Westpac Banking (Australia) Market Value
| WBCPM Stock | 106.91 0.29 0.27% |
| Symbol | Westpac |
Westpac Banking '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 Westpac Banking'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 Westpac Banking.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Westpac Banking on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Westpac Banking or generate 0.0% return on investment in Westpac Banking over 540 days. Westpac Banking is related to or competes with Sandon Capital, Platinum Asia, MFF Capital, Auctus Alternative, BKI Investment, Garda Diversified, and Clime Investment. Westpac Banking is entity of Australia. It is traded as Stock on AU exchange. More
Westpac Banking 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 Westpac Banking'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 Westpac Banking upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5077 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 3.22 | |||
| Value At Risk | (0.75) | |||
| Potential Upside | 0.7973 |
Westpac Banking Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Westpac Banking's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Westpac Banking's standard deviation. In reality, there are many statistical measures that can use Westpac Banking historical prices to predict the future Westpac Banking's volatility.| Risk Adjusted Performance | 0.0643 | |||
| Jensen Alpha | 0.0447 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.16) | |||
| Treynor Ratio | (0.36) |
Westpac Banking Backtested Returns
At this point, Westpac Banking is very steady. Westpac Banking shows Sharpe Ratio of 0.0809, which attests that the company had a 0.0809% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Westpac Banking, which you can use to evaluate the volatility of the company. Please check out Westpac Banking's Mean Deviation of 0.3242, downside deviation of 0.5077, and Market Risk Adjusted Performance of (0.35) to validate if the risk estimate we provide is consistent with the expected return of 0.0384%. Westpac Banking has a performance score of 6 on a scale of 0 to 100. The firm maintains a market beta of -0.0948, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Westpac Banking are expected to decrease at a much lower rate. During the bear market, Westpac Banking is likely to outperform the market. Westpac Banking right now maintains a risk of 0.47%. Please check out Westpac Banking downside variance, as well as the relationship between the accumulation distribution and market facilitation index , to decide if Westpac Banking will be following its historical returns.
Auto-correlation | 0.69 |
Good predictability
Westpac Banking has good predictability. Overlapping area represents the amount of predictability between Westpac Banking time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 Westpac Banking price movement. The serial correlation of 0.69 indicates that around 69.0% of current Westpac Banking price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.74 |
Westpac Banking lagged returns against current returns
Autocorrelation, which is Westpac Banking 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 Westpac Banking's stock expected returns. We can calculate the autocorrelation of Westpac Banking returns to help us make a trade decision. For example, suppose you find that Westpac Banking 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 |
Westpac Banking 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 Westpac Banking stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Westpac Banking stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Westpac Banking stock over time.
Current vs Lagged Prices |
| Timeline |
Westpac Banking Lagged Returns
When evaluating Westpac Banking's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Westpac Banking stock have on its future price. Westpac Banking 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, Westpac Banking autocorrelation shows the relationship between Westpac Banking stock current value and its past values and can show if there is a momentum factor associated with investing in Westpac Banking.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Westpac Stock
Westpac Banking financial ratios help investors to determine whether Westpac 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 Westpac with respect to the benefits of owning Westpac Banking security.