UCM RESITA (Romania) Market Value
| UCM Stock | 0.63 0.03 5.00% |
| Symbol | UCM |
UCM RESITA '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 UCM RESITA'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 UCM RESITA.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in UCM RESITA on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding UCM RESITA SA or generate 0.0% return on investment in UCM RESITA over 30 days.
UCM RESITA 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 UCM RESITA'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 UCM RESITA SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.44 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 22.4 | |||
| Value At Risk | (4.29) | |||
| Potential Upside | 5.88 |
UCM RESITA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for UCM RESITA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as UCM RESITA's standard deviation. In reality, there are many statistical measures that can use UCM RESITA historical prices to predict the future UCM RESITA's volatility.| Risk Adjusted Performance | 0.0077 | |||
| Jensen Alpha | 0.0114 | |||
| Total Risk Alpha | (0.49) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0526 |
UCM RESITA SA Backtested Returns
UCM RESITA SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0249, which indicates the company had a -0.0249% return per unit of standard deviation over the last 3 months. UCM RESITA SA exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate UCM RESITA's Market Risk Adjusted Performance of 0.0626, downside deviation of 3.44, and Risk Adjusted Performance of 0.0077 to confirm the risk estimate we provide. The firm has a beta of -0.18, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning UCM RESITA are expected to decrease at a much lower rate. During the bear market, UCM RESITA is likely to outperform the market. At this point, UCM RESITA SA has a negative expected return of -0.0772%. Please make sure to validate UCM RESITA's expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to decide if UCM RESITA SA performance from the past will be repeated at future time.
Auto-correlation | 0.72 |
Good predictability
UCM RESITA SA has good predictability. Overlapping area represents the amount of predictability between UCM RESITA 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 UCM RESITA SA price movement. The serial correlation of 0.72 indicates that around 72.0% of current UCM RESITA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
UCM RESITA SA lagged returns against current returns
Autocorrelation, which is UCM RESITA 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 UCM RESITA's stock expected returns. We can calculate the autocorrelation of UCM RESITA returns to help us make a trade decision. For example, suppose you find that UCM RESITA 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 |
UCM RESITA 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 UCM RESITA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if UCM RESITA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in UCM RESITA stock over time.
Current vs Lagged Prices |
| Timeline |
UCM RESITA Lagged Returns
When evaluating UCM RESITA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of UCM RESITA stock have on its future price. UCM RESITA 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, UCM RESITA autocorrelation shows the relationship between UCM RESITA stock current value and its past values and can show if there is a momentum factor associated with investing in UCM RESITA SA.
Regressed Prices |
| Timeline |
Pair Trading with UCM RESITA
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 UCM RESITA 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 UCM RESITA will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to UCM RESITA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace UCM RESITA 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 UCM RESITA - 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 UCM RESITA SA to buy it.
The correlation of UCM RESITA 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 UCM RESITA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if UCM RESITA 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 UCM RESITA 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.