Colbun (Chile) Market Value
| COLBUN Stock | CLP 119.75 1.00 0.83% |
| Symbol | Colbun |
Colbun '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 Colbun'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 Colbun.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Colbun on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Colbun or generate 0.0% return on investment in Colbun over 720 days. Colbun is related to or competes with Empresas Copec, Banco Santander, Falabella, and Cencosud. Colbn S.A., together with its subsidiaries, engages in the production, transportation, distribution, and supply of energ... More
Colbun 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 Colbun'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 Colbun upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.11 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 5.12 | |||
| Value At Risk | (1.66) | |||
| Potential Upside | 1.86 |
Colbun Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Colbun's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Colbun's standard deviation. In reality, there are many statistical measures that can use Colbun historical prices to predict the future Colbun's volatility.| Risk Adjusted Performance | 0.0088 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Colbun'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.
Colbun Backtested Returns
At this point, Colbun is very steady. Colbun secures Sharpe Ratio (or Efficiency) of 0.0084, which signifies that the company had a 0.0084% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Colbun, which you can use to evaluate the volatility of the firm. Please confirm Colbun's Risk Adjusted Performance of 0.0088, mean deviation of 0.7804, and Downside Deviation of 1.11 to double-check if the risk estimate we provide is consistent with the expected return of 0.0084%. The firm shows a Beta (market volatility) of 0.0397, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Colbun's returns are expected to increase less than the market. However, during the bear market, the loss of holding Colbun is expected to be smaller as well. Colbun right now shows a risk of 0.99%. Please confirm Colbun downside variance, and the relationship between the sortino ratio and accumulation distribution , to decide if Colbun will be following its price patterns.
Auto-correlation | -0.83 |
Excellent reverse predictability
Colbun has excellent reverse predictability. Overlapping area represents the amount of predictability between Colbun time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 to 26th 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 Colbun price movement. The serial correlation of -0.83 indicates that around 83.0% of current Colbun price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.83 | |
| Spearman Rank Test | -0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 25.64 |
Colbun lagged returns against current returns
Autocorrelation, which is Colbun 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 Colbun's stock expected returns. We can calculate the autocorrelation of Colbun returns to help us make a trade decision. For example, suppose you find that Colbun 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 |
Colbun 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 Colbun stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Colbun stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Colbun stock over time.
Current vs Lagged Prices |
| Timeline |
Colbun Lagged Returns
When evaluating Colbun's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Colbun stock have on its future price. Colbun 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, Colbun autocorrelation shows the relationship between Colbun stock current value and its past values and can show if there is a momentum factor associated with investing in Colbun.
Regressed Prices |
| Timeline |
Pair Trading with Colbun
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 Colbun 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 Colbun will appreciate offsetting losses from the drop in the long position's value.Moving against Colbun Stock
| 0.62 | AFPCAPITAL | AFP Capital SA | PairCorr |
The ability to find closely correlated positions to Colbun could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Colbun 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 Colbun - 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 Colbun to buy it.
The correlation of Colbun 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 Colbun moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Colbun 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 Colbun 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 Colbun Stock
Colbun financial ratios help investors to determine whether Colbun 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 Colbun with respect to the benefits of owning Colbun security.