AUTOMATIC SYSTEMS (Mauritius) Market Value
| ASL Stock | 75.00 0.00 0.00% |
| Symbol | AUTOMATIC |
AUTOMATIC SYSTEMS '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 AUTOMATIC SYSTEMS'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 AUTOMATIC SYSTEMS.
| 01/27/2025 |
| 02/26/2025 |
If you would invest 0.00 in AUTOMATIC SYSTEMS on January 27, 2025 and sell it all today you would earn a total of 0.00 from holding AUTOMATIC SYSTEMS LTD or generate 0.0% return on investment in AUTOMATIC SYSTEMS over 30 days.
AUTOMATIC SYSTEMS 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 AUTOMATIC SYSTEMS'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 AUTOMATIC SYSTEMS LTD upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.1 | |||
| Information Ratio | 0.1403 | |||
| Maximum Drawdown | 15.0 | |||
| Value At Risk | (2.44) | |||
| Potential Upside | 6.33 |
AUTOMATIC SYSTEMS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AUTOMATIC SYSTEMS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AUTOMATIC SYSTEMS's standard deviation. In reality, there are many statistical measures that can use AUTOMATIC SYSTEMS historical prices to predict the future AUTOMATIC SYSTEMS's volatility.| Risk Adjusted Performance | 0.1146 | |||
| Jensen Alpha | 0.358 | |||
| Total Risk Alpha | 0.3426 | |||
| Sortino Ratio | 0.0864 | |||
| Treynor Ratio | 1.13 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AUTOMATIC SYSTEMS'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.
AUTOMATIC SYSTEMS LTD Backtested Returns
AUTOMATIC SYSTEMS LTD secures Sharpe Ratio (or Efficiency) of -0.0964, which signifies that the company had a -0.0964 % return per unit of risk over the last 3 months. AUTOMATIC SYSTEMS LTD exposes twenty-five different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AUTOMATIC SYSTEMS's risk adjusted performance of 0.1146, and Mean Deviation of 1.36 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.32, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, AUTOMATIC SYSTEMS's returns are expected to increase less than the market. However, during the bear market, the loss of holding AUTOMATIC SYSTEMS is expected to be smaller as well. At this point, AUTOMATIC SYSTEMS LTD has a negative expected return of -0.18%. Please make sure to confirm AUTOMATIC SYSTEMS's treynor ratio, expected short fall, relative strength index, as well as the relationship between the potential upside and rate of daily change , to decide if AUTOMATIC SYSTEMS LTD performance from the past will be repeated at future time.
Auto-correlation | 0.76 |
Good predictability
AUTOMATIC SYSTEMS LTD has good predictability. Overlapping area represents the amount of predictability between AUTOMATIC SYSTEMS time series from 27th of January 2025 to 11th of February 2025 and 11th of February 2025 to 26th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AUTOMATIC SYSTEMS LTD price movement. The serial correlation of 0.76 indicates that around 76.0% of current AUTOMATIC SYSTEMS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
AUTOMATIC SYSTEMS LTD lagged returns against current returns
Autocorrelation, which is AUTOMATIC SYSTEMS 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 AUTOMATIC SYSTEMS's stock expected returns. We can calculate the autocorrelation of AUTOMATIC SYSTEMS returns to help us make a trade decision. For example, suppose you find that AUTOMATIC SYSTEMS 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 |
AUTOMATIC SYSTEMS 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 AUTOMATIC SYSTEMS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AUTOMATIC SYSTEMS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AUTOMATIC SYSTEMS stock over time.
Current vs Lagged Prices |
| Timeline |
AUTOMATIC SYSTEMS Lagged Returns
When evaluating AUTOMATIC SYSTEMS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AUTOMATIC SYSTEMS stock have on its future price. AUTOMATIC SYSTEMS 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, AUTOMATIC SYSTEMS autocorrelation shows the relationship between AUTOMATIC SYSTEMS stock current value and its past values and can show if there is a momentum factor associated with investing in AUTOMATIC SYSTEMS LTD.
Regressed Prices |
| Timeline |
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