ABN Amro (Netherlands) Market Value
| ABN Stock | EUR 15.91 0.02 0.13% |
| Symbol | ABN |
ABN Amro '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 ABN Amro'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 ABN Amro.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in ABN Amro on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding ABN Amro Group or generate 0.0% return on investment in ABN Amro over 720 days. ABN Amro is related to or competes with ING Groep, Aegon NV, NN Group, Koninklijke Ahold, and Koninklijke KPN. ABN AMRO Bank N.V. provides various banking products and services in the Netherlands and internationally More
ABN Amro 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 ABN Amro'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 ABN Amro Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.29 | |||
| Information Ratio | 0.126 | |||
| Maximum Drawdown | 8.64 | |||
| Value At Risk | (1.89) | |||
| Potential Upside | 2.45 |
ABN Amro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABN Amro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABN Amro's standard deviation. In reality, there are many statistical measures that can use ABN Amro historical prices to predict the future ABN Amro's volatility.| Risk Adjusted Performance | 0.1221 | |||
| Jensen Alpha | 0.2326 | |||
| Total Risk Alpha | 0.0797 | |||
| Sortino Ratio | 0.1423 | |||
| Treynor Ratio | 0.7206 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ABN Amro'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.
ABN Amro Group Backtested Returns
ABN Amro appears to be very steady, given 3 months investment horizon. ABN Amro Group secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for ABN Amro Group, which you can use to evaluate the volatility of the entity. Please makes use of ABN Amro's Coefficient Of Variation of 535.99, downside deviation of 1.29, and Mean Deviation of 1.02 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ABN Amro holds a performance score of 12. The firm shows a Beta (market volatility) of 0.36, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ABN Amro's returns are expected to increase less than the market. However, during the bear market, the loss of holding ABN Amro is expected to be smaller as well. Please check ABN Amro's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether ABN Amro's price patterns will revert.
Auto-correlation | 0.45 |
Average predictability
ABN Amro Group has average predictability. Overlapping area represents the amount of predictability between ABN Amro time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th of April 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 ABN Amro Group price movement. The serial correlation of 0.45 indicates that just about 45.0% of current ABN Amro price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.9 |
ABN Amro Group lagged returns against current returns
Autocorrelation, which is ABN Amro 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 ABN Amro's stock expected returns. We can calculate the autocorrelation of ABN Amro returns to help us make a trade decision. For example, suppose you find that ABN Amro 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 |
ABN Amro 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 ABN Amro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABN Amro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABN Amro stock over time.
Current vs Lagged Prices |
| Timeline |
ABN Amro Lagged Returns
When evaluating ABN Amro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABN Amro stock have on its future price. ABN Amro 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, ABN Amro autocorrelation shows the relationship between ABN Amro stock current value and its past values and can show if there is a momentum factor associated with investing in ABN Amro Group.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards ABN Amro in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, ABN Amro's short interest history, or implied volatility extrapolated from ABN Amro options trading.
Pair Trading with ABN Amro
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 ABN Amro 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 ABN Amro will appreciate offsetting losses from the drop in the long position's value.Moving together with ABN Stock
| 0.88 | INGA | ING Groep NV | PairCorr |
Moving against ABN Stock
| 0.68 | ALFEN | Alfen Beheer BV | PairCorr |
| 0.54 | OCI | OCI NV | PairCorr |
The ability to find closely correlated positions to ABN Amro could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ABN Amro 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 ABN Amro - 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 ABN Amro Group to buy it.
The correlation of ABN Amro 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 ABN Amro moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ABN Amro Group 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 ABN Amro 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.Check out ABN Amro Correlation, ABN Amro Volatility and ABN Amro Alpha and Beta module to complement your research on ABN Amro. You can also try the Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Complementary Tools for ABN Stock analysis
When running ABN Amro's price analysis, check to measure ABN Amro'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 ABN Amro is operating at the current time. Most of ABN Amro's value examination focuses on studying past and present price action to predict the probability of ABN Amro's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ABN Amro's price. Additionally, you may evaluate how the addition of ABN Amro to your portfolios can decrease your overall portfolio volatility.
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ABN Amro technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.