Tekfen Holding (Turkey) Market Value
| TKFEN Stock | TRY 77.40 5.05 6.12% |
| Symbol | Tekfen |
Tekfen Holding '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 Tekfen Holding'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 Tekfen Holding.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Tekfen Holding on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Tekfen Holding AS or generate 0.0% return on investment in Tekfen Holding over 510 days. Tekfen Holding is related to or competes with QNB Finans, Pamel Yenilenebilir, Brisa Bridgestone, Dogus Gayrimenkul, Kent Gida, Akenerji Elektrik, and Yatas Yatak. Tekfen Holding Anonim Sirketi, together with its subsidiaries, engages in contracting, agriculture, real estate, and oth... More
Tekfen Holding 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 Tekfen Holding'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 Tekfen Holding AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.97 | |||
| Information Ratio | 0.142 | |||
| Maximum Drawdown | 13.34 | |||
| Value At Risk | (4.77) | |||
| Potential Upside | 5.18 |
Tekfen Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Tekfen Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Tekfen Holding's standard deviation. In reality, there are many statistical measures that can use Tekfen Holding historical prices to predict the future Tekfen Holding's volatility.| Risk Adjusted Performance | 0.1482 | |||
| Jensen Alpha | 0.5377 | |||
| Total Risk Alpha | 0.0783 | |||
| Sortino Ratio | 0.1461 | |||
| Treynor Ratio | 4.24 |
Tekfen Holding AS Backtested Returns
Tekfen Holding appears to be very steady, given 3 months investment horizon. Tekfen Holding AS owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of risk over the last 3 months. By inspecting Tekfen Holding's technical indicators, you can evaluate if the expected return of 0.65% is justified by implied risk. Please review Tekfen Holding's Risk Adjusted Performance of 0.1482, coefficient of variation of 543.18, and Semi Deviation of 2.55 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Tekfen Holding holds a performance score of 16. The entity has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Tekfen Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Tekfen Holding is expected to be smaller as well. Please check Tekfen Holding's treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to make a quick decision on whether Tekfen Holding's existing price patterns will revert.
Auto-correlation | 0.09 |
Virtually no predictability
Tekfen Holding AS has virtually no predictability. Overlapping area represents the amount of predictability between Tekfen Holding time series from 5th of July 2023 to 16th of March 2024 and 16th of March 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 Tekfen Holding AS price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Tekfen Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 105.49 |
Tekfen Holding AS lagged returns against current returns
Autocorrelation, which is Tekfen Holding 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 Tekfen Holding's stock expected returns. We can calculate the autocorrelation of Tekfen Holding returns to help us make a trade decision. For example, suppose you find that Tekfen Holding 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 |
Tekfen Holding 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 Tekfen Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Tekfen Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Tekfen Holding stock over time.
Current vs Lagged Prices |
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Tekfen Holding Lagged Returns
When evaluating Tekfen Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Tekfen Holding stock have on its future price. Tekfen Holding 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, Tekfen Holding autocorrelation shows the relationship between Tekfen Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Tekfen Holding AS.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Tekfen Stock
Tekfen Holding financial ratios help investors to determine whether Tekfen 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 Tekfen with respect to the benefits of owning Tekfen Holding security.