Commonwealth Bank (Australia) Market Value
| CBA Stock | 158.58 1.01 0.64% |
| Symbol | Commonwealth |
Commonwealth 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 Commonwealth 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 Commonwealth Bank.
| 12/10/2022 |
| 11/29/2024 |
If you would invest 0.00 in Commonwealth Bank on December 10, 2022 and sell it all today you would earn a total of 0.00 from holding Commonwealth Bank or generate 0.0% return on investment in Commonwealth Bank over 720 days. Commonwealth Bank is related to or competes with Oneview Healthcare, Mayfield Childcare, Event Hospitality, Sonic Healthcare, Oceania Healthcare, and Regis Healthcare. Commonwealth Bank is entity of Australia More
Commonwealth 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 Commonwealth 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 Commonwealth Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.59 | |||
| Information Ratio | 0.0676 | |||
| Maximum Drawdown | 5.7 | |||
| Value At Risk | (2.30) | |||
| Potential Upside | 1.79 |
Commonwealth Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Commonwealth Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Commonwealth Bank's standard deviation. In reality, there are many statistical measures that can use Commonwealth Bank historical prices to predict the future Commonwealth Bank's volatility.| Risk Adjusted Performance | 0.1326 | |||
| Jensen Alpha | 0.1426 | |||
| Total Risk Alpha | 0.0118 | |||
| Sortino Ratio | 0.0532 | |||
| Treynor Ratio | 0.4032 |
Commonwealth Bank Backtested Returns
Currently, Commonwealth Bank is very steady. Commonwealth Bank secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Commonwealth Bank, which you can use to evaluate the volatility of the firm. Please confirm Commonwealth Bank's Downside Deviation of 1.59, mean deviation of 0.9557, and Risk Adjusted Performance of 0.1326 to double-check if the risk estimate we provide is consistent with the expected return of 0.18%. Commonwealth Bank has a performance score of 11 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.5, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Commonwealth Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Commonwealth Bank is expected to be smaller as well. Commonwealth Bank right now shows a risk of 1.25%. Please confirm Commonwealth Bank jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Commonwealth Bank will be following its price patterns.
Auto-correlation | 0.33 |
Below average predictability
Commonwealth Bank has below average predictability. Overlapping area represents the amount of predictability between Commonwealth Bank time series from 10th of December 2022 to 5th of December 2023 and 5th of December 2023 to 29th of November 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 Commonwealth Bank price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Commonwealth Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 195.51 |
Commonwealth Bank lagged returns against current returns
Autocorrelation, which is Commonwealth 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 Commonwealth Bank's stock expected returns. We can calculate the autocorrelation of Commonwealth Bank returns to help us make a trade decision. For example, suppose you find that Commonwealth 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 |
Commonwealth 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 Commonwealth Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Commonwealth Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Commonwealth Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Commonwealth Bank Lagged Returns
When evaluating Commonwealth Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Commonwealth Bank stock have on its future price. Commonwealth 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, Commonwealth Bank autocorrelation shows the relationship between Commonwealth Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Commonwealth Bank.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Commonwealth Stock Analysis
When running Commonwealth Bank's price analysis, check to measure Commonwealth 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 Commonwealth Bank is operating at the current time. Most of Commonwealth Bank's value examination focuses on studying past and present price action to predict the probability of Commonwealth 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 Commonwealth Bank's price. Additionally, you may evaluate how the addition of Commonwealth Bank to your portfolios can decrease your overall portfolio volatility.