Bank Of America Preferred Stock Market Value
| BAC-PN Preferred Stock | USD 23.41 0.41 1.72% |
| Symbol | Bank |
Bank of America '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 Bank of America's preferred 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 Bank of America.
| 08/31/2024 |
| 09/30/2024 |
If you would invest 0.00 in Bank of America on August 31, 2024 and sell it all today you would earn a total of 0.00 from holding Bank of America or generate 0.0% return on investment in Bank of America over 30 days. Bank of America is related to or competes with Bank of America, Wells Fargo, Capital One, Capital One, and Bank of America. Bank of America Corporation, through its subsidiaries, provides banking and financial products and services for individu... More
Bank of America 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 Bank of America's preferred 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 Bank of America upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6879 | |||
| Information Ratio | 0.039 | |||
| Maximum Drawdown | 3.04 | |||
| Value At Risk | (0.92) | |||
| Potential Upside | 1.16 |
Bank of America Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank of America's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank of America's standard deviation. In reality, there are many statistical measures that can use Bank of America historical prices to predict the future Bank of America's volatility.| Risk Adjusted Performance | 0.1863 | |||
| Jensen Alpha | 0.0998 | |||
| Total Risk Alpha | 0.0498 | |||
| Sortino Ratio | 0.0352 | |||
| Treynor Ratio | 0.4197 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bank of America'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.
Bank of America Backtested Returns
As of now, Bank Preferred Stock is very steady. Bank of America secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the company had a 0.2% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Bank of America, which you can use to evaluate the volatility of the firm. Please confirm Bank of America's Mean Deviation of 0.4634, risk adjusted performance of 0.1863, and Downside Deviation of 0.6879 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. Bank of America has a performance score of 15 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.32, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank of America's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank of America is expected to be smaller as well. Bank of America right now shows a risk of 0.67%. Please confirm Bank of America maximum drawdown, semi variance, and the relationship between the sortino ratio and potential upside , to decide if Bank of America will be following its price patterns.
Auto-correlation | 0.52 |
Modest predictability
Bank of America has modest predictability. Overlapping area represents the amount of predictability between Bank of America time series from 31st of August 2024 to 15th of September 2024 and 15th of September 2024 to 30th of September 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 Bank of America price movement. The serial correlation of 0.52 indicates that about 52.0% of current Bank of America price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Bank of America lagged returns against current returns
Autocorrelation, which is Bank of America preferred 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 Bank of America's preferred stock expected returns. We can calculate the autocorrelation of Bank of America returns to help us make a trade decision. For example, suppose you find that Bank of America has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Bank of America 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 Bank of America preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank of America preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank of America preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Bank of America Lagged Returns
When evaluating Bank of America's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank of America preferred stock have on its future price. Bank of America 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, Bank of America autocorrelation shows the relationship between Bank of America preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Bank of America.
Regressed Prices |
| Timeline |
Pair Trading with Bank of America
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 Bank of America 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 Bank of America will appreciate offsetting losses from the drop in the long position's value.Moving together with Bank Preferred Stock
| 0.94 | CM | Canadian Imperial Bank Fiscal Year End 5th of December 2024 | PairCorr |
| 0.91 | RY | Royal Bank Fiscal Year End 5th of December 2024 | PairCorr |
| 0.93 | TD | Toronto Dominion Bank Fiscal Year End 5th of December 2024 | PairCorr |
| 0.86 | BML-PG | Bank of America | PairCorr |
Moving against Bank Preferred Stock
| 0.32 | C | Citigroup Fiscal Year End 10th of January 2025 | PairCorr |
The ability to find closely correlated positions to Bank of America could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank of America 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 Bank of America - 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 Bank of America to buy it.
The correlation of Bank of America 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 Bank of America moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank of America 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 Bank of America 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.Other Information on Investing in Bank Preferred Stock
Bank of America financial ratios help investors to determine whether Bank Preferred 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 Bank with respect to the benefits of owning Bank of America security.