Erste Group (Czech Republic) Market Value
| ERBAG Stock | CZK 1,294 6.50 0.50% |
| Symbol | Erste |
Erste Group '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 Erste Group'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 Erste Group.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Erste Group on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Erste Group Bank or generate 0.0% return on investment in Erste Group over 30 days. Erste Group is related to or competes with Vienna Insurance, and UNIQA Insurance. Erste Group Bank AG provides a range of banking and other financial services to retail, corporate, real estate, and publ... More
Erste Group 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 Erste Group'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 Erste Group Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9725 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 5.75 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.61 |
Erste Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Erste Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Erste Group's standard deviation. In reality, there are many statistical measures that can use Erste Group historical prices to predict the future Erste Group's volatility.| Risk Adjusted Performance | 0.0742 | |||
| Jensen Alpha | 0.1117 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.40) |
Erste Group Bank Backtested Returns
Currently, Erste Group Bank is very steady. Erste Group Bank secures Sharpe Ratio (or Efficiency) of 0.0939, which denotes the company had a 0.0939% return per unit of risk over the last 3 months. We have found thirty technical indicators for Erste Group Bank, which you can use to evaluate the volatility of the firm. Please confirm Erste Group's Downside Deviation of 0.9725, coefficient of variation of 1064.67, and Mean Deviation of 0.7444 to check if the risk estimate we provide is consistent with the expected return of 0.0945%. Erste Group has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.21, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Erste Group are expected to decrease at a much lower rate. During the bear market, Erste Group is likely to outperform the market. Erste Group Bank right now shows a risk of 1.01%. Please confirm Erste Group Bank expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to decide if Erste Group Bank will be following its price patterns.
Auto-correlation | -0.26 |
Weak reverse predictability
Erste Group Bank has weak reverse predictability. Overlapping area represents the amount of predictability between Erste Group time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Erste Group Bank price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Erste Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 189.82 |
Erste Group Bank lagged returns against current returns
Autocorrelation, which is Erste Group 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 Erste Group's stock expected returns. We can calculate the autocorrelation of Erste Group returns to help us make a trade decision. For example, suppose you find that Erste Group 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 |
Erste Group 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 Erste Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Erste Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Erste Group stock over time.
Current vs Lagged Prices |
| Timeline |
Erste Group Lagged Returns
When evaluating Erste Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Erste Group stock have on its future price. Erste Group 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, Erste Group autocorrelation shows the relationship between Erste Group stock current value and its past values and can show if there is a momentum factor associated with investing in Erste Group Bank.
Regressed Prices |
| Timeline |
Pair Trading with Erste Group
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 Erste Group 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 Erste Group will appreciate offsetting losses from the drop in the long position's value.Moving together with Erste Stock
Moving against Erste Stock
| 0.9 | COLOS | Coloseum Holding | PairCorr |
| 0.64 | KLIKY | MT 1997 AS | PairCorr |
| 0.63 | FIXED | FIXEDzone as | PairCorr |
| 0.33 | BEZVA | Bezvavlasy as | PairCorr |
The ability to find closely correlated positions to Erste Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Erste Group 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 Erste Group - 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 Erste Group Bank to buy it.
The correlation of Erste Group 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 Erste Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Erste Group Bank 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 Erste Group 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.Additional Tools for Erste Stock Analysis
When running Erste Group's price analysis, check to measure Erste Group's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Erste Group is operating at the current time. Most of Erste Group's value examination focuses on studying past and present price action to predict the probability of Erste Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Erste Group's price. Additionally, you may evaluate how the addition of Erste Group to your portfolios can decrease your overall portfolio volatility.