Embraer SA (Brazil) Market Value
| EMBR3 Stock | BRL 56.90 0.65 1.16% |
| Symbol | Embraer |
Embraer 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 Embraer 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 Embraer SA.
| 09/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Embraer SA on September 23, 2024 and sell it all today you would earn a total of 0.00 from holding Embraer SA or generate 0.0% return on investment in Embraer SA over 60 days. Embraer SA is related to or competes with METISA Metalrgica, Lupatech, Recrusul, Fras Le, BTG Pactual, Telefonaktiebolaget, and Cable One. Embraer S.A. designs, develops, manufactures, and sells aircraft and systems in Brazil, North America, Latin America, th... More
Embraer 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 Embraer 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 Embraer SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.14 | |||
| Information Ratio | 0.1128 | |||
| Maximum Drawdown | 11.09 | |||
| Value At Risk | (2.95) | |||
| Potential Upside | 4.73 |
Embraer SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Embraer SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Embraer SA's standard deviation. In reality, there are many statistical measures that can use Embraer SA historical prices to predict the future Embraer SA's volatility.| Risk Adjusted Performance | 0.1274 | |||
| Jensen Alpha | 0.3728 | |||
| Total Risk Alpha | 0.0568 | |||
| Sortino Ratio | 0.1273 | |||
| Treynor Ratio | (47.70) |
Embraer SA Backtested Returns
Embraer SA appears to be very steady, given 3 months investment horizon. Embraer SA secures Sharpe Ratio (or Efficiency) of 0.15, which denotes the company had a 0.15% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Embraer SA, which you can use to evaluate the volatility of the firm. Please utilize Embraer SA's Semi Deviation of 1.8, downside deviation of 2.14, and Mean Deviation of 1.83 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Embraer SA holds a performance score of 11. The firm shows a Beta (market volatility) of -0.0078, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Embraer SA are expected to decrease at a much lower rate. During the bear market, Embraer SA is likely to outperform the market. Please check Embraer SA's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Embraer SA's price patterns will revert.
Auto-correlation | -0.07 |
Very weak reverse predictability
Embraer SA has very weak reverse predictability. Overlapping area represents the amount of predictability between Embraer SA time series from 23rd of September 2024 to 23rd of October 2024 and 23rd of October 2024 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 Embraer SA price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Embraer SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 9.87 |
Embraer SA lagged returns against current returns
Autocorrelation, which is Embraer 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 Embraer SA's stock expected returns. We can calculate the autocorrelation of Embraer SA returns to help us make a trade decision. For example, suppose you find that Embraer 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 |
Embraer 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 Embraer SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Embraer SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Embraer SA stock over time.
Current vs Lagged Prices |
| Timeline |
Embraer SA Lagged Returns
When evaluating Embraer SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Embraer SA stock have on its future price. Embraer 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, Embraer SA autocorrelation shows the relationship between Embraer SA stock current value and its past values and can show if there is a momentum factor associated with investing in Embraer SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Embraer Stock Analysis
When running Embraer SA's price analysis, check to measure Embraer SA'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 Embraer SA is operating at the current time. Most of Embraer SA's value examination focuses on studying past and present price action to predict the probability of Embraer SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Embraer SA's price. Additionally, you may evaluate how the addition of Embraer SA to your portfolios can decrease your overall portfolio volatility.