AyalaLand REIT (Philippines) Market Value
| AREIT Stock | 39.20 0.60 1.51% |
| Symbol | AyalaLand |
AyalaLand REIT '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 AyalaLand REIT'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 AyalaLand REIT.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in AyalaLand REIT on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding AyalaLand REIT or generate 0.0% return on investment in AyalaLand REIT over 30 days. AyalaLand REIT is related to or competes with Philippine Savings, Crown Asia, Union Bank, Converge Information, Philippine Business, and Alliance Select. More
AyalaLand REIT 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 AyalaLand REIT'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 AyalaLand REIT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.3 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 7.46 | |||
| Value At Risk | (1.73) | |||
| Potential Upside | 2.92 |
AyalaLand REIT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AyalaLand REIT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AyalaLand REIT's standard deviation. In reality, there are many statistical measures that can use AyalaLand REIT historical prices to predict the future AyalaLand REIT's volatility.| Risk Adjusted Performance | 0.0248 | |||
| Jensen Alpha | 0.0507 | |||
| Total Risk Alpha | (0.20) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AyalaLand REIT'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.
AyalaLand REIT Backtested Returns
Currently, AyalaLand REIT is very steady. AyalaLand REIT secures Sharpe Ratio (or Efficiency) of 0.043, which signifies that the company had a 0.043% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for AyalaLand REIT, which you can use to evaluate the volatility of the firm. Please confirm AyalaLand REIT's mean deviation of 1.1, and Risk Adjusted Performance of 0.0248 to double-check if the risk estimate we provide is consistent with the expected return of 0.0646%. AyalaLand REIT has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning AyalaLand REIT are expected to decrease at a much lower rate. During the bear market, AyalaLand REIT is likely to outperform the market. AyalaLand REIT right now shows a risk of 1.5%. Please confirm AyalaLand REIT coefficient of variation, semi variance, price action indicator, as well as the relationship between the treynor ratio and daily balance of power , to decide if AyalaLand REIT will be following its price patterns.
Auto-correlation | 0.08 |
Virtually no predictability
AyalaLand REIT has virtually no predictability. Overlapping area represents the amount of predictability between AyalaLand REIT 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 AyalaLand REIT price movement. The serial correlation of 0.08 indicates that barely 8.0% of current AyalaLand REIT price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.43 |
AyalaLand REIT lagged returns against current returns
Autocorrelation, which is AyalaLand REIT 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 AyalaLand REIT's stock expected returns. We can calculate the autocorrelation of AyalaLand REIT returns to help us make a trade decision. For example, suppose you find that AyalaLand REIT 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 |
AyalaLand REIT 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 AyalaLand REIT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AyalaLand REIT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AyalaLand REIT stock over time.
Current vs Lagged Prices |
| Timeline |
AyalaLand REIT Lagged Returns
When evaluating AyalaLand REIT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AyalaLand REIT stock have on its future price. AyalaLand REIT 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, AyalaLand REIT autocorrelation shows the relationship between AyalaLand REIT stock current value and its past values and can show if there is a momentum factor associated with investing in AyalaLand REIT.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for AyalaLand Stock Analysis
When running AyalaLand REIT's price analysis, check to measure AyalaLand REIT'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 AyalaLand REIT is operating at the current time. Most of AyalaLand REIT's value examination focuses on studying past and present price action to predict the probability of AyalaLand REIT's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AyalaLand REIT's price. Additionally, you may evaluate how the addition of AyalaLand REIT to your portfolios can decrease your overall portfolio volatility.