Absa Multi (South Africa) Market Value
| 0P000182K2 | 2.61 0.01 0.38% |
| Symbol | Absa |
Absa Multi '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 Absa Multi'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 Absa Multi.
| 11/20/2023 |
| 12/14/2024 |
If you would invest 0.00 in Absa Multi on November 20, 2023 and sell it all today you would earn a total of 0.00 from holding Absa Multi Managed or generate 0.0% return on investment in Absa Multi over 390 days.
Absa Multi 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 Absa Multi'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 Absa Multi Managed upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4068 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 1.57 | |||
| Value At Risk | (0.39) | |||
| Potential Upside | 0.7722 |
Absa Multi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absa Multi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absa Multi's standard deviation. In reality, there are many statistical measures that can use Absa Multi historical prices to predict the future Absa Multi's volatility.| Risk Adjusted Performance | 0.1434 | |||
| Jensen Alpha | 0.0537 | |||
| Total Risk Alpha | 0.0201 | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | 0.6839 |
Absa Multi Managed Backtested Returns
At this point, Absa Multi is not too volatile. Absa Multi Managed secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the fund had a 0.2% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Absa Multi Managed, which you can use to evaluate the volatility of the entity. Please confirm Absa Multi's Risk Adjusted Performance of 0.1434, coefficient of variation of 467.78, and Mean Deviation of 0.2542 to double-check if the risk estimate we provide is consistent with the expected return of 0.0679%. The fund shows a Beta (market volatility) of 0.0905, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Absa Multi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Absa Multi is expected to be smaller as well.
Auto-correlation | 0.65 |
Good predictability
Absa Multi Managed has good predictability. Overlapping area represents the amount of predictability between Absa Multi time series from 20th of November 2023 to 2nd of June 2024 and 2nd of June 2024 to 14th 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 Absa Multi Managed price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Absa Multi price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Absa Multi Managed lagged returns against current returns
Autocorrelation, which is Absa Multi 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 Absa Multi's fund expected returns. We can calculate the autocorrelation of Absa Multi returns to help us make a trade decision. For example, suppose you find that Absa Multi 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 |
Absa Multi 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 Absa Multi fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absa Multi fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absa Multi fund over time.
Current vs Lagged Prices |
| Timeline |
Absa Multi Lagged Returns
When evaluating Absa Multi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absa Multi fund have on its future price. Absa Multi 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, Absa Multi autocorrelation shows the relationship between Absa Multi fund current value and its past values and can show if there is a momentum factor associated with investing in Absa Multi Managed.
Regressed Prices |
| Timeline |
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