Romcab SA (Romania) Market Value
| MCAB Stock | 0.02 0 5.26% |
| Symbol | Romcab |
Please note, there is a significant difference between Romcab SA's value and its price as these two are different measures arrived at by different means. Investors typically determine if Romcab SA is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Romcab SA's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
Romcab 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 Romcab 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 Romcab SA.
| 08/02/2023 |
| 11/24/2024 |
If you would invest 0.00 in Romcab SA on August 2, 2023 and sell it all today you would earn a total of 0.00 from holding Romcab SA or generate 0.0% return on investment in Romcab SA over 480 days. More
Romcab 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 Romcab 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 Romcab SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 25.02 | |||
| Value At Risk | (8.00) | |||
| Potential Upside | 6.98 |
Romcab SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Romcab SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Romcab SA's standard deviation. In reality, there are many statistical measures that can use Romcab SA historical prices to predict the future Romcab SA's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.66) | |||
| Total Risk Alpha | (1.30) | |||
| Treynor Ratio | (0.77) |
Romcab SA Backtested Returns
Romcab SA maintains Sharpe Ratio (i.e., Efficiency) of -0.11, which implies the firm had a -0.11% return per unit of risk over the last 3 months. Romcab SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Romcab SA's Coefficient Of Variation of (821.94), risk adjusted performance of (0.08), and Variance of 21.51 to confirm the risk estimate we provide. The company holds a Beta of 0.74, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Romcab SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Romcab SA is expected to be smaller as well. At this point, Romcab SA has a negative expected return of -0.5%. Please make sure to check Romcab SA's treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Romcab SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.67 |
Good predictability
Romcab SA has good predictability. Overlapping area represents the amount of predictability between Romcab SA time series from 2nd of August 2023 to 29th of March 2024 and 29th of March 2024 to 24th 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 Romcab SA price movement. The serial correlation of 0.67 indicates that around 67.0% of current Romcab SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.68 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Romcab SA lagged returns against current returns
Autocorrelation, which is Romcab 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 Romcab SA's stock expected returns. We can calculate the autocorrelation of Romcab SA returns to help us make a trade decision. For example, suppose you find that Romcab 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 |
Romcab 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 Romcab SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Romcab SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Romcab SA stock over time.
Current vs Lagged Prices |
| Timeline |
Romcab SA Lagged Returns
When evaluating Romcab SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Romcab SA stock have on its future price. Romcab 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, Romcab SA autocorrelation shows the relationship between Romcab SA stock current value and its past values and can show if there is a momentum factor associated with investing in Romcab SA.
Regressed Prices |
| Timeline |
Pair Trading with Romcab 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 Romcab 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 Romcab SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Romcab Stock
Moving against Romcab Stock
The ability to find closely correlated positions to Romcab 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 Romcab 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 Romcab 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 Romcab SA to buy it.
The correlation of Romcab 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 Romcab SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Romcab 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 Romcab 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 Romcab Stock
Romcab SA financial ratios help investors to determine whether Romcab 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 Romcab with respect to the benefits of owning Romcab SA security.