Avioane Craiova (Romania) Market Value
| AVIO Stock | 2.38 0.02 0.83% |
| Symbol | Avioane |
Avioane Craiova '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 Avioane Craiova'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 Avioane Craiova.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Avioane Craiova on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Avioane Craiova SA or generate 0.0% return on investment in Avioane Craiova over 30 days.
Avioane Craiova 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 Avioane Craiova'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 Avioane Craiova SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.25) | |||
| Maximum Drawdown | 13.11 | |||
| Value At Risk | (5.67) | |||
| Potential Upside | 4.9 |
Avioane Craiova Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Avioane Craiova's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Avioane Craiova's standard deviation. In reality, there are many statistical measures that can use Avioane Craiova historical prices to predict the future Avioane Craiova's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.53) | |||
| Total Risk Alpha | (0.92) | |||
| Treynor Ratio | (5.18) |
Avioane Craiova SA Backtested Returns
Avioane Craiova SA secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the company had a -0.18% return per unit of risk over the last 3 months. Avioane Craiova SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Avioane Craiova's Risk Adjusted Performance of (0.15), mean deviation of 1.77, and Standard Deviation of 2.55 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, Avioane Craiova's returns are expected to increase less than the market. However, during the bear market, the loss of holding Avioane Craiova is expected to be smaller as well. At this point, Avioane Craiova SA has a negative expected return of -0.45%. Please make sure to confirm Avioane Craiova's jensen alpha, treynor ratio, and the relationship between the information ratio and total risk alpha , to decide if Avioane Craiova SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.82 |
Very good predictability
Avioane Craiova SA has very good predictability. Overlapping area represents the amount of predictability between Avioane Craiova 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 Avioane Craiova SA price movement. The serial correlation of 0.82 indicates that around 82.0% of current Avioane Craiova price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Avioane Craiova SA lagged returns against current returns
Autocorrelation, which is Avioane Craiova 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 Avioane Craiova's stock expected returns. We can calculate the autocorrelation of Avioane Craiova returns to help us make a trade decision. For example, suppose you find that Avioane Craiova 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 |
Avioane Craiova 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 Avioane Craiova stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Avioane Craiova stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Avioane Craiova stock over time.
Current vs Lagged Prices |
| Timeline |
Avioane Craiova Lagged Returns
When evaluating Avioane Craiova's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Avioane Craiova stock have on its future price. Avioane Craiova 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, Avioane Craiova autocorrelation shows the relationship between Avioane Craiova stock current value and its past values and can show if there is a momentum factor associated with investing in Avioane Craiova SA.
Regressed Prices |
| Timeline |
Pair Trading with Avioane Craiova
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 Avioane Craiova 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 Avioane Craiova will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Avioane Craiova could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Avioane Craiova 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 Avioane Craiova - 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 Avioane Craiova SA to buy it.
The correlation of Avioane Craiova 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 Avioane Craiova moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Avioane Craiova 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 Avioane Craiova 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.