Ita Unibanco (Brazil) Market Value
| ITUB3 Stock | BRL 28.15 0.37 1.30% |
| Symbol | Ita |
Ita Unibanco '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 Ita Unibanco'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 Ita Unibanco.
| 10/04/2024 |
| 12/03/2024 |
If you would invest 0.00 in Ita Unibanco on October 4, 2024 and sell it all today you would earn a total of 0.00 from holding Ita Unibanco Holding or generate 0.0% return on investment in Ita Unibanco over 60 days. Ita Unibanco is related to or competes with Banco Bradesco, Engie Brasil, Itasa Investimentos, Porto Seguro, and WEG SA. Ita Unibanco Holding S.A. provides a range of financial products and services in Brazil and internationally More
Ita Unibanco 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 Ita Unibanco'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 Ita Unibanco Holding upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 5.93 | |||
| Value At Risk | (2.07) | |||
| Potential Upside | 1.37 |
Ita Unibanco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ita Unibanco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ita Unibanco's standard deviation. In reality, there are many statistical measures that can use Ita Unibanco historical prices to predict the future Ita Unibanco's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | (0.66) |
Ita Unibanco Holding Backtested Returns
Ita Unibanco Holding holds Efficiency (Sharpe) Ratio of -0.2, which attests that the entity had a -0.2% return per unit of risk over the last 3 months. Ita Unibanco Holding exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Ita Unibanco's Risk Adjusted Performance of (0.13), market risk adjusted performance of (0.65), and Standard Deviation of 1.05 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.29, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Ita Unibanco's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ita Unibanco is expected to be smaller as well. At this point, Ita Unibanco Holding has a negative expected return of -0.2%. Please make sure to check out Ita Unibanco's mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Ita Unibanco Holding performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.02 |
Virtually no predictability
Ita Unibanco Holding has virtually no predictability. Overlapping area represents the amount of predictability between Ita Unibanco time series from 4th of October 2024 to 3rd of November 2024 and 3rd of November 2024 to 3rd 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 Ita Unibanco Holding price movement. The serial correlation of 0.02 indicates that only 2.0% of current Ita Unibanco price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.88 |
Ita Unibanco Holding lagged returns against current returns
Autocorrelation, which is Ita Unibanco 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 Ita Unibanco's stock expected returns. We can calculate the autocorrelation of Ita Unibanco returns to help us make a trade decision. For example, suppose you find that Ita Unibanco 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 |
Ita Unibanco 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 Ita Unibanco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ita Unibanco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ita Unibanco stock over time.
Current vs Lagged Prices |
| Timeline |
Ita Unibanco Lagged Returns
When evaluating Ita Unibanco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ita Unibanco stock have on its future price. Ita Unibanco 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, Ita Unibanco autocorrelation shows the relationship between Ita Unibanco stock current value and its past values and can show if there is a momentum factor associated with investing in Ita Unibanco Holding.
Regressed Prices |
| Timeline |
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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.Additional Tools for Ita Stock Analysis
When running Ita Unibanco's price analysis, check to measure Ita Unibanco'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 Ita Unibanco is operating at the current time. Most of Ita Unibanco's value examination focuses on studying past and present price action to predict the probability of Ita Unibanco's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ita Unibanco's price. Additionally, you may evaluate how the addition of Ita Unibanco to your portfolios can decrease your overall portfolio volatility.