Commonwealth Bank Stock Market Value
CBAUF Stock | USD 77.89 1.24 1.62% |
Symbol | Commonwealth |
Commonwealth 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 Commonwealth Bank's pink sheet 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 Commonwealth Bank.
02/27/2024 |
| 03/28/2024 |
If you would invest 0.00 in Commonwealth Bank on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Commonwealth Bank or generate 0.0% return on investment in Commonwealth Bank over 30 days. Commonwealth Bank is related to or competes with JPMorgan Chase, Bank of America, Bank Of America, Bank Of America, Wells Fargo, Wells Fargo, and Palantir TechnologiesInc. Commonwealth Bank of Australia provides integrated financial services in Australia, New Zealand, and internationally More
Commonwealth 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 Commonwealth Bank's pink sheet 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 Commonwealth Bank upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.02) | |||
Maximum Drawdown | 11.26 | |||
Value At Risk | (1.10) | |||
Potential Upside | 2.36 |
Commonwealth Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Commonwealth Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Commonwealth Bank's standard deviation. In reality, there are many statistical measures that can use Commonwealth Bank historical prices to predict the future Commonwealth Bank's volatility.Risk Adjusted Performance | 0.0486 | |||
Jensen Alpha | 0.0799 | |||
Total Risk Alpha | (0.22) | |||
Treynor Ratio | 0.6686 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Commonwealth 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.
Commonwealth Bank Backtested Returns
We consider Commonwealth Bank very steady. Commonwealth Bank secures Sharpe Ratio (or Efficiency) of 0.0647, which signifies that the company had a 0.0647% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Commonwealth Bank, which you can use to evaluate the volatility of the firm. Please confirm Commonwealth Bank's Risk Adjusted Performance of 0.0486, mean deviation of 0.5634, and Standard Deviation of 1.41 to double-check if the risk estimate we provide is consistent with the expected return of 0.0945%. Commonwealth Bank has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Commonwealth Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Commonwealth Bank is expected to be smaller as well. Commonwealth Bank right now shows a risk of 1.46%. Please confirm Commonwealth Bank treynor ratio, as well as the relationship between the kurtosis and day typical price , to decide if Commonwealth Bank will be following its price patterns.
Auto-correlation | 0.00 |
No correlation between past and present
Commonwealth Bank has no correlation between past and present. Overlapping area represents the amount of predictability between Commonwealth Bank time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 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 Commonwealth Bank price movement. The serial correlation of 0.0 indicates that just 0.0% of current Commonwealth Bank price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.0 | |
Spearman Rank Test | 1.0 | |
Residual Average | 0.0 | |
Price Variance | 0.38 |
Commonwealth Bank lagged returns against current returns
Autocorrelation, which is Commonwealth Bank pink sheet'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 Commonwealth Bank's pink sheet expected returns. We can calculate the autocorrelation of Commonwealth Bank returns to help us make a trade decision. For example, suppose you find that Commonwealth Bank has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Commonwealth 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 Commonwealth Bank pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Commonwealth Bank pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Commonwealth Bank pink sheet over time.
Current vs Lagged Prices |
Timeline |
Commonwealth Bank Lagged Returns
When evaluating Commonwealth Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Commonwealth Bank pink sheet have on its future price. Commonwealth 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, Commonwealth Bank autocorrelation shows the relationship between Commonwealth Bank pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Commonwealth Bank.
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 Commonwealth Bank 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, Commonwealth Bank's short interest history, or implied volatility extrapolated from Commonwealth Bank options trading.
Pair Trading with Commonwealth 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 Commonwealth 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 Commonwealth Bank will appreciate offsetting losses from the drop in the long position's value.Moving against Commonwealth Pink Sheet
0.69 | TLK | Telkom Indonesia Tbk Financial Report 26th of April 2024 | PairCorr |
The ability to find closely correlated positions to Commonwealth 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 Commonwealth 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 Commonwealth 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 Commonwealth Bank to buy it.
The correlation of Commonwealth 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 Commonwealth Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Commonwealth 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 Commonwealth 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.Check out Commonwealth Bank Correlation, Commonwealth Bank Volatility and Commonwealth Bank Alpha and Beta module to complement your research on Commonwealth Bank. You can also try the Money Managers module to screen money managers from public funds and ETFs managed around the world.
Complementary Tools for Commonwealth Pink Sheet analysis
When running Commonwealth Bank's price analysis, check to measure Commonwealth Bank'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 Commonwealth Bank is operating at the current time. Most of Commonwealth Bank's value examination focuses on studying past and present price action to predict the probability of Commonwealth Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Commonwealth Bank's price. Additionally, you may evaluate how the addition of Commonwealth Bank to your portfolios can decrease your overall portfolio volatility.
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Commonwealth Bank technical pink sheet 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, pink sheet market cycles, or different charting patterns.