40 0.53% |
| Symbol | Raiffeisen |
Raiffeisen 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 Raiffeisen 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 Raiffeisen Bank.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Raiffeisen Bank on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Raiffeisen Bank International or generate 0.0% return on investment in Raiffeisen Bank over 30 days.
Raiffeisen 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 Raiffeisen 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 Raiffeisen Bank International upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.25 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 12.19 | |||
| Value At Risk | (2.38) | |||
| Potential Upside | 3.24 |
Raiffeisen Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Raiffeisen Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Raiffeisen Bank's standard deviation. In reality, there are many statistical measures that can use Raiffeisen Bank historical prices to predict the future Raiffeisen Bank's volatility.| Risk Adjusted Performance | 0.0394 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.07 |
Raiffeisen Bank Inte Backtested Returns
Currently, Raiffeisen Bank International is very steady. Raiffeisen Bank Inte maintains Sharpe Ratio (i.e., Efficiency) of 0.0429, which implies the firm had a 0.0429% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Raiffeisen Bank Inte, which you can use to evaluate the volatility of the company. Please check Raiffeisen Bank's Semi Deviation of 1.8, risk adjusted performance of 0.0394, and Coefficient Of Variation of 2282.21 to confirm if the risk estimate we provide is consistent with the expected return of 0.0917%. Raiffeisen Bank has a performance score of 3 on a scale of 0 to 100. The company holds a Beta of 1.17, which implies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Raiffeisen Bank will likely underperform. Raiffeisen Bank Inte right now holds a risk of 2.14%. Please check Raiffeisen Bank Inte total risk alpha, downside variance, daily balance of power, as well as the relationship between the maximum drawdown and skewness , to decide if Raiffeisen Bank Inte will be following its historical price patterns.
Auto-correlation | 0.54 |
Modest predictability
Raiffeisen Bank International has modest predictability. Overlapping area represents the amount of predictability between Raiffeisen Bank time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Raiffeisen Bank Inte price movement. The serial correlation of 0.54 indicates that about 54.0% of current Raiffeisen Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 67.02 |
Raiffeisen Bank Inte lagged returns against current returns
Autocorrelation, which is Raiffeisen 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 Raiffeisen Bank's stock expected returns. We can calculate the autocorrelation of Raiffeisen Bank returns to help us make a trade decision. For example, suppose you find that Raiffeisen 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 |
Raiffeisen 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 Raiffeisen Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Raiffeisen Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Raiffeisen Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Raiffeisen Bank Lagged Returns
When evaluating Raiffeisen Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Raiffeisen Bank stock have on its future price. Raiffeisen 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, Raiffeisen Bank autocorrelation shows the relationship between Raiffeisen Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Raiffeisen Bank International.
Regressed Prices |
| Timeline |
Pair Trading with Raiffeisen 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 Raiffeisen 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 Raiffeisen Bank will appreciate offsetting losses from the drop in the long position's value.Moving against Raiffeisen Stock
The ability to find closely correlated positions to Raiffeisen 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 Raiffeisen 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 Raiffeisen 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 Raiffeisen Bank International to buy it.
The correlation of Raiffeisen 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 Raiffeisen Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Raiffeisen Bank Inte 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 Raiffeisen 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 Raiffeisen Stock Analysis
When running Raiffeisen Bank's price analysis, check to measure Raiffeisen 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 Raiffeisen Bank is operating at the current time. Most of Raiffeisen Bank's value examination focuses on studying past and present price action to predict the probability of Raiffeisen 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 Raiffeisen Bank's price. Additionally, you may evaluate how the addition of Raiffeisen Bank to your portfolios can decrease your overall portfolio volatility.