Iproeb SA (Romania) Market Value
| IPRU Stock | 1.33 0.05 3.62% |
| Symbol | Iproeb |
Iproeb SA '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 Iproeb SA'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 Iproeb SA.
| 06/29/2024 |
| 12/26/2024 |
If you would invest 0.00 in Iproeb SA on June 29, 2024 and sell it all today you would earn a total of 0.00 from holding Iproeb SA or generate 0.0% return on investment in Iproeb SA over 180 days.
Iproeb SA 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 Iproeb SA'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 Iproeb SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 13.62 | |||
| Value At Risk | (3.70) | |||
| Potential Upside | 2.42 |
Iproeb SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Iproeb SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Iproeb SA's standard deviation. In reality, there are many statistical measures that can use Iproeb SA historical prices to predict the future Iproeb SA's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.33) | |||
| Total Risk Alpha | (0.45) | |||
| Treynor Ratio | 1.0 |
Iproeb SA Backtested Returns
Iproeb SA holds Efficiency (Sharpe) Ratio of -0.16, which attests that the entity had a -0.16% return per unit of risk over the last 3 months. Iproeb SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Iproeb SA's Market Risk Adjusted Performance of 1.01, standard deviation of 2.34, and Risk Adjusted Performance of (0.11) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.34, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Iproeb SA are expected to decrease at a much lower rate. During the bear market, Iproeb SA is likely to outperform the market. At this point, Iproeb SA has a negative expected return of -0.38%. Please make sure to check out Iproeb SA's potential upside, kurtosis, and the relationship between the value at risk and skewness , to decide if Iproeb SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.27 |
Weak reverse predictability
Iproeb SA has weak reverse predictability. Overlapping area represents the amount of predictability between Iproeb SA time series from 29th of June 2024 to 27th of September 2024 and 27th of September 2024 to 26th of December 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 Iproeb SA price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Iproeb SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Iproeb SA lagged returns against current returns
Autocorrelation, which is Iproeb SA 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 Iproeb SA's stock expected returns. We can calculate the autocorrelation of Iproeb SA returns to help us make a trade decision. For example, suppose you find that Iproeb SA 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 |
Iproeb SA 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 Iproeb SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Iproeb SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Iproeb SA stock over time.
Current vs Lagged Prices |
| Timeline |
Iproeb SA Lagged Returns
When evaluating Iproeb SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Iproeb SA stock have on its future price. Iproeb SA 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, Iproeb SA autocorrelation shows the relationship between Iproeb SA stock current value and its past values and can show if there is a momentum factor associated with investing in Iproeb SA.
Regressed Prices |
| Timeline |
Pair Trading with Iproeb SA
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 Iproeb SA 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 Iproeb SA will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Iproeb SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Iproeb SA 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 Iproeb SA - 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 Iproeb SA to buy it.
The correlation of Iproeb SA 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 Iproeb SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Iproeb 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 Iproeb SA 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.