Rumo SA (Brazil) Market Value
| RAIL3 Stock | BRL 18.16 0.16 0.89% |
| Symbol | Rumo |
Rumo 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 Rumo 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 Rumo SA.
| 12/18/2024 |
| 03/18/2025 |
If you would invest 0.00 in Rumo SA on December 18, 2024 and sell it all today you would earn a total of 0.00 from holding Rumo SA or generate 0.0% return on investment in Rumo SA over 90 days. Rumo SA is related to or competes with Suzano SA, Localiza Rent, B3 SA, BRF SA, and CCR SA. Rumo S.A., through its subsidiaries, provides rail transportation services More
Rumo 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 Rumo 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 Rumo SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.23 | |||
| Value At Risk | (2.98) | |||
| Potential Upside | 2.8 |
Rumo SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Rumo SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Rumo SA's standard deviation. In reality, there are many statistical measures that can use Rumo SA historical prices to predict the future Rumo SA's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | 0.1107 | |||
| Treynor Ratio | (0.32) |
Rumo SA Backtested Returns
Currently, Rumo SA is very steady. Rumo SA maintains Sharpe Ratio (i.e., Efficiency) of close to zero, which implies the firm had a close to zero % return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Rumo SA, which you can use to evaluate the volatility of the company. Please check Rumo SA's Risk Adjusted Performance of (0.05), variance of 3.69, and Coefficient Of Variation of (1,602) to confirm if the risk estimate we provide is consistent with the expected return of 0.0172%. The company holds a Beta of 0.41, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Rumo SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Rumo SA is expected to be smaller as well. Rumo SA right now holds a risk of 1.82%. Please check Rumo SA total risk alpha, maximum drawdown, skewness, as well as the relationship between the treynor ratio and potential upside , to decide if Rumo SA will be following its historical price patterns.
Auto-correlation | 0.66 |
Good predictability
Rumo SA has good predictability. Overlapping area represents the amount of predictability between Rumo SA time series from 18th of December 2024 to 1st of February 2025 and 1st of February 2025 to 18th of March 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 Rumo SA price movement. The serial correlation of 0.66 indicates that around 66.0% of current Rumo SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.42 |
Rumo SA lagged returns against current returns
Autocorrelation, which is Rumo 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 Rumo SA's stock expected returns. We can calculate the autocorrelation of Rumo SA returns to help us make a trade decision. For example, suppose you find that Rumo 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 |
Rumo 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 Rumo SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rumo SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rumo SA stock over time.
Current vs Lagged Prices |
| Timeline |
Rumo SA Lagged Returns
When evaluating Rumo SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Rumo SA stock have on its future price. Rumo 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, Rumo SA autocorrelation shows the relationship between Rumo SA stock current value and its past values and can show if there is a momentum factor associated with investing in Rumo SA.
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 Rumo Stock Analysis
When running Rumo SA's price analysis, check to measure Rumo SA'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 Rumo SA is operating at the current time. Most of Rumo SA's value examination focuses on studying past and present price action to predict the probability of Rumo SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Rumo SA's price. Additionally, you may evaluate how the addition of Rumo SA to your portfolios can decrease your overall portfolio volatility.