Empresas Copec (Chile) Market Value
| COPEC Stock | CLP 6,080 19.00 0.31% |
| Symbol | Empresas |
Empresas Copec '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 Empresas Copec'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 Empresas Copec.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Empresas Copec on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Empresas Copec SA or generate 0.0% return on investment in Empresas Copec over 720 days. Empresas Copec is related to or competes with Falabella, Cencosud, Empresas CMPC, Sociedad Qumica, and Banco De. Empresas Copec S.A., a financial holding company, operates in the natural resources and energy sectors in Chile and inte... More
Empresas Copec 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 Empresas Copec'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 Empresas Copec SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 5.96 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 2.58 |
Empresas Copec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Empresas Copec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Empresas Copec's standard deviation. In reality, there are many statistical measures that can use Empresas Copec historical prices to predict the future Empresas Copec's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | (0.19) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Empresas Copec'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.
Empresas Copec SA Backtested Returns
Currently, Empresas Copec SA is very steady. Empresas Copec SA secures Sharpe Ratio (or Efficiency) of 0.0305, which denotes the company had a 0.0305% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Empresas Copec SA, which you can use to evaluate the volatility of the firm. Please confirm Empresas Copec's Variance of 2.11, mean deviation of 1.16, and Standard Deviation of 1.45 to check if the risk estimate we provide is consistent with the expected return of 0.0439%. Empresas Copec has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.2, which means not very significant fluctuations relative to the market. As returns on the market increase, Empresas Copec's returns are expected to increase less than the market. However, during the bear market, the loss of holding Empresas Copec is expected to be smaller as well. Empresas Copec SA right now shows a risk of 1.44%. Please confirm Empresas Copec SA skewness, and the relationship between the treynor ratio and daily balance of power , to decide if Empresas Copec SA will be following its price patterns.
Auto-correlation | -0.27 |
Weak reverse predictability
Empresas Copec SA has weak reverse predictability. Overlapping area represents the amount of predictability between Empresas Copec 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 Empresas Copec SA price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Empresas Copec price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 278.7 K |
Empresas Copec SA lagged returns against current returns
Autocorrelation, which is Empresas Copec 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 Empresas Copec's stock expected returns. We can calculate the autocorrelation of Empresas Copec returns to help us make a trade decision. For example, suppose you find that Empresas Copec 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 |
Empresas Copec 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 Empresas Copec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Empresas Copec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Empresas Copec stock over time.
Current vs Lagged Prices |
| Timeline |
Empresas Copec Lagged Returns
When evaluating Empresas Copec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Empresas Copec stock have on its future price. Empresas Copec 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, Empresas Copec autocorrelation shows the relationship between Empresas Copec stock current value and its past values and can show if there is a momentum factor associated with investing in Empresas Copec SA.
Regressed Prices |
| Timeline |
Pair Trading with Empresas Copec
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 Empresas Copec 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 Empresas Copec will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Empresas Copec could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Empresas Copec 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 Empresas Copec - 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 Empresas Copec SA to buy it.
The correlation of Empresas Copec 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 Empresas Copec moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Empresas Copec 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 Empresas Copec 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 Empresas Stock Analysis
When running Empresas Copec's price analysis, check to measure Empresas Copec'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 Empresas Copec is operating at the current time. Most of Empresas Copec's value examination focuses on studying past and present price action to predict the probability of Empresas Copec's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Empresas Copec's price. Additionally, you may evaluate how the addition of Empresas Copec to your portfolios can decrease your overall portfolio volatility.