ANZ Group (Australia) Market Value
| AN3PK Stock | 103.60 0.20 0.19% |
| Symbol | ANZ |
ANZ 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 ANZ Group'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 ANZ Group.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in ANZ Group on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding ANZ Group Holdings or generate 0.0% return on investment in ANZ Group over 720 days. ANZ Group is related to or competes with Bisalloy Steel, Homeco Daily, Platinum Asset, Cleanaway Waste, and Environmental. ANZ Group is entity of Australia. It is traded as Stock on AU exchange. More
ANZ 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 ANZ Group'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 ANZ Group Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2784 | |||
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 1.22 | |||
| Value At Risk | (0.42) | |||
| Potential Upside | 0.4266 |
ANZ Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ANZ Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ANZ Group's standard deviation. In reality, there are many statistical measures that can use ANZ Group historical prices to predict the future ANZ Group's volatility.| Risk Adjusted Performance | 0.0952 | |||
| Jensen Alpha | 0.0182 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.36) | |||
| Treynor Ratio | 0.3938 |
ANZ Group Holdings Backtested Returns
At this point, ANZ Group is very steady. ANZ Group Holdings secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had a 0.14% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for ANZ Group Holdings, which you can use to evaluate the volatility of the firm. Please confirm ANZ Group's risk adjusted performance of 0.0952, and Mean Deviation of 0.1774 to double-check if the risk estimate we provide is consistent with the expected return of 0.0327%. ANZ Group has a performance score of 10 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0682, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ANZ Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding ANZ Group is expected to be smaller as well. ANZ Group Holdings currently shows a risk of 0.24%. Please confirm ANZ Group Holdings skewness, and the relationship between the potential upside and rate of daily change , to decide if ANZ Group Holdings will be following its price patterns.
Auto-correlation | 0.89 |
Very good predictability
ANZ Group Holdings has very good predictability. Overlapping area represents the amount of predictability between ANZ Group time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 ANZ Group Holdings price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current ANZ Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 3.71 |
ANZ Group Holdings lagged returns against current returns
Autocorrelation, which is ANZ Group 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 ANZ Group's stock expected returns. We can calculate the autocorrelation of ANZ Group returns to help us make a trade decision. For example, suppose you find that ANZ Group 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 |
ANZ 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 ANZ Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ANZ Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ANZ Group stock over time.
Current vs Lagged Prices |
| Timeline |
ANZ Group Lagged Returns
When evaluating ANZ Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ANZ Group stock have on its future price. ANZ 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, ANZ Group autocorrelation shows the relationship between ANZ Group stock current value and its past values and can show if there is a momentum factor associated with investing in ANZ Group Holdings.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in ANZ Stock
ANZ Group financial ratios help investors to determine whether ANZ 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 ANZ with respect to the benefits of owning ANZ Group security.