US05947LAZ13 Market Value
| 05947LAZ1 | 97.90 0.20 0.20% |
| Symbol | 05947LAZ1 |
05947LAZ1 '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 05947LAZ1's bond 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 05947LAZ1.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in 05947LAZ1 on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding US05947LAZ13 or generate 0.0% return on investment in 05947LAZ1 over 30 days. 05947LAZ1 is related to or competes with Analog Devices, Iridium Communications, Diageo PLC, Anheuser Busch, Keurig Dr, Mind Technology, and National Beverage. More
05947LAZ1 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 05947LAZ1's bond 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 US05947LAZ13 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.52 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 6.9 | |||
| Value At Risk | (1.57) | |||
| Potential Upside | 1.62 |
05947LAZ1 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 05947LAZ1's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 05947LAZ1's standard deviation. In reality, there are many statistical measures that can use 05947LAZ1 historical prices to predict the future 05947LAZ1's volatility.| Risk Adjusted Performance | 0.0167 | |||
| Jensen Alpha | 0.016 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.23) |
US05947LAZ13 Backtested Returns
US05947LAZ13 retains Efficiency (Sharpe Ratio) of -0.0102, which signifies that the bond had a -0.0102% return per unit of price deviation over the last 3 months. 05947LAZ1 exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 05947LAZ1's Semi Deviation of 1.25, risk adjusted performance of 0.0167, and Coefficient Of Variation of 5932.86 to double-check the risk estimate we provide. The bond owns a Beta (Systematic Risk) of -0.0464, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 05947LAZ1 are expected to decrease at a much lower rate. During the bear market, 05947LAZ1 is likely to outperform the market.
Auto-correlation | -0.36 |
Poor reverse predictability
US05947LAZ13 has poor reverse predictability. Overlapping area represents the amount of predictability between 05947LAZ1 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 US05947LAZ13 price movement. The serial correlation of -0.36 indicates that just about 36.0% of current 05947LAZ1 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.36 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 2.04 |
US05947LAZ13 lagged returns against current returns
Autocorrelation, which is 05947LAZ1 bond'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 05947LAZ1's bond expected returns. We can calculate the autocorrelation of 05947LAZ1 returns to help us make a trade decision. For example, suppose you find that 05947LAZ1 has exhibited high autocorrelation historically, and you observe that the bond 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 |
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05947LAZ1 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 05947LAZ1 bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 05947LAZ1 bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 05947LAZ1 bond over time.
Current vs Lagged Prices |
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05947LAZ1 Lagged Returns
When evaluating 05947LAZ1's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 05947LAZ1 bond have on its future price. 05947LAZ1 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, 05947LAZ1 autocorrelation shows the relationship between 05947LAZ1 bond current value and its past values and can show if there is a momentum factor associated with investing in US05947LAZ13.
Regressed Prices |
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Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in 05947LAZ1 Bond
05947LAZ1 financial ratios help investors to determine whether 05947LAZ1 Bond 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 05947LAZ1 with respect to the benefits of owning 05947LAZ1 security.