TRANSILVANIA INVESTMENTS (Romania) Market Value
| TRANSI Stock | 0.38 0.01 2.70% |
| Symbol | TRANSILVANIA |
TRANSILVANIA INVESTMENTS '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 TRANSILVANIA INVESTMENTS'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 TRANSILVANIA INVESTMENTS.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in TRANSILVANIA INVESTMENTS on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding TRANSILVANIA INVESTMENTS ALLIANCE or generate 0.0% return on investment in TRANSILVANIA INVESTMENTS over 720 days.
TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS'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 TRANSILVANIA INVESTMENTS ALLIANCE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.8 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.63 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 2.78 |
TRANSILVANIA INVESTMENTS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TRANSILVANIA INVESTMENTS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TRANSILVANIA INVESTMENTS's standard deviation. In reality, there are many statistical measures that can use TRANSILVANIA INVESTMENTS historical prices to predict the future TRANSILVANIA INVESTMENTS's volatility.| Risk Adjusted Performance | 0.0298 | |||
| Jensen Alpha | 0.0233 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.2039 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TRANSILVANIA INVESTMENTS'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.
TRANSILVANIA INVESTMENTS Backtested Returns
At this point, TRANSILVANIA INVESTMENTS is extremely dangerous. TRANSILVANIA INVESTMENTS retains Efficiency (Sharpe Ratio) of 0.0319, which indicates the firm had a 0.0319% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for TRANSILVANIA INVESTMENTS, which you can use to evaluate the volatility of the company. Please validate TRANSILVANIA INVESTMENTS's downside deviation of 2.8, and Risk Adjusted Performance of 0.0298 to confirm if the risk estimate we provide is consistent with the expected return of 0.0564%. TRANSILVANIA INVESTMENTS has a performance score of 2 on a scale of 0 to 100. The entity owns a Beta (Systematic Risk) of 0.22, which indicates not very significant fluctuations relative to the market. As returns on the market increase, TRANSILVANIA INVESTMENTS's returns are expected to increase less than the market. However, during the bear market, the loss of holding TRANSILVANIA INVESTMENTS is expected to be smaller as well. TRANSILVANIA INVESTMENTS currently owns a risk of 1.77%. Please validate TRANSILVANIA INVESTMENTS ALLIANCE jensen alpha and the relationship between the value at risk and day median price , to decide if TRANSILVANIA INVESTMENTS ALLIANCE will be following its current price history.
Auto-correlation | -0.05 |
Very weak reverse predictability
TRANSILVANIA INVESTMENTS ALLIANCE has very weak reverse predictability. Overlapping area represents the amount of predictability between TRANSILVANIA INVESTMENTS time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 TRANSILVANIA INVESTMENTS price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current TRANSILVANIA INVESTMENTS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.05 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
TRANSILVANIA INVESTMENTS lagged returns against current returns
Autocorrelation, which is TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS's stock expected returns. We can calculate the autocorrelation of TRANSILVANIA INVESTMENTS returns to help us make a trade decision. For example, suppose you find that TRANSILVANIA INVESTMENTS 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 |
TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TRANSILVANIA INVESTMENTS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TRANSILVANIA INVESTMENTS stock over time.
Current vs Lagged Prices |
| Timeline |
TRANSILVANIA INVESTMENTS Lagged Returns
When evaluating TRANSILVANIA INVESTMENTS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TRANSILVANIA INVESTMENTS stock have on its future price. TRANSILVANIA INVESTMENTS 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, TRANSILVANIA INVESTMENTS autocorrelation shows the relationship between TRANSILVANIA INVESTMENTS stock current value and its past values and can show if there is a momentum factor associated with investing in TRANSILVANIA INVESTMENTS ALLIANCE.
Regressed Prices |
| Timeline |
Pair Trading with TRANSILVANIA INVESTMENTS
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 TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to TRANSILVANIA INVESTMENTS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS - 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 TRANSILVANIA INVESTMENTS ALLIANCE to buy it.
The correlation of TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TRANSILVANIA INVESTMENTS 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 TRANSILVANIA INVESTMENTS 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.