Lojas Renner (Brazil) Market Value
| LREN3 Stock | BRL 14.50 0.17 1.16% |
| Symbol | Lojas |
Lojas Renner '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 Lojas Renner'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 Lojas Renner.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Lojas Renner on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding Lojas Renner SA or generate 0.0% return on investment in Lojas Renner over 690 days. Lojas Renner is related to or competes with Engie Brasil, Fras Le, Energisa, BTG Pactual, Procter Gamble, Companhia Paranaense, and Randon SA. Lojas Renner S.A., together with its subsidiaries, operates as a fashion and lifestyle company in Brazil, Uruguay, and A... More
Lojas Renner 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 Lojas Renner'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 Lojas Renner SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 12.61 | |||
| Value At Risk | (4.36) | |||
| Potential Upside | 3.95 |
Lojas Renner Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lojas Renner's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lojas Renner's standard deviation. In reality, there are many statistical measures that can use Lojas Renner historical prices to predict the future Lojas Renner's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.55) | |||
| Treynor Ratio | 3.63 |
Lojas Renner SA Backtested Returns
Lojas Renner SA has Sharpe Ratio of -0.0206, which conveys that the firm had a -0.0206% return per unit of risk over the last 3 months. Lojas Renner exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Lojas Renner's Standard Deviation of 2.48, risk adjusted performance of (0.04), and Mean Deviation of 1.89 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.0486, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Lojas Renner are expected to decrease at a much lower rate. During the bear market, Lojas Renner is likely to outperform the market. At this point, Lojas Renner SA has a negative expected return of -0.0505%. Please make sure to verify Lojas Renner's information ratio, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Lojas Renner SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.72 |
Almost perfect reverse predictability
Lojas Renner SA has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Lojas Renner time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 to 29th 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 Lojas Renner SA price movement. The serial correlation of -0.72 indicates that around 72.0% of current Lojas Renner price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.72 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 3.04 |
Lojas Renner SA lagged returns against current returns
Autocorrelation, which is Lojas Renner 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 Lojas Renner's stock expected returns. We can calculate the autocorrelation of Lojas Renner returns to help us make a trade decision. For example, suppose you find that Lojas Renner 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 |
Lojas Renner 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 Lojas Renner stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lojas Renner stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lojas Renner stock over time.
Current vs Lagged Prices |
| Timeline |
Lojas Renner Lagged Returns
When evaluating Lojas Renner's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lojas Renner stock have on its future price. Lojas Renner 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, Lojas Renner autocorrelation shows the relationship between Lojas Renner stock current value and its past values and can show if there is a momentum factor associated with investing in Lojas Renner 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 Lojas Stock Analysis
When running Lojas Renner's price analysis, check to measure Lojas Renner'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 Lojas Renner is operating at the current time. Most of Lojas Renner's value examination focuses on studying past and present price action to predict the probability of Lojas Renner's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Lojas Renner's price. Additionally, you may evaluate how the addition of Lojas Renner to your portfolios can decrease your overall portfolio volatility.