Aguas Andinas (Chile) Market Value
| AGUAS-A Stock | CLP 304.56 6.56 2.20% |
| Symbol | Aguas |
Aguas Andinas '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 Aguas Andinas' 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 Aguas Andinas.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Aguas Andinas on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Aguas Andinas SA or generate 0.0% return on investment in Aguas Andinas over 30 days. Aguas Andinas is related to or competes with Banco De, LATAM Airlines, and Multiexport Foods. Aguas Andinas S.A., together with its subsidiaries, operates as a water utility company in Chile More
Aguas Andinas 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 Aguas Andinas' 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 Aguas Andinas SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | 0.0323 | |||
| Maximum Drawdown | 6.89 | |||
| Value At Risk | (2.26) | |||
| Potential Upside | 1.94 |
Aguas Andinas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aguas Andinas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aguas Andinas' standard deviation. In reality, there are many statistical measures that can use Aguas Andinas historical prices to predict the future Aguas Andinas' volatility.| Risk Adjusted Performance | 0.101 | |||
| Jensen Alpha | 0.1725 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0424 | |||
| Treynor Ratio | (3.10) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aguas Andinas' 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.
Aguas Andinas SA Backtested Returns
At this point, Aguas Andinas is very steady. Aguas Andinas SA secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Aguas Andinas SA, which you can use to evaluate the volatility of the firm. Please confirm Aguas Andinas' Risk Adjusted Performance of 0.101, downside deviation of 1.07, and Mean Deviation of 0.9208 to double-check if the risk estimate we provide is consistent with the expected return of 0.17%. Aguas Andinas has a performance score of 9 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0535, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Aguas Andinas are expected to decrease at a much lower rate. During the bear market, Aguas Andinas is likely to outperform the market. Aguas Andinas SA right now shows a risk of 1.46%. Please confirm Aguas Andinas SA value at risk, as well as the relationship between the skewness and day median price , to decide if Aguas Andinas SA will be following its price patterns.
Auto-correlation | -0.47 |
Modest reverse predictability
Aguas Andinas SA has modest reverse predictability. Overlapping area represents the amount of predictability between Aguas Andinas time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Aguas Andinas SA price movement. The serial correlation of -0.47 indicates that about 47.0% of current Aguas Andinas price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 159.15 |
Aguas Andinas SA lagged returns against current returns
Autocorrelation, which is Aguas Andinas 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 Aguas Andinas' stock expected returns. We can calculate the autocorrelation of Aguas Andinas returns to help us make a trade decision. For example, suppose you find that Aguas Andinas 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 |
Aguas Andinas 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 Aguas Andinas stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aguas Andinas stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aguas Andinas stock over time.
Current vs Lagged Prices |
| Timeline |
Aguas Andinas Lagged Returns
When evaluating Aguas Andinas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aguas Andinas stock have on its future price. Aguas Andinas 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, Aguas Andinas autocorrelation shows the relationship between Aguas Andinas stock current value and its past values and can show if there is a momentum factor associated with investing in Aguas Andinas SA.
Regressed Prices |
| Timeline |
Pair Trading with Aguas Andinas
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 Aguas Andinas 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 Aguas Andinas will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Aguas Andinas could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aguas Andinas 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 Aguas Andinas - 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 Aguas Andinas SA to buy it.
The correlation of Aguas Andinas 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 Aguas Andinas moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aguas Andinas SA 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 Aguas Andinas 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 Aguas Stock
Aguas Andinas financial ratios help investors to determine whether Aguas 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 Aguas with respect to the benefits of owning Aguas Andinas security.