RMS Mezzanine (Czech Republic) Market Value
| PVT Stock | CZK 1.67 0.01 0.60% |
| Symbol | RMS |
RMS Mezzanine '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 RMS Mezzanine'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 RMS Mezzanine.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in RMS Mezzanine on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding RMS Mezzanine AS or generate 0.0% return on investment in RMS Mezzanine over 30 days. RMS Mezzanine is related to or competes with Moneta Money, Vienna Insurance, Komercni Banka, and UNIQA Insurance. RMS Mezzanine, a.s. provides capital to small-and medium-sized enterprises More
RMS Mezzanine 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 RMS Mezzanine'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 RMS Mezzanine AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 17.33 | |||
| Information Ratio | 0.0974 | |||
| Maximum Drawdown | 90.94 | |||
| Value At Risk | (16.17) | |||
| Potential Upside | 31.5 |
RMS Mezzanine Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for RMS Mezzanine's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as RMS Mezzanine's standard deviation. In reality, there are many statistical measures that can use RMS Mezzanine historical prices to predict the future RMS Mezzanine's volatility.| Risk Adjusted Performance | 0.0916 | |||
| Jensen Alpha | 1.34 | |||
| Total Risk Alpha | (0.56) | |||
| Sortino Ratio | 0.0715 | |||
| Treynor Ratio | 9.81 |
RMS Mezzanine AS Backtested Returns
RMS Mezzanine appears to be abnormally volatile, given 3 months investment horizon. RMS Mezzanine AS maintains Sharpe Ratio (i.e., Efficiency) of 0.0477, which implies the firm had a 0.0477% return per unit of standard deviation over the last 3 months. By reviewing RMS Mezzanine's technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please evaluate RMS Mezzanine's Risk Adjusted Performance of 0.0916, market risk adjusted performance of 9.82, and Semi Deviation of 6.22 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, RMS Mezzanine holds a performance score of 3. The company holds a Beta of 0.14, which implies not very significant fluctuations relative to the market. As returns on the market increase, RMS Mezzanine's returns are expected to increase less than the market. However, during the bear market, the loss of holding RMS Mezzanine is expected to be smaller as well. Please check RMS Mezzanine's expected short fall, and the relationship between the value at risk and rate of daily change , to make a quick decision on whether RMS Mezzanine's historical price patterns will revert.
Auto-correlation | 0.27 |
Poor predictability
RMS Mezzanine AS has poor predictability. Overlapping area represents the amount of predictability between RMS Mezzanine time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 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 RMS Mezzanine AS price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current RMS Mezzanine price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
RMS Mezzanine AS lagged returns against current returns
Autocorrelation, which is RMS Mezzanine 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 RMS Mezzanine's stock expected returns. We can calculate the autocorrelation of RMS Mezzanine returns to help us make a trade decision. For example, suppose you find that RMS Mezzanine 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 |
RMS Mezzanine 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 RMS Mezzanine stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if RMS Mezzanine stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in RMS Mezzanine stock over time.
Current vs Lagged Prices |
| Timeline |
RMS Mezzanine Lagged Returns
When evaluating RMS Mezzanine's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of RMS Mezzanine stock have on its future price. RMS Mezzanine 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, RMS Mezzanine autocorrelation shows the relationship between RMS Mezzanine stock current value and its past values and can show if there is a momentum factor associated with investing in RMS Mezzanine AS.
Regressed Prices |
| Timeline |
Pair Trading with RMS Mezzanine
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 RMS Mezzanine 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 RMS Mezzanine will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to RMS Mezzanine could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace RMS Mezzanine 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 RMS Mezzanine - 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 RMS Mezzanine AS to buy it.
The correlation of RMS Mezzanine 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 RMS Mezzanine moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if RMS Mezzanine AS 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 RMS Mezzanine 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 RMS Stock Analysis
When running RMS Mezzanine's price analysis, check to measure RMS Mezzanine'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 RMS Mezzanine is operating at the current time. Most of RMS Mezzanine's value examination focuses on studying past and present price action to predict the probability of RMS Mezzanine's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move RMS Mezzanine's price. Additionally, you may evaluate how the addition of RMS Mezzanine to your portfolios can decrease your overall portfolio volatility.