Stalexport Autostrady (Poland) Market Value
| STX Stock | 2.92 0.04 1.39% |
| Symbol | Stalexport |
Stalexport Autostrady '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 Stalexport Autostrady'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 Stalexport Autostrady.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Stalexport Autostrady on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Stalexport Autostrady SA or generate 0.0% return on investment in Stalexport Autostrady over 720 days.
Stalexport Autostrady 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 Stalexport Autostrady'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 Stalexport Autostrady SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7527 | |||
| Information Ratio | 0.0343 | |||
| Maximum Drawdown | 6.34 | |||
| Value At Risk | (0.78) | |||
| Potential Upside | 1.54 |
Stalexport Autostrady Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Stalexport Autostrady's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Stalexport Autostrady's standard deviation. In reality, there are many statistical measures that can use Stalexport Autostrady historical prices to predict the future Stalexport Autostrady's volatility.| Risk Adjusted Performance | 0.1451 | |||
| Jensen Alpha | 0.1853 | |||
| Total Risk Alpha | 0.0088 | |||
| Sortino Ratio | 0.0408 | |||
| Treynor Ratio | (0.75) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Stalexport Autostrady'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.
Stalexport Autostrady Backtested Returns
Currently, Stalexport Autostrady SA is somewhat reliable. Stalexport Autostrady owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the firm had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Stalexport Autostrady SA, which you can use to evaluate the volatility of the company. Please validate Stalexport Autostrady's Risk Adjusted Performance of 0.1451, coefficient of variation of 532.27, and Semi Deviation of 0.4261 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. Stalexport Autostrady has a performance score of 14 on a scale of 0 to 100. The entity has a beta of -0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Stalexport Autostrady are expected to decrease at a much lower rate. During the bear market, Stalexport Autostrady is likely to outperform the market. Stalexport Autostrady right now has a risk of 0.89%. Please validate Stalexport Autostrady value at risk, and the relationship between the jensen alpha and skewness , to decide if Stalexport Autostrady will be following its existing price patterns.
Auto-correlation | 0.21 |
Weak predictability
Stalexport Autostrady SA has weak predictability. Overlapping area represents the amount of predictability between Stalexport Autostrady time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd of December 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 Stalexport Autostrady price movement. The serial correlation of 0.21 indicates that over 21.0% of current Stalexport Autostrady price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Stalexport Autostrady lagged returns against current returns
Autocorrelation, which is Stalexport Autostrady 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 Stalexport Autostrady's stock expected returns. We can calculate the autocorrelation of Stalexport Autostrady returns to help us make a trade decision. For example, suppose you find that Stalexport Autostrady 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 |
Stalexport Autostrady 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 Stalexport Autostrady stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Stalexport Autostrady stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Stalexport Autostrady stock over time.
Current vs Lagged Prices |
| Timeline |
Stalexport Autostrady Lagged Returns
When evaluating Stalexport Autostrady's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Stalexport Autostrady stock have on its future price. Stalexport Autostrady 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, Stalexport Autostrady autocorrelation shows the relationship between Stalexport Autostrady stock current value and its past values and can show if there is a momentum factor associated with investing in Stalexport Autostrady SA.
Regressed Prices |
| Timeline |
Pair Trading with Stalexport Autostrady
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 Stalexport Autostrady 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 Stalexport Autostrady will appreciate offsetting losses from the drop in the long position's value.Moving together with Stalexport Stock
Moving against Stalexport Stock
| 0.82 | ALE | Allegroeu SA | PairCorr |
| 0.79 | PCO | Pepco Group BV | PairCorr |
| 0.73 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.65 | KGH | KGHM Polska Miedz | PairCorr |
| 0.53 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Stalexport Autostrady could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Stalexport Autostrady 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 Stalexport Autostrady - 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 Stalexport Autostrady SA to buy it.
The correlation of Stalexport Autostrady 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 Stalexport Autostrady moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Stalexport Autostrady 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 Stalexport Autostrady 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 Stalexport Stock Analysis
When running Stalexport Autostrady's price analysis, check to measure Stalexport Autostrady'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 Stalexport Autostrady is operating at the current time. Most of Stalexport Autostrady's value examination focuses on studying past and present price action to predict the probability of Stalexport Autostrady's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Stalexport Autostrady's price. Additionally, you may evaluate how the addition of Stalexport Autostrady to your portfolios can decrease your overall portfolio volatility.