Westpac Banking (Australia) Market Value
| WBCPH Preferred Stock | 102.26 0.22 0.21% |
| Symbol | Westpac |
Westpac Banking '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 Westpac Banking's preferred 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 Westpac Banking.
| 04/30/2024 |
| 06/29/2024 |
If you would invest 0.00 in Westpac Banking on April 30, 2024 and sell it all today you would earn a total of 0.00 from holding Westpac Banking Corp or generate 0.0% return on investment in Westpac Banking over 60 days. Westpac Banking is related to or competes with Champion Iron, Perpetual Credit, Greentech Metals, Talisman Mining, and PM Capital. More
Westpac Banking 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 Westpac Banking's preferred 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 Westpac Banking Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2956 | |||
| Information Ratio | 0.0721 | |||
| Maximum Drawdown | 1.24 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.5692 |
Westpac Banking Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Westpac Banking's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Westpac Banking's standard deviation. In reality, there are many statistical measures that can use Westpac Banking historical prices to predict the future Westpac Banking's volatility.| Risk Adjusted Performance | 0.0269 | |||
| Jensen Alpha | 0.0077 | |||
| Total Risk Alpha | 0.0148 | |||
| Sortino Ratio | 0.0754 | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Westpac Banking'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.
Westpac Banking Corp Backtested Returns
At this point, Westpac Banking is very steady. Westpac Banking Corp shows Sharpe Ratio of 0.0602, which attests that the company had a 0.0602% return per unit of risk over the last 3 months. We have found thirty technical indicators for Westpac Banking Corp, which you can use to evaluate the volatility of the company. Please check out Westpac Banking's Market Risk Adjusted Performance of (0.29), mean deviation of 0.2479, and Downside Deviation of 0.2956 to validate if the risk estimate we provide is consistent with the expected return of 0.0189%. Westpac Banking has a performance score of 4 on a scale of 0 to 100. The firm maintains a market beta of -0.0266, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Westpac Banking are expected to decrease at a much lower rate. During the bear market, Westpac Banking is likely to outperform the market. Westpac Banking Corp right now maintains a risk of 0.31%. Please check out Westpac Banking Corp skewness, and the relationship between the potential upside and rate of daily change , to decide if Westpac Banking Corp will be following its historical returns.
Auto-correlation | -0.06 |
Very weak reverse predictability
Westpac Banking Corp has very weak reverse predictability. Overlapping area represents the amount of predictability between Westpac Banking time series from 30th of April 2024 to 30th of May 2024 and 30th of May 2024 to 29th of June 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 Westpac Banking Corp price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Westpac Banking price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Westpac Banking Corp lagged returns against current returns
Autocorrelation, which is Westpac Banking preferred 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 Westpac Banking's preferred stock expected returns. We can calculate the autocorrelation of Westpac Banking returns to help us make a trade decision. For example, suppose you find that Westpac Banking has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Westpac Banking 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 Westpac Banking preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Westpac Banking preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Westpac Banking preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Westpac Banking Lagged Returns
When evaluating Westpac Banking's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Westpac Banking preferred stock have on its future price. Westpac Banking 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, Westpac Banking autocorrelation shows the relationship between Westpac Banking preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Westpac Banking Corp.
Regressed Prices |
| Timeline |
Pair Trading with Westpac Banking
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 Westpac Banking 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 Westpac Banking will appreciate offsetting losses from the drop in the long position's value.Moving together with Westpac Preferred Stock
Moving against Westpac Preferred Stock
The ability to find closely correlated positions to Westpac Banking could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Westpac Banking 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 Westpac Banking - 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 Westpac Banking Corp to buy it.
The correlation of Westpac Banking 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 Westpac Banking moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Westpac Banking Corp 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 Westpac Banking 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 Westpac Preferred Stock
Westpac Banking financial ratios help investors to determine whether Westpac Preferred 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 Westpac with respect to the benefits of owning Westpac Banking security.