Standard Bank (South Africa) Market Value
| SBPP Stock | 9,266 196.00 2.16% |
| Symbol | Standard |
Standard 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 Standard 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 Standard Bank.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Standard Bank on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Standard Bank Group or generate 0.0% return on investment in Standard Bank over 30 days. Standard Bank is related to or competes with Investec Limited, Sabvest Capital, and Growthpoint Properties. More
Standard 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 Standard 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 Standard Bank Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 8.37 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.78 |
Standard Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Standard Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Standard Bank's standard deviation. In reality, there are many statistical measures that can use Standard Bank historical prices to predict the future Standard Bank's volatility.| Risk Adjusted Performance | 0.0934 | |||
| Jensen Alpha | 0.1632 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | (0.43) |
Standard Bank Group Backtested Returns
Currently, Standard Bank Group is very steady. Standard Bank Group owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0884, which indicates the firm had a 0.0884% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Standard Bank Group, which you can use to evaluate the volatility of the company. Please validate Standard Bank's Semi Deviation of 0.98, risk adjusted performance of 0.0934, and Coefficient Of Variation of 849.51 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. Standard Bank has a performance score of 6 on a scale of 0 to 100. The entity has a beta of -0.29, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Standard Bank are expected to decrease at a much lower rate. During the bear market, Standard Bank is likely to outperform the market. Standard Bank Group right now has a risk of 1.15%. Please validate Standard Bank coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Standard Bank will be following its existing price patterns.
Auto-correlation | -0.54 |
Good reverse predictability
Standard Bank Group has good reverse predictability. Overlapping area represents the amount of predictability between Standard Bank 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 Standard Bank Group price movement. The serial correlation of -0.54 indicates that about 54.0% of current Standard Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 28.2 K |
Standard Bank Group lagged returns against current returns
Autocorrelation, which is Standard 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 Standard Bank's stock expected returns. We can calculate the autocorrelation of Standard Bank returns to help us make a trade decision. For example, suppose you find that Standard 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 |
Standard 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 Standard Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Standard Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Standard Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Standard Bank Lagged Returns
When evaluating Standard Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Standard Bank stock have on its future price. Standard 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, Standard Bank autocorrelation shows the relationship between Standard Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Standard Bank Group.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Standard Stock Analysis
When running Standard Bank's price analysis, check to measure Standard Bank'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 Standard Bank is operating at the current time. Most of Standard Bank's value examination focuses on studying past and present price action to predict the probability of Standard Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Standard Bank's price. Additionally, you may evaluate how the addition of Standard Bank to your portfolios can decrease your overall portfolio volatility.