Aurizon Holdings (Australia) Market Value
| AZJ Stock | 3.40 0.01 0.29% |
| Symbol | Aurizon |
Aurizon Holdings '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 Aurizon Holdings' 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 Aurizon Holdings.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Aurizon Holdings on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Aurizon Holdings or generate 0.0% return on investment in Aurizon Holdings over 720 days. Aurizon Holdings is related to or competes with Pinnacle Investment, Centaurus Metals, Hotel Property, and GreenX Metals. Aurizon Holdings is entity of Australia. It is traded as Stock on AU exchange. More
Aurizon Holdings 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 Aurizon Holdings' 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 Aurizon Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.01 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 4.66 | |||
| Value At Risk | (1.45) | |||
| Potential Upside | 1.15 |
Aurizon Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aurizon Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aurizon Holdings' standard deviation. In reality, there are many statistical measures that can use Aurizon Holdings historical prices to predict the future Aurizon Holdings' volatility.| Risk Adjusted Performance | 0.0368 | |||
| Jensen Alpha | 0.0063 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | 0.1262 |
Aurizon Holdings Backtested Returns
Currently, Aurizon Holdings is not too volatile. Aurizon Holdings secures Sharpe Ratio (or Efficiency) of 0.0534, which signifies that the company had a 0.0534% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Aurizon Holdings, which you can use to evaluate the volatility of the firm. Please confirm Aurizon Holdings' Risk Adjusted Performance of 0.0368, mean deviation of 0.6447, and Downside Deviation of 1.01 to double-check if the risk estimate we provide is consistent with the expected return of 0.0447%. Aurizon Holdings has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.23, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aurizon Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding Aurizon Holdings is expected to be smaller as well. Aurizon Holdings right now shows a risk of 0.84%. Please confirm Aurizon Holdings jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if Aurizon Holdings will be following its price patterns.
Auto-correlation | -0.61 |
Very good reverse predictability
Aurizon Holdings has very good reverse predictability. Overlapping area represents the amount of predictability between Aurizon Holdings time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 Aurizon Holdings price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Aurizon Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Aurizon Holdings lagged returns against current returns
Autocorrelation, which is Aurizon Holdings 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 Aurizon Holdings' stock expected returns. We can calculate the autocorrelation of Aurizon Holdings returns to help us make a trade decision. For example, suppose you find that Aurizon Holdings 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 |
Aurizon Holdings 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 Aurizon Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aurizon Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aurizon Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
Aurizon Holdings Lagged Returns
When evaluating Aurizon Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aurizon Holdings stock have on its future price. Aurizon Holdings 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, Aurizon Holdings autocorrelation shows the relationship between Aurizon Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Aurizon Holdings.
Regressed Prices |
| Timeline |
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Additional Tools for Aurizon Stock Analysis
When running Aurizon Holdings' price analysis, check to measure Aurizon Holdings' 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 Aurizon Holdings is operating at the current time. Most of Aurizon Holdings' value examination focuses on studying past and present price action to predict the probability of Aurizon Holdings' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Aurizon Holdings' price. Additionally, you may evaluate how the addition of Aurizon Holdings to your portfolios can decrease your overall portfolio volatility.