Versabank Stock Market Value
| VBNK Stock | 24.98 0.33 1.30% |
| Symbol | VersaBank |
VersaBank Price To Book Ratio
VersaBank '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 VersaBank'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 VersaBank.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in VersaBank on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding VersaBank or generate 0.0% return on investment in VersaBank over 30 days. VersaBank is related to or competes with Sylogist, Sangoma Technologies, Firan Technology, Hammond Power, and Propel Holdings. VersaBank is entity of Canada. It is traded as Stock on TO exchange. More
VersaBank 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 VersaBank'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 VersaBank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.58 | |||
| Information Ratio | 0.2154 | |||
| Maximum Drawdown | 9.58 | |||
| Value At Risk | (2.42) | |||
| Potential Upside | 4.28 |
VersaBank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VersaBank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VersaBank's standard deviation. In reality, there are many statistical measures that can use VersaBank historical prices to predict the future VersaBank's volatility.| Risk Adjusted Performance | 0.2243 | |||
| Jensen Alpha | 0.518 | |||
| Total Risk Alpha | 0.223 | |||
| Sortino Ratio | 0.2678 | |||
| Treynor Ratio | 2.11 |
VersaBank Backtested Returns
VersaBank appears to be very steady, given 3 months investment horizon. VersaBank owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.26, which indicates the firm had a 0.26% return per unit of risk over the last 3 months. By inspecting VersaBank's technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please review VersaBank's Coefficient Of Variation of 350.36, semi deviation of 1.14, and Risk Adjusted Performance of 0.2243 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, VersaBank holds a performance score of 20. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, VersaBank's returns are expected to increase less than the market. However, during the bear market, the loss of holding VersaBank is expected to be smaller as well. Please check VersaBank's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether VersaBank's existing price patterns will revert.
Auto-correlation | 0.77 |
Good predictability
VersaBank has good predictability. Overlapping area represents the amount of predictability between VersaBank 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 VersaBank price movement. The serial correlation of 0.77 indicates that around 77.0% of current VersaBank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.33 |
VersaBank lagged returns against current returns
Autocorrelation, which is VersaBank 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 VersaBank's stock expected returns. We can calculate the autocorrelation of VersaBank returns to help us make a trade decision. For example, suppose you find that VersaBank 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 |
VersaBank 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 VersaBank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VersaBank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VersaBank stock over time.
Current vs Lagged Prices |
| Timeline |
VersaBank Lagged Returns
When evaluating VersaBank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VersaBank stock have on its future price. VersaBank 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, VersaBank autocorrelation shows the relationship between VersaBank stock current value and its past values and can show if there is a momentum factor associated with investing in VersaBank.
Regressed Prices |
| Timeline |
Pair Trading with VersaBank
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 VersaBank 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 VersaBank will appreciate offsetting losses from the drop in the long position's value.Moving together with VersaBank Stock
The ability to find closely correlated positions to VersaBank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace VersaBank 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 VersaBank - 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 VersaBank to buy it.
The correlation of VersaBank 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 VersaBank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if VersaBank 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 VersaBank 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.Check out VersaBank Correlation, VersaBank Volatility and VersaBank Alpha and Beta module to complement your research on VersaBank. To learn how to invest in VersaBank Stock, please use our How to Invest in VersaBank guide.You can also try the Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
VersaBank technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.