TransAlta (Germany) Market Value
| TZ1 Stock | EUR 10.27 0.14 1.38% |
| Symbol | TransAlta |
TransAlta '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 TransAlta'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 TransAlta.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in TransAlta on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding TransAlta or generate 0.0% return on investment in TransAlta over 30 days. TransAlta is related to or competes with CN YANGTPWR, Superior Plus, SIVERS SEMICONDUCTORS, Talanx AG, 2G ENERGY, Identiv, and Intel. TransAlta Corporation owns, operates, and develops a diverse fleet of electrical power generation assets in Canada, the ... More
TransAlta 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 TransAlta'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 TransAlta upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.09 | |||
| Information Ratio | 0.0923 | |||
| Maximum Drawdown | 13.09 | |||
| Value At Risk | (3.45) | |||
| Potential Upside | 5.15 |
TransAlta Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TransAlta's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TransAlta's standard deviation. In reality, there are many statistical measures that can use TransAlta historical prices to predict the future TransAlta's volatility.| Risk Adjusted Performance | 0.1167 | |||
| Jensen Alpha | 0.3236 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.1125 | |||
| Treynor Ratio | 1.36 |
TransAlta Backtested Returns
TransAlta appears to be somewhat reliable, given 3 months investment horizon. TransAlta owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the firm had a 0.18% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for TransAlta, which you can use to evaluate the volatility of the company. Please review TransAlta's Coefficient Of Variation of 696.65, risk adjusted performance of 0.1167, and Semi Deviation of 1.69 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, TransAlta holds a performance score of 13. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, TransAlta's returns are expected to increase less than the market. However, during the bear market, the loss of holding TransAlta is expected to be smaller as well. Please check TransAlta's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to make a quick decision on whether TransAlta's existing price patterns will revert.
Auto-correlation | 0.21 |
Weak predictability
TransAlta has weak predictability. Overlapping area represents the amount of predictability between TransAlta time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 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 TransAlta price movement. The serial correlation of 0.21 indicates that over 21.0% of current TransAlta price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
TransAlta lagged returns against current returns
Autocorrelation, which is TransAlta 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 TransAlta's stock expected returns. We can calculate the autocorrelation of TransAlta returns to help us make a trade decision. For example, suppose you find that TransAlta 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 |
TransAlta 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 TransAlta stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TransAlta stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TransAlta stock over time.
Current vs Lagged Prices |
| Timeline |
TransAlta Lagged Returns
When evaluating TransAlta's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TransAlta stock have on its future price. TransAlta 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, TransAlta autocorrelation shows the relationship between TransAlta stock current value and its past values and can show if there is a momentum factor associated with investing in TransAlta.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in TransAlta Stock
TransAlta financial ratios help investors to determine whether TransAlta 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 TransAlta with respect to the benefits of owning TransAlta security.