Nedbank (South Africa) Market Value
| NED Stock | 28,289 159.00 0.56% |
| Symbol | Nedbank |
Nedbank '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 Nedbank'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 Nedbank.
| 06/29/2024 |
| 12/26/2024 |
If you would invest 0.00 in Nedbank on June 29, 2024 and sell it all today you would earn a total of 0.00 from holding Nedbank Group or generate 0.0% return on investment in Nedbank over 180 days. Nedbank is related to or competes with ABSA Bank, Capitec Bank, Standard Bank, Capitec Bank, Absa, Investec. More
Nedbank 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 Nedbank'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 Nedbank Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 8.18 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 1.85 |
Nedbank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nedbank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nedbank's standard deviation. In reality, there are many statistical measures that can use Nedbank historical prices to predict the future Nedbank's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.13) | |||
| Treynor Ratio | 3.02 |
Nedbank Group Backtested Returns
Nedbank Group has Sharpe Ratio of -0.0831, which conveys that the firm had a -0.0831% return per unit of risk over the last 3 months. Nedbank exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Nedbank's Mean Deviation of 0.9766, risk adjusted performance of (0.03), and Standard Deviation of 1.33 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.0227, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Nedbank are expected to decrease at a much lower rate. During the bear market, Nedbank is likely to outperform the market. At this point, Nedbank Group has a negative expected return of -0.11%. Please make sure to verify Nedbank's standard deviation, maximum drawdown, kurtosis, as well as the relationship between the total risk alpha and potential upside , to decide if Nedbank Group performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.47 |
Modest reverse predictability
Nedbank Group has modest reverse predictability. Overlapping area represents the amount of predictability between Nedbank time series from 29th of June 2024 to 27th of September 2024 and 27th of September 2024 to 26th 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 Nedbank Group price movement. The serial correlation of -0.47 indicates that about 47.0% of current Nedbank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 326.8 K |
Nedbank Group lagged returns against current returns
Autocorrelation, which is Nedbank 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 Nedbank's stock expected returns. We can calculate the autocorrelation of Nedbank returns to help us make a trade decision. For example, suppose you find that Nedbank 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 |
Nedbank 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 Nedbank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nedbank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nedbank stock over time.
Current vs Lagged Prices |
| Timeline |
Nedbank Lagged Returns
When evaluating Nedbank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nedbank stock have on its future price. Nedbank 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, Nedbank autocorrelation shows the relationship between Nedbank stock current value and its past values and can show if there is a momentum factor associated with investing in Nedbank Group.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Nedbank Stock
Nedbank financial ratios help investors to determine whether Nedbank 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 Nedbank with respect to the benefits of owning Nedbank security.