Absa Group Ltd Stock Market Value
| AGRPY Stock | USD 22.17 0.09 0.40% |
| Symbol | Absa |
Absa 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 Absa Group's pink sheet 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 Group.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Absa Group on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Absa Group Ltd or generate 0.0% return on investment in Absa Group over 30 days. Absa Group is related to or competes with Andover Bancorp, Aozora Bank, Credit Agricole, and Absa Group. Absa Group Limited, together with its subsidiaries, provides various financial products and services in South Africa and... More
Absa 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 Absa Group's pink sheet 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 Ltd upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.84 | |||
| Information Ratio | 0.1003 | |||
| Maximum Drawdown | 13.35 | |||
| Value At Risk | (2.77) | |||
| Potential Upside | 5.31 |
Absa Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absa Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absa Group's standard deviation. In reality, there are many statistical measures that can use Absa Group historical prices to predict the future Absa Group's volatility.| Risk Adjusted Performance | 0.1083 | |||
| Jensen Alpha | 0.373 | |||
| Total Risk Alpha | 0.0289 | |||
| Sortino Ratio | 0.0902 | |||
| Treynor Ratio | (1.17) |
Absa Group Backtested Returns
Absa Group appears to be not too volatile, given 3 months investment horizon. Absa Group secures Sharpe Ratio (or Efficiency) of 0.0939, which signifies that the company had a 0.0939% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Absa Group Ltd, which you can use to evaluate the volatility of the firm. Please makes use of Absa Group's Risk Adjusted Performance of 0.1083, mean deviation of 1.61, and Downside Deviation of 2.84 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Absa Group holds a performance score of 7. The firm shows a Beta (market volatility) of -0.29, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Absa Group are expected to decrease at a much lower rate. During the bear market, Absa Group is likely to outperform the market. Please check Absa Group's value at risk, as well as the relationship between the kurtosis and period momentum indicator , to make a quick decision on whether Absa Group's price patterns will revert.
Auto-correlation | 0.53 |
Modest predictability
Absa Group Ltd has modest predictability. Overlapping area represents the amount of predictability between Absa Group time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 0.53 indicates that about 53.0% of current Absa Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 1.52 |
Absa Group lagged returns against current returns
Autocorrelation, which is Absa Group pink sheet'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 Group's pink sheet expected returns. We can calculate the autocorrelation of Absa Group returns to help us make a trade decision. For example, suppose you find that Absa Group has exhibited high autocorrelation historically, and you observe that the pink sheet 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 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 Absa Group pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absa Group pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absa Group pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Absa Group Lagged Returns
When evaluating Absa Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absa Group pink sheet have on its future price. Absa 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, Absa Group autocorrelation shows the relationship between Absa Group pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Absa Group Ltd.
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 Pink Sheet Analysis
When running Absa Group's price analysis, check to measure Absa Group'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 Group is operating at the current time. Most of Absa Group's value examination focuses on studying past and present price action to predict the probability of Absa Group'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 Group's price. Additionally, you may evaluate how the addition of Absa Group to your portfolios can decrease your overall portfolio volatility.