Wesfarmers (Australia) Market Value
| WES Stock | 72.06 0.43 0.60% |
| Symbol | Wesfarmers |
Wesfarmers '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 Wesfarmers' 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 Wesfarmers.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Wesfarmers on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Wesfarmers or generate 0.0% return on investment in Wesfarmers over 30 days. Wesfarmers is related to or competes with Mirrabooka Investments, Garda Diversified, Regal Investment, Diversified United, Carlton Investments, Alternative Investment, and Pinnacle Investment. Wesfarmers is entity of Australia. It is traded as Stock on AU exchange. More
Wesfarmers 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 Wesfarmers' 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 Wesfarmers upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 4.71 | |||
| Value At Risk | (2.32) | |||
| Potential Upside | 1.6 |
Wesfarmers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wesfarmers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wesfarmers' standard deviation. In reality, there are many statistical measures that can use Wesfarmers historical prices to predict the future Wesfarmers' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | (0.59) |
Wesfarmers Backtested Returns
Wesfarmers shows Sharpe Ratio of -0.0119, which attests that the company had a -0.0119% return per unit of risk over the last 3 months. Wesfarmers exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Wesfarmers' Market Risk Adjusted Performance of (0.58), standard deviation of 1.21, and Mean Deviation of 0.9361 to validate the risk estimate we provide. The firm maintains a market beta of 0.14, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Wesfarmers' returns are expected to increase less than the market. However, during the bear market, the loss of holding Wesfarmers is expected to be smaller as well. At this point, Wesfarmers has a negative expected return of -0.0132%. Please make sure to check out Wesfarmers' potential upside, kurtosis, daily balance of power, as well as the relationship between the skewness and accumulation distribution , to decide if Wesfarmers performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.09 |
Very weak reverse predictability
Wesfarmers has very weak reverse predictability. Overlapping area represents the amount of predictability between Wesfarmers time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Wesfarmers price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Wesfarmers price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 1.13 |
Wesfarmers lagged returns against current returns
Autocorrelation, which is Wesfarmers 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 Wesfarmers' stock expected returns. We can calculate the autocorrelation of Wesfarmers returns to help us make a trade decision. For example, suppose you find that Wesfarmers 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 |
Wesfarmers 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 Wesfarmers stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wesfarmers stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wesfarmers stock over time.
Current vs Lagged Prices |
| Timeline |
Wesfarmers Lagged Returns
When evaluating Wesfarmers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wesfarmers stock have on its future price. Wesfarmers 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, Wesfarmers autocorrelation shows the relationship between Wesfarmers stock current value and its past values and can show if there is a momentum factor associated with investing in Wesfarmers.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Wesfarmers Stock Analysis
When running Wesfarmers' price analysis, check to measure Wesfarmers' 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 Wesfarmers is operating at the current time. Most of Wesfarmers' value examination focuses on studying past and present price action to predict the probability of Wesfarmers' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Wesfarmers' price. Additionally, you may evaluate how the addition of Wesfarmers to your portfolios can decrease your overall portfolio volatility.