Custodian BCI (South Africa) Market Value
| 0P0000IR5V | 2.72 0.01 0.37% |
| Symbol | Custodian |
Custodian BCI '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 Custodian BCI's fund 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 Custodian BCI.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Custodian BCI on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Custodian BCI Balanced or generate 0.0% return on investment in Custodian BCI over 30 days.
Custodian BCI 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 Custodian BCI's fund 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 Custodian BCI Balanced upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6079 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 2.26 | |||
| Value At Risk | (0.74) | |||
| Potential Upside | 0.7491 |
Custodian BCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Custodian BCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Custodian BCI's standard deviation. In reality, there are many statistical measures that can use Custodian BCI historical prices to predict the future Custodian BCI's volatility.| Risk Adjusted Performance | 0.0841 | |||
| Jensen Alpha | 0.0219 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.2388 |
Custodian BCI Balanced Backtested Returns
Custodian BCI is not too volatile at the moment. Custodian BCI Balanced secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Custodian BCI Balanced, which you can use to evaluate the volatility of the entity. Please confirm Custodian BCI's Downside Deviation of 0.6079, mean deviation of 0.3325, and Risk Adjusted Performance of 0.0841 to double-check if the risk estimate we provide is consistent with the expected return of 0.0736%. The fund shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Custodian BCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Custodian BCI is expected to be smaller as well.
Auto-correlation | 0.79 |
Good predictability
Custodian BCI Balanced has good predictability. Overlapping area represents the amount of predictability between Custodian BCI time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Custodian BCI Balanced price movement. The serial correlation of 0.79 indicates that around 79.0% of current Custodian BCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Custodian BCI Balanced lagged returns against current returns
Autocorrelation, which is Custodian BCI fund'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 Custodian BCI's fund expected returns. We can calculate the autocorrelation of Custodian BCI returns to help us make a trade decision. For example, suppose you find that Custodian BCI has exhibited high autocorrelation historically, and you observe that the fund 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 |
Custodian BCI 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 Custodian BCI fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Custodian BCI fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Custodian BCI fund over time.
Current vs Lagged Prices |
| Timeline |
Custodian BCI Lagged Returns
When evaluating Custodian BCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Custodian BCI fund have on its future price. Custodian BCI 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, Custodian BCI autocorrelation shows the relationship between Custodian BCI fund current value and its past values and can show if there is a momentum factor associated with investing in Custodian BCI Balanced.
Regressed Prices |
| Timeline |
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