Ross Stores (Germany) Market Value
| RSO Stock | 147.44 7.74 5.54% |
| Symbol | Ross |
Ross Stores '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 Ross Stores' 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 Ross Stores.
| 08/28/2024 |
| 11/26/2024 |
Ross Stores 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 Ross Stores' 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 Ross Stores upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.41 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 6.48 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 2.78 |
Ross Stores Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ross Stores' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ross Stores' standard deviation. In reality, there are many statistical measures that can use Ross Stores historical prices to predict the future Ross Stores' volatility.| Risk Adjusted Performance | 0.0227 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.23) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.042 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ross Stores' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Ross Stores Backtested Returns
Currently, Ross Stores is very steady. Ross Stores maintains Sharpe Ratio (i.e., Efficiency) of 0.0403, which implies the firm had a 0.0403% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Ross Stores, which you can use to evaluate the volatility of the company. Please check Ross Stores' Coefficient Of Variation of 4415.94, risk adjusted performance of 0.0227, and Semi Deviation of 1.33 to confirm if the risk estimate we provide is consistent with the expected return of 0.0668%. Ross Stores has a performance score of 3 on a scale of 0 to 100. The company holds a Beta of 0.65, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Ross Stores' returns are expected to increase less than the market. However, during the bear market, the loss of holding Ross Stores is expected to be smaller as well. Ross Stores right now holds a risk of 1.66%. Please check Ross Stores expected short fall, and the relationship between the value at risk and daily balance of power , to decide if Ross Stores will be following its historical price patterns.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
Ross Stores has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Ross Stores time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th 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 Ross Stores price movement. The serial correlation of -0.71 indicates that around 71.0% of current Ross Stores price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 18.19 |
Ross Stores lagged returns against current returns
Autocorrelation, which is Ross Stores 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 Ross Stores' stock expected returns. We can calculate the autocorrelation of Ross Stores returns to help us make a trade decision. For example, suppose you find that Ross Stores 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 |
Ross Stores 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 Ross Stores stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ross Stores stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ross Stores stock over time.
Current vs Lagged Prices |
| Timeline |
Ross Stores Lagged Returns
When evaluating Ross Stores' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ross Stores stock have on its future price. Ross Stores 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, Ross Stores autocorrelation shows the relationship between Ross Stores stock current value and its past values and can show if there is a momentum factor associated with investing in Ross Stores.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Ross Stock Analysis
When running Ross Stores' price analysis, check to measure Ross Stores' 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 Ross Stores is operating at the current time. Most of Ross Stores' value examination focuses on studying past and present price action to predict the probability of Ross Stores' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ross Stores' price. Additionally, you may evaluate how the addition of Ross Stores to your portfolios can decrease your overall portfolio volatility.