COMMERCIAL BANK (Sri Lanka) Market Value
| COMBX0000 | LKR 101.75 3.95 4.04% |
| Symbol | COMMERCIAL |
Please note, there is a significant difference between COMMERCIAL BANK's value and its price as these two are different measures arrived at by different means. Investors typically determine if COMMERCIAL BANK is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, COMMERCIAL BANK's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
COMMERCIAL 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 COMMERCIAL BANK'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 COMMERCIAL BANK.
| 06/16/2024 |
| 12/13/2024 |
If you would invest 0.00 in COMMERCIAL BANK on June 16, 2024 and sell it all today you would earn a total of 0.00 from holding COMMERCIAL BANK OF or generate 0.0% return on investment in COMMERCIAL BANK over 180 days. More
COMMERCIAL 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 COMMERCIAL BANK'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 COMMERCIAL BANK OF upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9714 | |||
| Information Ratio | 0.3112 | |||
| Maximum Drawdown | 6.93 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 3.64 |
COMMERCIAL BANK Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for COMMERCIAL BANK's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as COMMERCIAL BANK's standard deviation. In reality, there are many statistical measures that can use COMMERCIAL BANK historical prices to predict the future COMMERCIAL BANK's volatility.| Risk Adjusted Performance | 0.2782 | |||
| Jensen Alpha | 0.5823 | |||
| Total Risk Alpha | 0.3769 | |||
| Sortino Ratio | 0.4915 | |||
| Treynor Ratio | (3.47) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of COMMERCIAL 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.
COMMERCIAL BANK Backtested Returns
COMMERCIAL BANK appears to be very steady, given 3 months investment horizon. COMMERCIAL BANK secures Sharpe Ratio (or Efficiency) of 0.39, which signifies that the company had a 0.39% return per unit of risk over the last 3 months. By reviewing COMMERCIAL BANK's technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please makes use of COMMERCIAL BANK's risk adjusted performance of 0.2782, and Mean Deviation of 1.22 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, COMMERCIAL BANK holds a performance score of 30. The firm shows a Beta (market volatility) of -0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning COMMERCIAL BANK are expected to decrease at a much lower rate. During the bear market, COMMERCIAL BANK is likely to outperform the market. Please check COMMERCIAL BANK's downside variance, and the relationship between the sortino ratio and accumulation distribution , to make a quick decision on whether COMMERCIAL BANK's price patterns will revert.
Auto-correlation | -0.91 |
Near perfect reversele predictability
COMMERCIAL BANK OF has near perfect reversele predictability. Overlapping area represents the amount of predictability between COMMERCIAL BANK time series from 16th of June 2024 to 14th of September 2024 and 14th of September 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 COMMERCIAL BANK price movement. The serial correlation of -0.91 indicates that approximately 91.0% of current COMMERCIAL BANK price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.91 | |
| Spearman Rank Test | -0.91 | |
| Residual Average | 0.0 | |
| Price Variance | 57.92 |
COMMERCIAL BANK lagged returns against current returns
Autocorrelation, which is COMMERCIAL BANK 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 COMMERCIAL BANK's stock expected returns. We can calculate the autocorrelation of COMMERCIAL BANK returns to help us make a trade decision. For example, suppose you find that COMMERCIAL BANK 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 |
COMMERCIAL 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 COMMERCIAL BANK stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if COMMERCIAL BANK stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in COMMERCIAL BANK stock over time.
Current vs Lagged Prices |
| Timeline |
COMMERCIAL BANK Lagged Returns
When evaluating COMMERCIAL BANK's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of COMMERCIAL BANK stock have on its future price. COMMERCIAL 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, COMMERCIAL BANK autocorrelation shows the relationship between COMMERCIAL BANK stock current value and its past values and can show if there is a momentum factor associated with investing in COMMERCIAL BANK OF.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in COMMERCIAL Stock
COMMERCIAL BANK financial ratios help investors to determine whether COMMERCIAL 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 COMMERCIAL with respect to the benefits of owning COMMERCIAL BANK security.