Faysal Bank (Pakistan) Market Value
| FABL Stock | 48.44 0.31 0.64% |
| Symbol | Faysal |
Faysal 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 Faysal 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 Faysal Bank.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Faysal Bank on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Faysal Bank or generate 0.0% return on investment in Faysal Bank over 30 days. Faysal Bank is related to or competes with Masood Textile, Fauji Foods, KSB Pumps, Mari Petroleum, Loads, Thatta Cement, and KOT Addu. More
Faysal 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 Faysal 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 Faysal Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.53 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 17.28 | |||
| Value At Risk | (2.49) | |||
| Potential Upside | 3.59 |
Faysal Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Faysal Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Faysal Bank's standard deviation. In reality, there are many statistical measures that can use Faysal Bank historical prices to predict the future Faysal Bank's volatility.| Risk Adjusted Performance | 0.0354 | |||
| Jensen Alpha | 0.0671 | |||
| Total Risk Alpha | (0.28) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.7044 |
Faysal Bank Backtested Returns
At this point, Faysal Bank is very steady. Faysal Bank secures Sharpe Ratio (or Efficiency) of 0.0523, which denotes the company had a 0.0523% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Faysal Bank, which you can use to evaluate the volatility of the firm. Please confirm Faysal Bank's Coefficient Of Variation of 2523.81, mean deviation of 1.5, and Downside Deviation of 2.53 to check if the risk estimate we provide is consistent with the expected return of 0.12%. Faysal Bank has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.11, which means not very significant fluctuations relative to the market. As returns on the market increase, Faysal Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Faysal Bank is expected to be smaller as well. Faysal Bank right now shows a risk of 2.31%. Please confirm Faysal Bank treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to decide if Faysal Bank will be following its price patterns.
Auto-correlation | 0.49 |
Average predictability
Faysal Bank has average predictability. Overlapping area represents the amount of predictability between Faysal Bank time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Faysal Bank price movement. The serial correlation of 0.49 indicates that about 49.0% of current Faysal Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 1.2 |
Faysal Bank lagged returns against current returns
Autocorrelation, which is Faysal 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 Faysal Bank's stock expected returns. We can calculate the autocorrelation of Faysal Bank returns to help us make a trade decision. For example, suppose you find that Faysal 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 |
Faysal 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 Faysal Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Faysal Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Faysal Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Faysal Bank Lagged Returns
When evaluating Faysal Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Faysal Bank stock have on its future price. Faysal 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, Faysal Bank autocorrelation shows the relationship between Faysal Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Faysal Bank.
Regressed Prices |
| Timeline |
Pair Trading with Faysal Bank
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Faysal Bank position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Faysal Bank will appreciate offsetting losses from the drop in the long position's value.Moving against Faysal Stock
The ability to find closely correlated positions to Faysal Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Faysal Bank when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Faysal Bank - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Faysal Bank to buy it.
The correlation of Faysal Bank is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Faysal Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Faysal Bank moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Faysal Bank can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Faysal Stock
Faysal Bank financial ratios help investors to determine whether Faysal 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 Faysal with respect to the benefits of owning Faysal Bank security.