TRANSILVANIA LEASING (Romania) Market Value
| TSLA Stock | 0.08 0.01 6.74% |
| Symbol | TRANSILVANIA |
TRANSILVANIA LEASING '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 LEASING'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 LEASING.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in TRANSILVANIA LEASING on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding TRANSILVANIA LEASING SI or generate 0.0% return on investment in TRANSILVANIA LEASING over 180 days.
TRANSILVANIA LEASING 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 LEASING'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 LEASING SI upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 13.55 | |||
| Value At Risk | (3.43) | |||
| Potential Upside | 4.05 |
TRANSILVANIA LEASING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TRANSILVANIA LEASING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TRANSILVANIA LEASING's standard deviation. In reality, there are many statistical measures that can use TRANSILVANIA LEASING historical prices to predict the future TRANSILVANIA LEASING's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.60) | |||
| Treynor Ratio | 0.6068 |
TRANSILVANIA LEASING Backtested Returns
TRANSILVANIA LEASING retains Efficiency (Sharpe Ratio) of -0.0867, which indicates the firm had a -0.0867% return per unit of risk over the last 3 months. TRANSILVANIA LEASING exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate TRANSILVANIA LEASING's risk adjusted performance of (0.06), and Standard Deviation of 2.48 to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.35, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning TRANSILVANIA LEASING are expected to decrease at a much lower rate. During the bear market, TRANSILVANIA LEASING is likely to outperform the market. At this point, TRANSILVANIA LEASING has a negative expected return of -0.21%. Please make sure to validate TRANSILVANIA LEASING's coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if TRANSILVANIA LEASING performance from the past will be repeated at future time.
Auto-correlation | -0.15 |
Insignificant reverse predictability
TRANSILVANIA LEASING SI has insignificant reverse predictability. Overlapping area represents the amount of predictability between TRANSILVANIA LEASING time series from 27th of May 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 LEASING price movement. The serial correlation of -0.15 indicates that less than 15.0% of current TRANSILVANIA LEASING price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
TRANSILVANIA LEASING lagged returns against current returns
Autocorrelation, which is TRANSILVANIA LEASING 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 LEASING's stock expected returns. We can calculate the autocorrelation of TRANSILVANIA LEASING returns to help us make a trade decision. For example, suppose you find that TRANSILVANIA LEASING 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 LEASING 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 LEASING stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TRANSILVANIA LEASING stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TRANSILVANIA LEASING stock over time.
Current vs Lagged Prices |
| Timeline |
TRANSILVANIA LEASING Lagged Returns
When evaluating TRANSILVANIA LEASING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TRANSILVANIA LEASING stock have on its future price. TRANSILVANIA LEASING 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 LEASING autocorrelation shows the relationship between TRANSILVANIA LEASING stock current value and its past values and can show if there is a momentum factor associated with investing in TRANSILVANIA LEASING SI.
Regressed Prices |
| Timeline |
Pair Trading with TRANSILVANIA LEASING
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 LEASING 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 LEASING will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to TRANSILVANIA LEASING 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 LEASING 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 LEASING - 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 LEASING SI to buy it.
The correlation of TRANSILVANIA LEASING 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 LEASING moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TRANSILVANIA LEASING 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 LEASING 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.