Artifex Mundi (Poland) Market Value
ART Stock | 14.30 0.10 0.70% |
Symbol | Artifex |
Artifex Mundi '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 Artifex Mundi'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 Artifex Mundi.
10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Artifex Mundi on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Artifex Mundi SA or generate 0.0% return on investment in Artifex Mundi over 30 days.
Artifex Mundi 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 Artifex Mundi'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 Artifex Mundi SA upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.33) | |||
Maximum Drawdown | 20.33 | |||
Value At Risk | (5.11) | |||
Potential Upside | 2.25 |
Artifex Mundi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Artifex Mundi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Artifex Mundi's standard deviation. In reality, there are many statistical measures that can use Artifex Mundi historical prices to predict the future Artifex Mundi's volatility.Risk Adjusted Performance | (0.21) | |||
Jensen Alpha | (0.86) | |||
Total Risk Alpha | (1.32) | |||
Treynor Ratio | (8.33) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Artifex Mundi'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.
Artifex Mundi SA Backtested Returns
Artifex Mundi SA secures Sharpe Ratio (or Efficiency) of -0.28, which signifies that the company had a -0.28% return per unit of risk over the last 3 months. Artifex Mundi SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Artifex Mundi's Mean Deviation of 1.9, standard deviation of 2.97, and Risk Adjusted Performance of (0.21) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.1, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Artifex Mundi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Artifex Mundi is expected to be smaller as well. At this point, Artifex Mundi SA has a negative expected return of -0.86%. Please make sure to confirm Artifex Mundi's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Artifex Mundi SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.80 |
Very good predictability
Artifex Mundi SA has very good predictability. Overlapping area represents the amount of predictability between Artifex Mundi time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Artifex Mundi SA price movement. The serial correlation of 0.8 indicates that around 80.0% of current Artifex Mundi price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.8 | |
Spearman Rank Test | 0.78 | |
Residual Average | 0.0 | |
Price Variance | 3.02 |
Artifex Mundi SA lagged returns against current returns
Autocorrelation, which is Artifex Mundi 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 Artifex Mundi's stock expected returns. We can calculate the autocorrelation of Artifex Mundi returns to help us make a trade decision. For example, suppose you find that Artifex Mundi 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 |
Artifex Mundi 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 Artifex Mundi stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Artifex Mundi stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Artifex Mundi stock over time.
Current vs Lagged Prices |
Timeline |
Artifex Mundi Lagged Returns
When evaluating Artifex Mundi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Artifex Mundi stock have on its future price. Artifex Mundi 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, Artifex Mundi autocorrelation shows the relationship between Artifex Mundi stock current value and its past values and can show if there is a momentum factor associated with investing in Artifex Mundi SA.
Regressed Prices |
Timeline |
Pair Trading with Artifex Mundi
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 Artifex Mundi 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 Artifex Mundi will appreciate offsetting losses from the drop in the long position's value.Moving together with Artifex Stock
Moving against Artifex Stock
0.76 | CEZ | CEZ as | PairCorr |
0.74 | UCG | UniCredit SpA | PairCorr |
0.73 | DNP | Dino Polska SA | PairCorr |
0.59 | SAN | Banco Santander SA | PairCorr |
The ability to find closely correlated positions to Artifex Mundi could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Artifex Mundi 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 Artifex Mundi - 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 Artifex Mundi SA to buy it.
The correlation of Artifex Mundi 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 Artifex Mundi moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Artifex Mundi 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 Artifex Mundi 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.Additional Tools for Artifex Stock Analysis
When running Artifex Mundi's price analysis, check to measure Artifex Mundi'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 Artifex Mundi is operating at the current time. Most of Artifex Mundi's value examination focuses on studying past and present price action to predict the probability of Artifex Mundi's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Artifex Mundi's price. Additionally, you may evaluate how the addition of Artifex Mundi to your portfolios can decrease your overall portfolio volatility.