Banco Do (Brazil) Market Value
| BBAS3 Stock | BRL 27.60 0.21 0.77% |
| Symbol | Banco |
Banco Do '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 Banco Do'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 Banco Do.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Banco Do on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Banco do Brasil or generate 0.0% return on investment in Banco Do over 30 days. Banco Do is related to or competes with Banco Bradesco, Petrleo Brasileiro, Ita Unibanco, Itasa Investimentos, and Vale SA. Banco do Brasil S.A., together with its subsidiaries, provides banking products and services for individuals, companies,... More
Banco Do 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 Banco Do'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 Banco do Brasil upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.08 | |||
| Information Ratio | 0.0053 | |||
| Maximum Drawdown | 7.03 | |||
| Value At Risk | (1.51) | |||
| Potential Upside | 2.15 |
Banco Do Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Banco Do's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Banco Do's standard deviation. In reality, there are many statistical measures that can use Banco Do historical prices to predict the future Banco Do's volatility.| Risk Adjusted Performance | 0.0528 | |||
| Jensen Alpha | 0.0856 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.006 | |||
| Treynor Ratio | 85.72 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Banco Do'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.
Banco do Brasil Backtested Returns
We consider Banco Do very steady. Banco do Brasil secures Sharpe Ratio (or Efficiency) of 0.0791, which signifies that the company had a 0.0791% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Banco do Brasil, which you can use to evaluate the volatility of the firm. Please confirm Banco Do's Mean Deviation of 0.9378, risk adjusted performance of 0.0528, and Downside Deviation of 1.08 to double-check if the risk estimate we provide is consistent with the expected return of 0.0986%. Banco Do has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.001, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Banco Do's returns are expected to increase less than the market. However, during the bear market, the loss of holding Banco Do is expected to be smaller as well. Banco do Brasil right now shows a risk of 1.25%. Please confirm Banco do Brasil total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Banco do Brasil will be following its price patterns.
Auto-correlation | -0.8 |
Almost perfect reverse predictability
Banco do Brasil has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Banco Do time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 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 Banco do Brasil price movement. The serial correlation of -0.8 indicates that around 80.0% of current Banco Do price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.8 | |
| Spearman Rank Test | -0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
Banco do Brasil lagged returns against current returns
Autocorrelation, which is Banco Do 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 Banco Do's stock expected returns. We can calculate the autocorrelation of Banco Do returns to help us make a trade decision. For example, suppose you find that Banco Do 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 |
Banco Do 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 Banco Do stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Banco Do stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Banco Do stock over time.
Current vs Lagged Prices |
| Timeline |
Banco Do Lagged Returns
When evaluating Banco Do's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Banco Do stock have on its future price. Banco Do 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, Banco Do autocorrelation shows the relationship between Banco Do stock current value and its past values and can show if there is a momentum factor associated with investing in Banco do Brasil.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Banco Do in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Banco Do's short interest history, or implied volatility extrapolated from Banco Do options trading.
Pair Trading with Banco Do
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 Banco Do 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 Banco Do will appreciate offsetting losses from the drop in the long position's value.Moving together with Banco Stock
| 0.79 | HCST11 | Hectare Student Housing | PairCorr |
Moving against Banco Stock
| 0.7 | SEQL3 | Sequoia Logstica e | PairCorr |
The ability to find closely correlated positions to Banco Do could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Banco Do 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 Banco Do - 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 Banco do Brasil to buy it.
The correlation of Banco Do 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 Banco Do moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Banco do Brasil 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 Banco Do 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 Banco Do Correlation, Banco Do Volatility and Banco Do Alpha and Beta module to complement your research on Banco Do. Note that the Banco do Brasil information on this page should be used as a complementary analysis to other Banco Do's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Banco Stock analysis
When running Banco Do's price analysis, check to measure Banco Do'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 Banco Do is operating at the current time. Most of Banco Do's value examination focuses on studying past and present price action to predict the probability of Banco Do's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Banco Do's price. Additionally, you may evaluate how the addition of Banco Do to your portfolios can decrease your overall portfolio volatility.
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Banco Do 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.