VR Factory (Poland) Market Value
| VRF Stock | 0.31 0.01 3.13% |
| Symbol | VRF |
VR Factory '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 VR Factory'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 VR Factory.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in VR Factory on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding VR Factory Games or generate 0.0% return on investment in VR Factory over 30 days. VR Factory is related to or competes with Asseco Business, Movie Games, and Igoria Trade. More
VR Factory 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 VR Factory'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 VR Factory Games upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 26.79 | |||
| Value At Risk | (10.81) | |||
| Potential Upside | 9.09 |
VR Factory Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VR Factory's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VR Factory's standard deviation. In reality, there are many statistical measures that can use VR Factory historical prices to predict the future VR Factory's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (1.09) | |||
| Treynor Ratio | 0.2577 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of VR Factory'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.
VR Factory Games Backtested Returns
VR Factory Games retains Efficiency (Sharpe Ratio) of -0.0086, which indicates the firm had a -0.0086% return per unit of price deviation over the last 3 months. VR Factory exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate VR Factory's Standard Deviation of 5.64, mean deviation of 4.05, and Risk Adjusted Performance of (0.02) to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.92, which indicates possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning VR Factory are expected to decrease slowly. On the other hand, during market turmoil, VR Factory is expected to outperform it slightly. At this point, VR Factory Games has a negative expected return of -0.0468%. Please make sure to validate VR Factory's standard deviation and the relationship between the total risk alpha and day typical price , to decide if VR Factory Games performance from the past will be repeated at some future date.
Auto-correlation | 0.39 |
Below average predictability
VR Factory Games has below average predictability. Overlapping area represents the amount of predictability between VR Factory 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 VR Factory Games price movement. The serial correlation of 0.39 indicates that just about 39.0% of current VR Factory price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
VR Factory Games lagged returns against current returns
Autocorrelation, which is VR Factory 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 VR Factory's stock expected returns. We can calculate the autocorrelation of VR Factory returns to help us make a trade decision. For example, suppose you find that VR Factory 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 |
VR Factory 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 VR Factory stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VR Factory stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VR Factory stock over time.
Current vs Lagged Prices |
| Timeline |
VR Factory Lagged Returns
When evaluating VR Factory's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VR Factory stock have on its future price. VR Factory 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, VR Factory autocorrelation shows the relationship between VR Factory stock current value and its past values and can show if there is a momentum factor associated with investing in VR Factory Games.
Regressed Prices |
| Timeline |
Pair Trading with VR Factory
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 VR Factory 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 VR Factory will appreciate offsetting losses from the drop in the long position's value.Moving together with VRF Stock
The ability to find closely correlated positions to VR Factory could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace VR Factory 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 VR Factory - 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 VR Factory Games to buy it.
The correlation of VR Factory 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 VR Factory moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if VR Factory Games 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 VR Factory 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.Additional Tools for VRF Stock Analysis
When running VR Factory's price analysis, check to measure VR Factory's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy VR Factory is operating at the current time. Most of VR Factory's value examination focuses on studying past and present price action to predict the probability of VR Factory's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move VR Factory's price. Additionally, you may evaluate how the addition of VR Factory to your portfolios can decrease your overall portfolio volatility.