Tmx Group Limited Stock Market Value
| X Stock | CAD 44.40 0.16 0.36% |
| Symbol | TMX |
TMX Group Limited Price To Book Ratio
TMX Group '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 TMX Group'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 TMX Group.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in TMX Group on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding TMX Group Limited or generate 0.0% return on investment in TMX Group over 30 days. TMX Group is related to or competes with Storage Vault, Element Fleet, Pembina Pipeline, Orbit Garant, AKITA Drilling, HOME DEPOT, and Eddy Smart. TMX Group Limited operates exchanges, markets, and clearinghouses primarily for capital markets in Canada and internatio... More
TMX Group 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 TMX Group'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 TMX Group Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8714 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.19 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 1.5 |
TMX Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TMX Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TMX Group's standard deviation. In reality, there are many statistical measures that can use TMX Group historical prices to predict the future TMX Group's volatility.| Risk Adjusted Performance | 0.0874 | |||
| Jensen Alpha | 0.0601 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.3822 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TMX Group'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.
TMX Group Limited Backtested Returns
As of now, TMX Stock is very steady. TMX Group Limited owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0886, which indicates the firm had a 0.0886% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for TMX Group Limited, which you can use to evaluate the volatility of the company. Please validate TMX Group's Coefficient Of Variation of 887.14, risk adjusted performance of 0.0874, and Semi Deviation of 0.7388 to confirm if the risk estimate we provide is consistent with the expected return of 0.0736%. TMX Group has a performance score of 6 on a scale of 0 to 100. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, TMX Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding TMX Group is expected to be smaller as well. TMX Group Limited presently has a risk of 0.83%. Please validate TMX Group maximum drawdown, expected short fall, as well as the relationship between the Expected Short fall and rate of daily change , to decide if TMX Group will be following its existing price patterns.
Auto-correlation | 0.76 |
Good predictability
TMX Group Limited has good predictability. Overlapping area represents the amount of predictability between TMX Group time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 TMX Group Limited price movement. The serial correlation of 0.76 indicates that around 76.0% of current TMX Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
TMX Group Limited lagged returns against current returns
Autocorrelation, which is TMX Group 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 TMX Group's stock expected returns. We can calculate the autocorrelation of TMX Group returns to help us make a trade decision. For example, suppose you find that TMX Group 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 |
TMX Group 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 TMX Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TMX Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TMX Group stock over time.
Current vs Lagged Prices |
| Timeline |
TMX Group Lagged Returns
When evaluating TMX Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TMX Group stock have on its future price. TMX Group 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, TMX Group autocorrelation shows the relationship between TMX Group stock current value and its past values and can show if there is a momentum factor associated with investing in TMX Group Limited.
Regressed Prices |
| Timeline |
Pair Trading with TMX Group
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 TMX Group 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 TMX Group will appreciate offsetting losses from the drop in the long position's value.Moving together with TMX Stock
Moving against TMX Stock
The ability to find closely correlated positions to TMX Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace TMX Group 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 TMX Group - 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 TMX Group Limited to buy it.
The correlation of TMX Group 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 TMX Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TMX Group Limited 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 TMX Group 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.Other Information on Investing in TMX Stock
TMX Group financial ratios help investors to determine whether TMX 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 TMX with respect to the benefits of owning TMX Group security.