Commerzbank (Germany) Market Value
| CBK Stock | 15.25 0.32 2.06% |
| Symbol | Commerzbank |
Commerzbank '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 Commerzbank'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 Commerzbank.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in Commerzbank on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding Commerzbank AG or generate 0.0% return on investment in Commerzbank over 30 days. Commerzbank is related to or competes with BNP Paribas, DNB BANK, Deutsche Bank, Socit Gnrale, Commerzbank, and AIB Group. More
Commerzbank 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 Commerzbank'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 Commerzbank AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 11.95 | |||
| Value At Risk | (2.11) | |||
| Potential Upside | 2.52 |
Commerzbank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Commerzbank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Commerzbank's standard deviation. In reality, there are many statistical measures that can use Commerzbank historical prices to predict the future Commerzbank's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.09) | |||
| Treynor Ratio | 0.0611 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Commerzbank's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Commerzbank AG Backtested Returns
Currently, Commerzbank AG is not too volatile. Commerzbank AG secures Sharpe Ratio (or Efficiency) of 0.0367, which signifies that the company had a 0.0367% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Commerzbank AG, which you can use to evaluate the volatility of the firm. Please confirm Commerzbank's Mean Deviation of 1.2, risk adjusted performance of (0.01), and Standard Deviation of 1.76 to double-check if the risk estimate we provide is consistent with the expected return of 0.0591%. Commerzbank has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.6, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Commerzbank are expected to decrease at a much lower rate. During the bear market, Commerzbank is likely to outperform the market. Commerzbank AG right now shows a risk of 1.61%. Please confirm Commerzbank AG kurtosis, and the relationship between the maximum drawdown and day median price , to decide if Commerzbank AG will be following its price patterns.
Auto-correlation | -0.25 |
Weak reverse predictability
Commerzbank AG has weak reverse predictability. Overlapping area represents the amount of predictability between Commerzbank time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 2024 to 22nd 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 Commerzbank AG price movement. The serial correlation of -0.25 indicates that over 25.0% of current Commerzbank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.25 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Commerzbank AG lagged returns against current returns
Autocorrelation, which is Commerzbank 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 Commerzbank's stock expected returns. We can calculate the autocorrelation of Commerzbank returns to help us make a trade decision. For example, suppose you find that Commerzbank 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 |
Commerzbank 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 Commerzbank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Commerzbank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Commerzbank stock over time.
Current vs Lagged Prices |
| Timeline |
Commerzbank Lagged Returns
When evaluating Commerzbank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Commerzbank stock have on its future price. Commerzbank 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, Commerzbank autocorrelation shows the relationship between Commerzbank stock current value and its past values and can show if there is a momentum factor associated with investing in Commerzbank AG.
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 Commerzbank Stock Analysis
When running Commerzbank's price analysis, check to measure Commerzbank'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 Commerzbank is operating at the current time. Most of Commerzbank's value examination focuses on studying past and present price action to predict the probability of Commerzbank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Commerzbank's price. Additionally, you may evaluate how the addition of Commerzbank to your portfolios can decrease your overall portfolio volatility.