Performa Real (Brazil) Market Value
| PEMA11 Fund | 30.00 0.00 0.00% |
| Symbol | Performa |
Performa Real '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 Performa Real's fund 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 Performa Real.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Performa Real on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Performa Real Estate or generate 0.0% return on investment in Performa Real over 30 days.
Performa Real 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 Performa Real's fund 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 Performa Real Estate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 9.01 | |||
| Information Ratio | 0.0232 | |||
| Maximum Drawdown | 36.5 | |||
| Value At Risk | (6.06) | |||
| Potential Upside | 9.7 |
Performa Real Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Performa Real's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Performa Real's standard deviation. In reality, there are many statistical measures that can use Performa Real historical prices to predict the future Performa Real's volatility.| Risk Adjusted Performance | 0.0398 | |||
| Jensen Alpha | 0.1737 | |||
| Total Risk Alpha | (0.42) | |||
| Sortino Ratio | 0.0129 | |||
| Treynor Ratio | 0.5691 |
Performa Real Estate Backtested Returns
Performa Real appears to be not too volatile, given 3 months investment horizon. Performa Real Estate maintains Sharpe Ratio (i.e., Efficiency) of 0.0424, which implies the entity had a 0.0424% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Performa Real Estate, which you can use to evaluate the volatility of the fund. Please evaluate Performa Real's Semi Deviation of 3.92, coefficient of variation of 2320.4, and Risk Adjusted Performance of 0.0398 to confirm if our risk estimates are consistent with your expectations. The fund holds a Beta of 0.36, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Performa Real's returns are expected to increase less than the market. However, during the bear market, the loss of holding Performa Real is expected to be smaller as well.
Auto-correlation | Huge |
Perfect predictability
Performa Real Estate has perfect predictability. Overlapping area represents the amount of predictability between Performa Real time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Performa Real Estate price movement. The serial correlation of 9.223372036854776E16 indicates that 9.223372036854776E16% of current Performa Real price fluctuation can be explain by its past prices.
| Correlation Coefficient | 92233.7 T | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Performa Real Estate lagged returns against current returns
Autocorrelation, which is Performa Real fund'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 Performa Real's fund expected returns. We can calculate the autocorrelation of Performa Real returns to help us make a trade decision. For example, suppose you find that Performa Real has exhibited high autocorrelation historically, and you observe that the fund 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 |
Performa Real 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 Performa Real fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Performa Real fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Performa Real fund over time.
Current vs Lagged Prices |
| Timeline |
Performa Real Lagged Returns
When evaluating Performa Real's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Performa Real fund have on its future price. Performa Real 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, Performa Real autocorrelation shows the relationship between Performa Real fund current value and its past values and can show if there is a momentum factor associated with investing in Performa Real Estate.
Regressed Prices |
| Timeline |
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