AGROT (Turkey) Market Value
| AGROT Stock | 12.92 1.25 8.82% |
| Symbol | AGROT |
AGROT '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 AGROT'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 AGROT.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in AGROT on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding AGROT or generate 0.0% return on investment in AGROT over 30 days.
AGROT 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 AGROT'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 AGROT upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 19.87 | |||
| Value At Risk | (5.38) | |||
| Potential Upside | 5.02 |
AGROT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGROT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGROT's standard deviation. In reality, there are many statistical measures that can use AGROT historical prices to predict the future AGROT's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.27) | |||
| Total Risk Alpha | (0.74) | |||
| Treynor Ratio | (1.52) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGROT'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.
AGROT Backtested Returns
AGROT secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the company had a -0.11% return per unit of risk over the last 3 months. AGROT exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AGROT's risk adjusted performance of (0.05), and Mean Deviation of 2.28 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGROT's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGROT is expected to be smaller as well. At this point, AGROT has a negative expected return of -0.35%. Please make sure to confirm AGROT's total risk alpha, kurtosis, as well as the relationship between the Kurtosis and market facilitation index , to decide if AGROT performance from the past will be repeated in the future.
Auto-correlation | -0.38 |
Poor reverse predictability
AGROT has poor reverse predictability. Overlapping area represents the amount of predictability between AGROT time series from 30th of October 2024 to 14th of November 2024 and 14th of November 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 AGROT price movement. The serial correlation of -0.38 indicates that just about 38.0% of current AGROT price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.52 |
AGROT lagged returns against current returns
Autocorrelation, which is AGROT 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 AGROT's stock expected returns. We can calculate the autocorrelation of AGROT returns to help us make a trade decision. For example, suppose you find that AGROT 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 |
AGROT 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 AGROT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGROT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGROT stock over time.
Current vs Lagged Prices |
| Timeline |
AGROT Lagged Returns
When evaluating AGROT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGROT stock have on its future price. AGROT 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, AGROT autocorrelation shows the relationship between AGROT stock current value and its past values and can show if there is a momentum factor associated with investing in AGROT.
Regressed Prices |
| Timeline |