RONESANS GAYRIMENKUL (Turkey) Market Value
| RGYAS Stock | 120.90 1.20 0.98% |
| Symbol | RONESANS |
RONESANS GAYRIMENKUL '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 RONESANS GAYRIMENKUL'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 RONESANS GAYRIMENKUL.
| 04/27/2024 |
| 12/23/2024 |
If you would invest 0.00 in RONESANS GAYRIMENKUL on April 27, 2024 and sell it all today you would earn a total of 0.00 from holding RONESANS GAYRIMENKUL YAT or generate 0.0% return on investment in RONESANS GAYRIMENKUL over 240 days.
RONESANS GAYRIMENKUL 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 RONESANS GAYRIMENKUL'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 RONESANS GAYRIMENKUL YAT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.91 | |||
| Information Ratio | 0.0556 | |||
| Maximum Drawdown | 9.53 | |||
| Value At Risk | (2.73) | |||
| Potential Upside | 3.27 |
RONESANS GAYRIMENKUL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for RONESANS GAYRIMENKUL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as RONESANS GAYRIMENKUL's standard deviation. In reality, there are many statistical measures that can use RONESANS GAYRIMENKUL historical prices to predict the future RONESANS GAYRIMENKUL's volatility.| Risk Adjusted Performance | 0.0639 | |||
| Jensen Alpha | 0.1081 | |||
| Total Risk Alpha | 0.0716 | |||
| Sortino Ratio | 0.0522 | |||
| Treynor Ratio | 0.1979 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of RONESANS GAYRIMENKUL'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.
RONESANS GAYRIMENKUL YAT Backtested Returns
RONESANS GAYRIMENKUL is very steady at the moment. RONESANS GAYRIMENKUL YAT maintains Sharpe Ratio (i.e., Efficiency) of 0.0657, which implies the firm had a 0.0657% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for RONESANS GAYRIMENKUL YAT, which you can use to evaluate the volatility of the company. Please check RONESANS GAYRIMENKUL's Risk Adjusted Performance of 0.0639, semi deviation of 1.74, and Market Risk Adjusted Performance of 0.2079 to confirm if the risk estimate we provide is consistent with the expected return of 0.12%. RONESANS GAYRIMENKUL has a performance score of 5 on a scale of 0 to 100. The company holds a Beta of 0.62, which implies possible diversification benefits within a given portfolio. As returns on the market increase, RONESANS GAYRIMENKUL's returns are expected to increase less than the market. However, during the bear market, the loss of holding RONESANS GAYRIMENKUL is expected to be smaller as well. RONESANS GAYRIMENKUL YAT currently holds a risk of 1.81%. Please check RONESANS GAYRIMENKUL YAT value at risk, as well as the relationship between the skewness and day median price , to decide if RONESANS GAYRIMENKUL YAT will be following its historical price patterns.
Auto-correlation | -0.84 |
Excellent reverse predictability
RONESANS GAYRIMENKUL YAT has excellent reverse predictability. Overlapping area represents the amount of predictability between RONESANS GAYRIMENKUL time series from 27th of April 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 RONESANS GAYRIMENKUL YAT price movement. The serial correlation of -0.84 indicates that around 84.0% of current RONESANS GAYRIMENKUL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.84 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 64.31 |
RONESANS GAYRIMENKUL YAT lagged returns against current returns
Autocorrelation, which is RONESANS GAYRIMENKUL 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 RONESANS GAYRIMENKUL's stock expected returns. We can calculate the autocorrelation of RONESANS GAYRIMENKUL returns to help us make a trade decision. For example, suppose you find that RONESANS GAYRIMENKUL 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 |
RONESANS GAYRIMENKUL 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 RONESANS GAYRIMENKUL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if RONESANS GAYRIMENKUL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in RONESANS GAYRIMENKUL stock over time.
Current vs Lagged Prices |
| Timeline |
RONESANS GAYRIMENKUL Lagged Returns
When evaluating RONESANS GAYRIMENKUL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of RONESANS GAYRIMENKUL stock have on its future price. RONESANS GAYRIMENKUL 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, RONESANS GAYRIMENKUL autocorrelation shows the relationship between RONESANS GAYRIMENKUL stock current value and its past values and can show if there is a momentum factor associated with investing in RONESANS GAYRIMENKUL YAT.
Regressed Prices |
| Timeline |