Japan Post (Germany) Market Value
| 5JP Stock | EUR 9.30 0.05 0.54% |
| Symbol | Japan |
Japan Post '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 Japan Post'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 Japan Post.
| 11/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in Japan Post on November 19, 2023 and sell it all today you would earn a total of 0.00 from holding Japan Post Bank or generate 0.0% return on investment in Japan Post over 390 days. Japan Post is related to or competes with China Merchants, HDFC Bank, ICICI Bank, PT Bank, DBS Group, State Bank, and PT Bank. JAPAN POST BANK Co., Ltd. provides various banking products and services to retail and corporate clients in Japan and in... More
Japan Post 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 Japan Post'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 Japan Post Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.38 | |||
| Information Ratio | 0.033 | |||
| Maximum Drawdown | 12.88 | |||
| Value At Risk | (3.59) | |||
| Potential Upside | 4.88 |
Japan Post Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Japan Post's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Japan Post's standard deviation. In reality, there are many statistical measures that can use Japan Post historical prices to predict the future Japan Post's volatility.| Risk Adjusted Performance | 0.0641 | |||
| Jensen Alpha | 0.1135 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | 0.0341 | |||
| Treynor Ratio | 0.2684 |
Japan Post Bank Backtested Returns
Japan Post appears to be somewhat reliable, given 3 months investment horizon. Japan Post Bank holds Efficiency (Sharpe) Ratio of 0.0918, which attests that the entity had a 0.0918% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Japan Post Bank, which you can use to evaluate the volatility of the firm. Please utilize Japan Post's Risk Adjusted Performance of 0.0641, market risk adjusted performance of 0.2784, and Downside Deviation of 2.38 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Japan Post holds a performance score of 7. The company retains a Market Volatility (i.e., Beta) of 0.68, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Japan Post's returns are expected to increase less than the market. However, during the bear market, the loss of holding Japan Post is expected to be smaller as well. Please check Japan Post's coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the information ratio and total risk alpha , to make a quick decision on whether Japan Post's current trending patterns will revert.
Auto-correlation | -0.55 |
Good reverse predictability
Japan Post Bank has good reverse predictability. Overlapping area represents the amount of predictability between Japan Post time series from 19th of November 2023 to 1st of June 2024 and 1st of June 2024 to 13th 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 Japan Post Bank price movement. The serial correlation of -0.55 indicates that about 55.0% of current Japan Post price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Japan Post Bank lagged returns against current returns
Autocorrelation, which is Japan Post 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 Japan Post's stock expected returns. We can calculate the autocorrelation of Japan Post returns to help us make a trade decision. For example, suppose you find that Japan Post 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 |
Japan Post 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 Japan Post stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Japan Post stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Japan Post stock over time.
Current vs Lagged Prices |
| Timeline |
Japan Post Lagged Returns
When evaluating Japan Post's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Japan Post stock have on its future price. Japan Post 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, Japan Post autocorrelation shows the relationship between Japan Post stock current value and its past values and can show if there is a momentum factor associated with investing in Japan Post Bank.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Japan Stock
Japan Post financial ratios help investors to determine whether Japan 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 Japan with respect to the benefits of owning Japan Post security.