Absa (South Africa) Market Value
| ABG Stock | 19,678 51.00 0.26% |
| Symbol | Absa |
Absa '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 Absa'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 Absa.
| 11/14/2024 |
| 12/14/2024 |
If you would invest 0.00 in Absa on November 14, 2024 and sell it all today you would earn a total of 0.00 from holding Absa Group or generate 0.0% return on investment in Absa over 30 days. Absa is related to or competes with Reinet Investments, Astoria Investments, Safari Investments, Harmony Gold, Advtech, and Deneb Investments. More
Absa 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 Absa'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 Absa Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9442 | |||
| Information Ratio | 0.1169 | |||
| Maximum Drawdown | 7.76 | |||
| Value At Risk | (1.52) | |||
| Potential Upside | 2.04 |
Absa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absa's standard deviation. In reality, there are many statistical measures that can use Absa historical prices to predict the future Absa's volatility.| Risk Adjusted Performance | 0.1424 | |||
| Jensen Alpha | 0.2635 | |||
| Total Risk Alpha | 0.08 | |||
| Sortino Ratio | 0.1697 | |||
| Treynor Ratio | (1.71) |
Absa Group Backtested Returns
Absa appears to be very steady, given 3 months investment horizon. Absa Group secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the company had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Absa Group, which you can use to evaluate the volatility of the firm. Please makes use of Absa's Mean Deviation of 0.9648, risk adjusted performance of 0.1424, and Downside Deviation of 0.9442 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Absa holds a performance score of 13. The firm shows a Beta (market volatility) of -0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Absa are expected to decrease at a much lower rate. During the bear market, Absa is likely to outperform the market. Please check Absa's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Absa's price patterns will revert.
Auto-correlation | 0.96 |
Excellent predictability
Absa Group has excellent predictability. Overlapping area represents the amount of predictability between Absa time series from 14th of November 2024 to 29th of November 2024 and 29th of November 2024 to 14th 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 Absa Group price movement. The serial correlation of 0.96 indicates that 96.0% of current Absa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.96 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 M |
Absa Group lagged returns against current returns
Autocorrelation, which is Absa 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 Absa's stock expected returns. We can calculate the autocorrelation of Absa returns to help us make a trade decision. For example, suppose you find that Absa 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 |
Absa 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 Absa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absa stock over time.
Current vs Lagged Prices |
| Timeline |
Absa Lagged Returns
When evaluating Absa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absa stock have on its future price. Absa 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, Absa autocorrelation shows the relationship between Absa stock current value and its past values and can show if there is a momentum factor associated with investing in Absa Group.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Absa Stock
Absa financial ratios help investors to determine whether Absa Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Absa with respect to the benefits of owning Absa security.