Laurentian Bank Stock Market Value
| LB Stock | CAD 28.83 0.18 0.63% |
| Symbol | Laurentian |
Laurentian Bank Price To Book Ratio
Laurentian 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 Laurentian 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 Laurentian Bank.
| 11/21/2024 |
| 12/21/2024 |
If you would invest 0.00 in Laurentian Bank on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding Laurentian Bank or generate 0.0% return on investment in Laurentian Bank over 30 days. Laurentian Bank is related to or competes with Canadian Western, National Bank, Canadian Imperial, Great West, and Power. Laurentian Bank of Canada, together with its subsidiaries, provides various banking services to individuals, small and m... More
Laurentian 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 Laurentian 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 Laurentian Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.09 | |||
| Information Ratio | 0.0429 | |||
| Maximum Drawdown | 7.8 | |||
| Value At Risk | (2.26) | |||
| Potential Upside | 1.67 |
Laurentian Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Laurentian Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Laurentian Bank's standard deviation. In reality, there are many statistical measures that can use Laurentian Bank historical prices to predict the future Laurentian Bank's volatility.| Risk Adjusted Performance | 0.0578 | |||
| Jensen Alpha | 0.071 | |||
| Total Risk Alpha | 0.0411 | |||
| Sortino Ratio | 0.0499 | |||
| Treynor Ratio | 0.3008 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Laurentian Bank'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.
Laurentian Bank Backtested Returns
As of now, Laurentian Stock is very steady. Laurentian Bank has Sharpe Ratio of 0.11, which conveys that the firm had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Laurentian Bank, which you can use to evaluate the volatility of the firm. Please verify Laurentian Bank's Mean Deviation of 0.8484, downside deviation of 1.09, and Risk Adjusted Performance of 0.0578 to check out if the risk estimate we provide is consistent with the expected return of 0.13%. Laurentian Bank has a performance score of 8 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.25, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Laurentian Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Laurentian Bank is expected to be smaller as well. Laurentian Bank right now secures a risk of 1.24%. Please verify Laurentian Bank potential upside, as well as the relationship between the kurtosis and day typical price , to decide if Laurentian Bank will be following its current price movements.
Auto-correlation | -0.21 |
Weak reverse predictability
Laurentian Bank has weak reverse predictability. Overlapping area represents the amount of predictability between Laurentian Bank time series from 21st of November 2024 to 6th of December 2024 and 6th of December 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 Laurentian Bank price movement. The serial correlation of -0.21 indicates that over 21.0% of current Laurentian Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.49 |
Laurentian Bank lagged returns against current returns
Autocorrelation, which is Laurentian 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 Laurentian Bank's stock expected returns. We can calculate the autocorrelation of Laurentian Bank returns to help us make a trade decision. For example, suppose you find that Laurentian 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 |
Laurentian 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 Laurentian Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Laurentian Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Laurentian Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Laurentian Bank Lagged Returns
When evaluating Laurentian Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Laurentian Bank stock have on its future price. Laurentian 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, Laurentian Bank autocorrelation shows the relationship between Laurentian Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Laurentian Bank.
Regressed Prices |
| Timeline |
Pair Trading with Laurentian 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 Laurentian 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 Laurentian Bank will appreciate offsetting losses from the drop in the long position's value.Moving together with Laurentian Stock
Moving against Laurentian Stock
| 0.73 | WM | Wallbridge Mining | PairCorr |
| 0.6 | NRR-UN | Northview Residential | PairCorr |
| 0.47 | TIL | Till Capital | PairCorr |
| 0.43 | QTWO | Q2 Metals Corp | PairCorr |
| 0.34 | WCM-A | Wilmington Capital | PairCorr |
The ability to find closely correlated positions to Laurentian 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 Laurentian 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 Laurentian 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 Laurentian Bank to buy it.
The correlation of Laurentian 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 Laurentian Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Laurentian 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 Laurentian 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 Laurentian Stock
Laurentian Bank financial ratios help investors to determine whether Laurentian 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 Laurentian with respect to the benefits of owning Laurentian Bank security.