Rolls Royce (UK) Market Value
| RR Stock | 594.00 1.40 0.24% |
| Symbol | Rolls |
Rolls Royce '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 Rolls Royce'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 Rolls Royce.
| 12/22/2024 |
| 01/21/2025 |
If you would invest 0.00 in Rolls Royce on December 22, 2024 and sell it all today you would earn a total of 0.00 from holding Rolls Royce Holdings PLC or generate 0.0% return on investment in Rolls Royce over 30 days. Rolls Royce is related to or competes with Bellevue Healthcare, CVS Health, Gaming Realms, Gaztransport, SBM Offshore, EVS Broadcast, and Eco Animal. Rolls Royce is entity of United Kingdom. It is traded as Stock on LSE exchange. More
Rolls Royce 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 Rolls Royce'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 Rolls Royce Holdings PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.52 | |||
| Information Ratio | 0.0428 | |||
| Maximum Drawdown | 6.25 | |||
| Value At Risk | (2.56) | |||
| Potential Upside | 2.77 |
Rolls Royce Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Rolls Royce's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Rolls Royce's standard deviation. In reality, there are many statistical measures that can use Rolls Royce historical prices to predict the future Rolls Royce's volatility.| Risk Adjusted Performance | 0.0599 | |||
| Jensen Alpha | 0.0805 | |||
| Total Risk Alpha | 0.045 | |||
| Sortino Ratio | 0.0457 | |||
| Treynor Ratio | 0.1653 |
Rolls Royce Holdings Backtested Returns
At this point, Rolls Royce is very steady. Rolls Royce Holdings maintains Sharpe Ratio (i.e., Efficiency) of 0.0631, which implies the firm had a 0.0631 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Rolls Royce Holdings, which you can use to evaluate the volatility of the company. Please check Rolls Royce's Semi Deviation of 1.35, risk adjusted performance of 0.0599, and Coefficient Of Variation of 1531.91 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. Rolls Royce has a performance score of 4 on a scale of 0 to 100. The company holds a Beta of 0.58, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Rolls Royce's returns are expected to increase less than the market. However, during the bear market, the loss of holding Rolls Royce is expected to be smaller as well. Rolls Royce Holdings right now holds a risk of 1.66%. Please check Rolls Royce Holdings maximum drawdown, as well as the relationship between the expected short fall and rate of daily change , to decide if Rolls Royce Holdings will be following its historical price patterns.
Auto-correlation | -0.46 |
Modest reverse predictability
Rolls Royce Holdings PLC has modest reverse predictability. Overlapping area represents the amount of predictability between Rolls Royce time series from 22nd of December 2024 to 6th of January 2025 and 6th of January 2025 to 21st of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Rolls Royce Holdings price movement. The serial correlation of -0.46 indicates that about 46.0% of current Rolls Royce price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.46 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 41.69 |
Rolls Royce Holdings lagged returns against current returns
Autocorrelation, which is Rolls Royce 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 Rolls Royce's stock expected returns. We can calculate the autocorrelation of Rolls Royce returns to help us make a trade decision. For example, suppose you find that Rolls Royce 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 |
Rolls Royce 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 Rolls Royce stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rolls Royce stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rolls Royce stock over time.
Current vs Lagged Prices |
| Timeline |
Rolls Royce Lagged Returns
When evaluating Rolls Royce's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Rolls Royce stock have on its future price. Rolls Royce 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, Rolls Royce autocorrelation shows the relationship between Rolls Royce stock current value and its past values and can show if there is a momentum factor associated with investing in Rolls Royce Holdings PLC.
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.Other Information on Investing in Rolls Stock
Rolls Royce financial ratios help investors to determine whether Rolls 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 Rolls with respect to the benefits of owning Rolls Royce security.