ASX (Australia) Market Value
| ASX Stock | 64.30 1.14 1.74% |
| Symbol | ASX |
ASX '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 ASX'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 ASX.
| 06/24/2024 |
| 12/21/2024 |
If you would invest 0.00 in ASX on June 24, 2024 and sell it all today you would earn a total of 0.00 from holding ASX or generate 0.0% return on investment in ASX over 180 days. ASX is related to or competes with Aneka Tambang, National Australia, Commonwealth Bank, Commonwealth Bank, Macquarie Bank, and BHP Group. ASX is entity of Australia. It is traded as Stock on AU exchange. More
ASX 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 ASX'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 ASX upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.25 | |||
| Information Ratio | 0.0133 | |||
| Maximum Drawdown | 6.71 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 1.75 |
ASX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASX's standard deviation. In reality, there are many statistical measures that can use ASX historical prices to predict the future ASX's volatility.| Risk Adjusted Performance | 0.0365 | |||
| Jensen Alpha | 0.0355 | |||
| Total Risk Alpha | 0.006 | |||
| Sortino Ratio | 0.0117 | |||
| Treynor Ratio | 0.5947 |
ASX Backtested Returns
Currently, ASX is very steady. ASX secures Sharpe Ratio (or Efficiency) of 0.0369, which signifies that the company had a 0.0369% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for ASX, which you can use to evaluate the volatility of the firm. Please confirm ASX's mean deviation of 0.7812, and Risk Adjusted Performance of 0.0365 to double-check if the risk estimate we provide is consistent with the expected return of 0.041%. ASX has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.062, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ASX's returns are expected to increase less than the market. However, during the bear market, the loss of holding ASX is expected to be smaller as well. ASX currently shows a risk of 1.11%. Please confirm ASX sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if ASX will be following its price patterns.
Auto-correlation | 0.76 |
Good predictability
ASX has good predictability. Overlapping area represents the amount of predictability between ASX time series from 24th of June 2024 to 22nd of September 2024 and 22nd of September 2024 to 21st 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 ASX price movement. The serial correlation of 0.76 indicates that around 76.0% of current ASX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 2.49 |
ASX lagged returns against current returns
Autocorrelation, which is ASX 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 ASX's stock expected returns. We can calculate the autocorrelation of ASX returns to help us make a trade decision. For example, suppose you find that ASX 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 |
ASX 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 ASX stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASX stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASX stock over time.
Current vs Lagged Prices |
| Timeline |
ASX Lagged Returns
When evaluating ASX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASX stock have on its future price. ASX 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, ASX autocorrelation shows the relationship between ASX stock current value and its past values and can show if there is a momentum factor associated with investing in ASX.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for ASX Stock Analysis
When running ASX's price analysis, check to measure ASX'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 ASX is operating at the current time. Most of ASX's value examination focuses on studying past and present price action to predict the probability of ASX's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASX's price. Additionally, you may evaluate how the addition of ASX to your portfolios can decrease your overall portfolio volatility.