JSC Halyk (Germany) Market Value
| H4L1 Stock | EUR 17.40 0.60 3.33% |
| Symbol | JSC |
JSC Halyk '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 JSC Halyk'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 JSC Halyk.
| 09/01/2024 |
| 11/30/2024 |
If you would invest 0.00 in JSC Halyk on September 1, 2024 and sell it all today you would earn a total of 0.00 from holding JSC Halyk bank or generate 0.0% return on investment in JSC Halyk over 90 days. JSC Halyk is related to or competes with Automatic Data, Cass Information, TELES Informationstech, Hyrican Informationssyst, Shin-Etsu Chemical, and DATANG INTL. Joint Stock Company Halyk Savings Bank of Kazakhstan, together with its subsidiaries, provides corporate and retail bank... More
JSC Halyk 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 JSC Halyk'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 JSC Halyk bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.0 | |||
| Information Ratio | 0.0395 | |||
| Maximum Drawdown | 15.64 | |||
| Value At Risk | (5.88) | |||
| Potential Upside | 7.14 |
JSC Halyk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JSC Halyk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JSC Halyk's standard deviation. In reality, there are many statistical measures that can use JSC Halyk historical prices to predict the future JSC Halyk's volatility.| Risk Adjusted Performance | 0.0654 | |||
| Jensen Alpha | 0.1999 | |||
| Total Risk Alpha | (0.37) | |||
| Sortino Ratio | 0.0383 | |||
| Treynor Ratio | 0.4435 |
JSC Halyk bank Backtested Returns
JSC Halyk appears to be somewhat reliable, given 3 months investment horizon. JSC Halyk bank retains Efficiency (Sharpe Ratio) of 0.0589, which attests that the entity had a 0.0589% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for JSC Halyk, which you can use to evaluate the volatility of the firm. Please utilize JSC Halyk's Semi Deviation of 3.45, market risk adjusted performance of 0.4535, and Downside Deviation of 4.0 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, JSC Halyk holds a performance score of 4. The company owns a Beta (Systematic Risk) of 0.63, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, JSC Halyk's returns are expected to increase less than the market. However, during the bear market, the loss of holding JSC Halyk is expected to be smaller as well. Please check JSC Halyk's downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to make a quick decision on whether JSC Halyk's current price history will revert.
Auto-correlation | 0.33 |
Below average predictability
JSC Halyk bank has below average predictability. Overlapping area represents the amount of predictability between JSC Halyk time series from 1st of September 2024 to 16th of October 2024 and 16th of October 2024 to 30th of November 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 JSC Halyk bank price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current JSC Halyk price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.88 |
JSC Halyk bank lagged returns against current returns
Autocorrelation, which is JSC Halyk 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 JSC Halyk's stock expected returns. We can calculate the autocorrelation of JSC Halyk returns to help us make a trade decision. For example, suppose you find that JSC Halyk 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 |
JSC Halyk 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 JSC Halyk stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JSC Halyk stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JSC Halyk stock over time.
Current vs Lagged Prices |
| Timeline |
JSC Halyk Lagged Returns
When evaluating JSC Halyk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JSC Halyk stock have on its future price. JSC Halyk 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, JSC Halyk autocorrelation shows the relationship between JSC Halyk stock current value and its past values and can show if there is a momentum factor associated with investing in JSC Halyk bank.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in JSC Stock
JSC Halyk financial ratios help investors to determine whether JSC 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 JSC with respect to the benefits of owning JSC Halyk security.