TLT (Poland) Market Value
| TLT Stock | 0.13 0.01 7.14% |
| Symbol | TLT |
TLT '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 TLT'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 TLT.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in TLT on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding TLT or generate 0.0% return on investment in TLT over 720 days.
TLT 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 TLT'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 TLT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 10.74 | |||
| Information Ratio | 0.0109 | |||
| Maximum Drawdown | 45.24 | |||
| Value At Risk | (13.33) | |||
| Potential Upside | 16.67 |
TLT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TLT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TLT's standard deviation. In reality, there are many statistical measures that can use TLT historical prices to predict the future TLT's volatility.| Risk Adjusted Performance | 0.0294 | |||
| Jensen Alpha | 0.113 | |||
| Total Risk Alpha | (1.09) | |||
| Sortino Ratio | 0.0084 | |||
| Treynor Ratio | 0.26 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TLT'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.
TLT Backtested Returns
TLT appears to be out of control, given 3 months investment horizon. TLT owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0261, which indicates the firm had a 0.0261% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for TLT, which you can use to evaluate the volatility of the company. Please review TLT's risk adjusted performance of 0.0294, and Coefficient Of Variation of 3757.91 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, TLT holds a performance score of 2. The entity has a beta of 0.81, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, TLT's returns are expected to increase less than the market. However, during the bear market, the loss of holding TLT is expected to be smaller as well. Please check TLT's downside variance, as well as the relationship between the accumulation distribution and market facilitation index , to make a quick decision on whether TLT's existing price patterns will revert.
Auto-correlation | 0.83 |
Very good predictability
TLT has very good predictability. Overlapping area represents the amount of predictability between TLT time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 TLT price movement. The serial correlation of 0.83 indicates that around 83.0% of current TLT price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
TLT lagged returns against current returns
Autocorrelation, which is TLT 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 TLT's stock expected returns. We can calculate the autocorrelation of TLT returns to help us make a trade decision. For example, suppose you find that TLT 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 |
TLT 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 TLT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TLT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TLT stock over time.
Current vs Lagged Prices |
| Timeline |
TLT Lagged Returns
When evaluating TLT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TLT stock have on its future price. TLT 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, TLT autocorrelation shows the relationship between TLT stock current value and its past values and can show if there is a momentum factor associated with investing in TLT.
Regressed Prices |
| Timeline |
Pair Trading with TLT
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 TLT 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 TLT will appreciate offsetting losses from the drop in the long position's value.Moving against TLT Stock
| 0.62 | PCO | Pepco Group BV | PairCorr |
| 0.51 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.46 | KGH | KGHM Polska Miedz | PairCorr |
| 0.36 | ALE | Allegroeu SA | PairCorr |
The ability to find closely correlated positions to TLT could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace TLT 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 TLT - 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 TLT to buy it.
The correlation of TLT 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 TLT moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TLT 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 TLT 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 TLT Stock Analysis
When running TLT's price analysis, check to measure TLT'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 TLT is operating at the current time. Most of TLT's value examination focuses on studying past and present price action to predict the probability of TLT's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move TLT's price. Additionally, you may evaluate how the addition of TLT to your portfolios can decrease your overall portfolio volatility.