Toya SA (Poland) Market Value
| TOA Stock | 7.50 0.38 4.82% |
| Symbol | Toya |
Toya SA '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 Toya SA'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 Toya SA.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Toya SA on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Toya SA or generate 0.0% return on investment in Toya SA over 30 days. Toya SA is related to or competes with Asseco Business, Movie Games, Comp SA, and Altustfi. More
Toya SA 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 Toya SA'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 Toya SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 9.67 | |||
| Value At Risk | (2.42) | |||
| Potential Upside | 3.3 |
Toya SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Toya SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Toya SA's standard deviation. In reality, there are many statistical measures that can use Toya SA historical prices to predict the future Toya SA's volatility.| Risk Adjusted Performance | 0.0064 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Toya SA'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.
Toya SA Backtested Returns
Toya SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0164, which indicates the firm had a -0.0164% return per unit of risk over the last 3 months. Toya SA exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Toya SA's Semi Deviation of 1.63, risk adjusted performance of 0.0064, and Coefficient Of Variation of 165444.75 to confirm the risk estimate we provide. The entity has a beta of 0.41, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Toya SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Toya SA is expected to be smaller as well. At this point, Toya SA has a negative expected return of -0.029%. Please make sure to validate Toya SA's semi variance, as well as the relationship between the accumulation distribution and day typical price , to decide if Toya SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.73 |
Good predictability
Toya SA has good predictability. Overlapping area represents the amount of predictability between Toya SA time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Toya SA price movement. The serial correlation of 0.73 indicates that around 73.0% of current Toya SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Toya SA lagged returns against current returns
Autocorrelation, which is Toya SA 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 Toya SA's stock expected returns. We can calculate the autocorrelation of Toya SA returns to help us make a trade decision. For example, suppose you find that Toya SA 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 |
Toya SA 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 Toya SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Toya SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Toya SA stock over time.
Current vs Lagged Prices |
| Timeline |
Toya SA Lagged Returns
When evaluating Toya SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Toya SA stock have on its future price. Toya SA 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, Toya SA autocorrelation shows the relationship between Toya SA stock current value and its past values and can show if there is a momentum factor associated with investing in Toya SA.
Regressed Prices |
| Timeline |
Pair Trading with Toya SA
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 Toya SA 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 Toya SA will appreciate offsetting losses from the drop in the long position's value.Moving against Toya Stock
The ability to find closely correlated positions to Toya SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Toya SA 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 Toya SA - 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 Toya SA to buy it.
The correlation of Toya SA 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 Toya SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Toya SA 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 Toya SA 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 Toya Stock Analysis
When running Toya SA's price analysis, check to measure Toya SA'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 Toya SA is operating at the current time. Most of Toya SA's value examination focuses on studying past and present price action to predict the probability of Toya SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Toya SA's price. Additionally, you may evaluate how the addition of Toya SA to your portfolios can decrease your overall portfolio volatility.