ABSA Bank (South Africa) Market Value
| ABSP Stock | 87,797 997.00 1.15% |
| Symbol | ABSA |
ABSA 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 ABSA 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 ABSA Bank.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in ABSA Bank on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding ABSA Bank Limited or generate 0.0% return on investment in ABSA Bank over 180 days. ABSA Bank is related to or competes with HomeChoice Investments, Brimstone Investment, Frontier Transport, Reinet Investments, Astoria Investments, Kumba Iron, and E Media. More
ABSA 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 ABSA 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 ABSA Bank Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.1 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.71 | |||
| Value At Risk | (1.63) | |||
| Potential Upside | 1.66 |
ABSA Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABSA Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABSA Bank's standard deviation. In reality, there are many statistical measures that can use ABSA Bank historical prices to predict the future ABSA Bank's volatility.| Risk Adjusted Performance | 0.0723 | |||
| Jensen Alpha | 0.0994 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (1.17) |
ABSA Bank Limited Backtested Returns
Currently, ABSA Bank Limited is very steady. ABSA Bank Limited secures Sharpe Ratio (or Efficiency) of 0.0783, which signifies that the company had a 0.0783% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for ABSA Bank Limited, which you can use to evaluate the volatility of the entity. Please confirm ABSA Bank's Mean Deviation of 0.7335, coefficient of variation of 1104.0, and Semi Deviation of 0.9444 to double-check if the risk estimate we provide is consistent with the expected return of 0.0861%. ABSA Bank has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0769, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ABSA Bank are expected to decrease at a much lower rate. During the bear market, ABSA Bank is likely to outperform the market. ABSA Bank Limited at this time shows a risk of 1.1%. Please confirm ABSA Bank Limited sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to decide if ABSA Bank Limited will be following its price patterns.
Auto-correlation | 0.86 |
Very good predictability
ABSA Bank Limited has very good predictability. Overlapping area represents the amount of predictability between ABSA Bank time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Bank Limited price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current ABSA Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 5.3 M |
ABSA Bank Limited lagged returns against current returns
Autocorrelation, which is ABSA 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 ABSA Bank's stock expected returns. We can calculate the autocorrelation of ABSA Bank returns to help us make a trade decision. For example, suppose you find that ABSA 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 |
ABSA 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 ABSA Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABSA Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABSA Bank stock over time.
Current vs Lagged Prices |
| Timeline |
ABSA Bank Lagged Returns
When evaluating ABSA Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABSA Bank stock have on its future price. ABSA 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, ABSA Bank autocorrelation shows the relationship between ABSA Bank stock current value and its past values and can show if there is a momentum factor associated with investing in ABSA Bank Limited.
Regressed Prices |
| Timeline |
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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.Additional Tools for ABSA Stock Analysis
When running ABSA Bank's price analysis, check to measure ABSA 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 ABSA Bank is operating at the current time. Most of ABSA Bank's value examination focuses on studying past and present price action to predict the probability of ABSA 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 ABSA Bank's price. Additionally, you may evaluate how the addition of ABSA Bank to your portfolios can decrease your overall portfolio volatility.