CAP SA (Chile) Market Value
| CAP Stock | CLP 5,335 15.00 0.28% |
| Symbol | CAP |
CAP SA '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 CAP SA'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 CAP SA.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in CAP SA on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding CAP SA or generate 0.0% return on investment in CAP SA over 30 days. CAP SA is related to or competes with Administradora Americana, Energia Latina, Embotelladora Andina, Salfacorp, Schwager, Multiexport Foods, and Sociedad Matriz. CAP S.A. engages in iron ore mining, steel production, and steel processing businesses in Chile and internationally More
CAP SA 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 CAP SA'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 CAP SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 11.72 | |||
| Value At Risk | (2.22) | |||
| Potential Upside | 2.86 |
CAP SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CAP SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CAP SA's standard deviation. In reality, there are many statistical measures that can use CAP SA historical prices to predict the future CAP SA's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (0.52) |
CAP SA Backtested Returns
CAP SA secures Sharpe Ratio (or Efficiency) of -0.0113, which signifies that the company had a -0.0113% return per unit of risk over the last 3 months. CAP SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CAP SA's Mean Deviation of 1.36, coefficient of variation of (2,445), and Variance of 3.94 to double-check the risk estimate we provide. 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, CAP SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding CAP SA is expected to be smaller as well. At this point, CAP SA has a negative expected return of -0.0229%. Please make sure to confirm CAP SA's maximum drawdown, daily balance of power, period momentum indicator, as well as the relationship between the skewness and day typical price , to decide if CAP SA performance from the past will be repeated in the future.
Auto-correlation | 0.80 |
Very good predictability
CAP SA has very good predictability. Overlapping area represents the amount of predictability between CAP SA time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 CAP SA price movement. The serial correlation of 0.8 indicates that around 80.0% of current CAP SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 3211.14 |
CAP SA lagged returns against current returns
Autocorrelation, which is CAP SA 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 CAP SA's stock expected returns. We can calculate the autocorrelation of CAP SA returns to help us make a trade decision. For example, suppose you find that CAP SA 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 |
CAP SA 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 CAP SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CAP SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CAP SA stock over time.
Current vs Lagged Prices |
| Timeline |
CAP SA Lagged Returns
When evaluating CAP SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CAP SA stock have on its future price. CAP SA 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, CAP SA autocorrelation shows the relationship between CAP SA stock current value and its past values and can show if there is a momentum factor associated with investing in CAP SA.
Regressed Prices |
| Timeline |
Pair Trading with CAP SA
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 CAP SA 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 CAP SA will appreciate offsetting losses from the drop in the long position's value.Moving against CAP Stock
The ability to find closely correlated positions to CAP SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CAP SA 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 CAP SA - 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 CAP SA to buy it.
The correlation of CAP SA 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 CAP SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CAP 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 CAP SA 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 CAP Stock
CAP SA financial ratios help investors to determine whether CAP 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 CAP with respect to the benefits of owning CAP SA security.