Holding Burstil (Chile) Market Value
| NUAM Stock | 3,845 28.10 0.73% |
| Symbol | Holding |
Holding Burstil '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 Holding Burstil'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 Holding Burstil.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Holding Burstil on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Holding Burstil Regional or generate 0.0% return on investment in Holding Burstil over 30 days.
Holding Burstil 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 Holding Burstil'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 Holding Burstil Regional upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9885 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.52 | |||
| Value At Risk | (1.27) | |||
| Potential Upside | 1.47 |
Holding Burstil Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Holding Burstil's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Holding Burstil's standard deviation. In reality, there are many statistical measures that can use Holding Burstil historical prices to predict the future Holding Burstil's volatility.| Risk Adjusted Performance | 0.0891 | |||
| Jensen Alpha | 0.0853 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 3.47 |
Holding Burstil Regional Backtested Returns
As of now, Holding Stock is very steady. Holding Burstil Regional holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had a 0.14% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Holding Burstil Regional, which you can use to evaluate the volatility of the firm. Please check out Holding Burstil's Risk Adjusted Performance of 0.0891, market risk adjusted performance of 3.48, and Downside Deviation of 0.9885 to validate if the risk estimate we provide is consistent with the expected return of 0.12%. Holding Burstil has a performance score of 11 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.0254, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Holding Burstil's returns are expected to increase less than the market. However, during the bear market, the loss of holding Holding Burstil is expected to be smaller as well. Holding Burstil Regional right now retains a risk of 0.86%. Please check out Holding Burstil standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Holding Burstil will be following its current trending patterns.
Auto-correlation | -0.59 |
Good reverse predictability
Holding Burstil Regional has good reverse predictability. Overlapping area represents the amount of predictability between Holding Burstil time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 Holding Burstil Regional price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Holding Burstil price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 1661.23 |
Holding Burstil Regional lagged returns against current returns
Autocorrelation, which is Holding Burstil 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 Holding Burstil's stock expected returns. We can calculate the autocorrelation of Holding Burstil returns to help us make a trade decision. For example, suppose you find that Holding Burstil 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 |
Holding Burstil 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 Holding Burstil stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Holding Burstil stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Holding Burstil stock over time.
Current vs Lagged Prices |
| Timeline |
Holding Burstil Lagged Returns
When evaluating Holding Burstil's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Holding Burstil stock have on its future price. Holding Burstil 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, Holding Burstil autocorrelation shows the relationship between Holding Burstil stock current value and its past values and can show if there is a momentum factor associated with investing in Holding Burstil Regional.
Regressed Prices |
| Timeline |
Pair Trading with Holding Burstil
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 Holding Burstil 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 Holding Burstil will appreciate offsetting losses from the drop in the long position's value.Moving together with Holding Stock
The ability to find closely correlated positions to Holding Burstil could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Holding Burstil 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 Holding Burstil - 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 Holding Burstil Regional to buy it.
The correlation of Holding Burstil 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 Holding Burstil moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Holding Burstil Regional 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 Holding Burstil 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.