Rolls Royce Holdings Stock Market Value
| RYCEY Stock | USD 6.83 0.08 1.16% |
| 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 pink sheet 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.
| 05/07/2023 |
| 11/27/2024 |
If you would invest 0.00 in Rolls Royce on May 7, 2023 and sell it all today you would earn a total of 0.00 from holding Rolls Royce Holdings or generate 0.0% return on investment in Rolls Royce over 570 days. Rolls Royce is related to or competes with Eve Holding, Rolls-Royce Holdings, Sembcorp Marine, HEICO, Safran SA, Astronics, and Airbus Group. Rolls-Royce Holdings plc operates as an industrial technology company in the United Kingdom and internationally 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 pink sheet 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 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.03 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 10.31 | |||
| Value At Risk | (3.20) | |||
| Potential Upside | 2.49 |
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 | 0.0372 | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0486 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Rolls Royce's 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.
Rolls Royce Holdings Backtested Returns
At this stage we consider Rolls Pink Sheet to be somewhat reliable. Rolls Royce Holdings maintains Sharpe Ratio (i.e., Efficiency) of 0.0446, which implies the firm had a 0.0446% 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 Risk Adjusted Performance of 0.0372, semi deviation of 1.81, and Coefficient Of Variation of 2434.91 to confirm if the risk estimate we provide is consistent with the expected return of 0.0839%. Rolls Royce has a performance score of 3 on a scale of 0 to 100. The company holds a Beta of 1.35, which implies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Rolls Royce will likely underperform. Rolls Royce Holdings right now holds a risk of 1.88%. Please check Rolls Royce Holdings value at risk, as well as the relationship between the kurtosis and price action indicator , to decide if Rolls Royce Holdings will be following its historical price patterns.
Auto-correlation | 0.94 |
Excellent predictability
Rolls Royce Holdings has excellent predictability. Overlapping area represents the amount of predictability between Rolls Royce time series from 7th of May 2023 to 16th of February 2024 and 16th of February 2024 to 27th 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 Rolls Royce Holdings price movement. The serial correlation of 0.94 indicates that approximately 94.0% of current Rolls Royce price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.94 | |
| Spearman Rank Test | 0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.72 |
Rolls Royce Holdings lagged returns against current returns
Autocorrelation, which is Rolls Royce pink sheet'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 pink sheet 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 pink sheet 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 pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rolls Royce pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rolls Royce pink sheet 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 pink sheet 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 pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Rolls Royce Holdings.
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.Additional Tools for Rolls Pink Sheet Analysis
When running Rolls Royce's price analysis, check to measure Rolls Royce'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 Rolls Royce is operating at the current time. Most of Rolls Royce's value examination focuses on studying past and present price action to predict the probability of Rolls Royce's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Rolls Royce's price. Additionally, you may evaluate how the addition of Rolls Royce to your portfolios can decrease your overall portfolio volatility.