ZENITH BANK (Nigeria) Market Value
| ZENITHBANK | 44.10 0.10 0.23% |
| Symbol | ZENITH |
ZENITH 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 ZENITH 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 ZENITH BANK.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in ZENITH BANK on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding ZENITH BANK PLC or generate 0.0% return on investment in ZENITH BANK over 30 days.
ZENITH 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 ZENITH 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 ZENITH BANK PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.34 | |||
| Information Ratio | 0.1041 | |||
| Maximum Drawdown | 8.49 | |||
| Value At Risk | (2.26) | |||
| Potential Upside | 2.7 |
ZENITH BANK Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ZENITH BANK's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ZENITH BANK's standard deviation. In reality, there are many statistical measures that can use ZENITH BANK historical prices to predict the future ZENITH BANK's volatility.| Risk Adjusted Performance | 0.1417 | |||
| Jensen Alpha | 0.3121 | |||
| Total Risk Alpha | 0.0348 | |||
| Sortino Ratio | 0.1135 | |||
| Treynor Ratio | (0.67) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ZENITH BANK's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
ZENITH BANK PLC Backtested Returns
ZENITH BANK appears to be very steady, given 3 months investment horizon. ZENITH BANK PLC shows Sharpe Ratio of 0.17, which attests that the company had a 0.17% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for ZENITH BANK PLC, which you can use to evaluate the volatility of the company. Please utilize ZENITH BANK's Mean Deviation of 0.9591, downside deviation of 1.34, and Risk Adjusted Performance of 0.1417 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ZENITH BANK holds a performance score of 13. The firm maintains a market beta of -0.4, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning ZENITH BANK are expected to decrease at a much lower rate. During the bear market, ZENITH BANK is likely to outperform the market. Please check ZENITH BANK's potential upside, as well as the relationship between the kurtosis and day typical price , to make a quick decision on whether ZENITH BANK's historical returns will revert.
Auto-correlation | 0.22 |
Weak predictability
ZENITH BANK PLC has weak predictability. Overlapping area represents the amount of predictability between ZENITH BANK time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 ZENITH BANK PLC price movement. The serial correlation of 0.22 indicates that over 22.0% of current ZENITH BANK price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
ZENITH BANK PLC lagged returns against current returns
Autocorrelation, which is ZENITH 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 ZENITH BANK's stock expected returns. We can calculate the autocorrelation of ZENITH BANK returns to help us make a trade decision. For example, suppose you find that ZENITH 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 |
ZENITH 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 ZENITH BANK stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ZENITH BANK stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ZENITH BANK stock over time.
Current vs Lagged Prices |
| Timeline |
ZENITH BANK Lagged Returns
When evaluating ZENITH BANK's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ZENITH BANK stock have on its future price. ZENITH 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, ZENITH BANK autocorrelation shows the relationship between ZENITH BANK stock current value and its past values and can show if there is a momentum factor associated with investing in ZENITH BANK PLC.
Regressed Prices |
| Timeline |