Rompetrol Rafi (Romania) Market Value
| RRC Stock | 0.07 0 2.19% |
| Symbol | Rompetrol |
Rompetrol Rafi '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 Rompetrol Rafi'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 Rompetrol Rafi.
| 12/02/2022 |
| 11/21/2024 |
If you would invest 0.00 in Rompetrol Rafi on December 2, 2022 and sell it all today you would earn a total of 0.00 from holding Rompetrol Rafi or generate 0.0% return on investment in Rompetrol Rafi over 720 days.
Rompetrol Rafi 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 Rompetrol Rafi'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 Rompetrol Rafi upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 10.12 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 3.47 |
Rompetrol Rafi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Rompetrol Rafi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Rompetrol Rafi's standard deviation. In reality, there are many statistical measures that can use Rompetrol Rafi historical prices to predict the future Rompetrol Rafi's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.52) | |||
| Treynor Ratio | 0.9417 |
Rompetrol Rafi Backtested Returns
Rompetrol Rafi maintains Sharpe Ratio (i.e., Efficiency) of -0.12, which implies the firm had a -0.12% return per unit of risk over the last 3 months. Rompetrol Rafi exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Rompetrol Rafi's Risk Adjusted Performance of (0.08), variance of 4.82, and Coefficient Of Variation of (851.49) to confirm the risk estimate we provide. The company holds a Beta of -0.28, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Rompetrol Rafi are expected to decrease at a much lower rate. During the bear market, Rompetrol Rafi is likely to outperform the market. At this point, Rompetrol Rafi has a negative expected return of -0.26%. Please make sure to check Rompetrol Rafi's value at risk, rate of daily change, relative strength index, as well as the relationship between the kurtosis and market facilitation index , to decide if Rompetrol Rafi performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Rompetrol Rafi has insignificant reverse predictability. Overlapping area represents the amount of predictability between Rompetrol Rafi time series from 2nd of December 2022 to 27th of November 2023 and 27th of November 2023 to 21st 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 Rompetrol Rafi price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Rompetrol Rafi price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Rompetrol Rafi lagged returns against current returns
Autocorrelation, which is Rompetrol Rafi 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 Rompetrol Rafi's stock expected returns. We can calculate the autocorrelation of Rompetrol Rafi returns to help us make a trade decision. For example, suppose you find that Rompetrol Rafi 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 |
Rompetrol Rafi 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 Rompetrol Rafi stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rompetrol Rafi stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rompetrol Rafi stock over time.
Current vs Lagged Prices |
| Timeline |
Rompetrol Rafi Lagged Returns
When evaluating Rompetrol Rafi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Rompetrol Rafi stock have on its future price. Rompetrol Rafi 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, Rompetrol Rafi autocorrelation shows the relationship between Rompetrol Rafi stock current value and its past values and can show if there is a momentum factor associated with investing in Rompetrol Rafi.
Regressed Prices |
| Timeline |
Pair Trading with Rompetrol Rafi
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 Rompetrol Rafi 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 Rompetrol Rafi will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Rompetrol Rafi could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Rompetrol Rafi 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 Rompetrol Rafi - 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 Rompetrol Rafi to buy it.
The correlation of Rompetrol Rafi 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 Rompetrol Rafi moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Rompetrol Rafi 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 Rompetrol Rafi 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.