Alfa Holdings (Brazil) Market Value
| RPAD5 Preferred Stock | BRL 9.09 0.05 0.55% |
| Symbol | Alfa |
Alfa Holdings '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 Alfa Holdings' preferred 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 Alfa Holdings.
| 12/24/2022 |
| 12/13/2024 |
If you would invest 0.00 in Alfa Holdings on December 24, 2022 and sell it all today you would earn a total of 0.00 from holding Alfa Holdings SA or generate 0.0% return on investment in Alfa Holdings over 720 days. Alfa Holdings is related to or competes with Ita Unibanco, Banco Do, Itasa Investimentos, Petrleo Brasileiro, and Vale SA. Alfa Holdings S.A. provides private banking services in Brazil More
Alfa Holdings 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 Alfa Holdings' preferred 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 Alfa Holdings SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0) | |||
| Maximum Drawdown | 21.34 | |||
| Value At Risk | (1.12) | |||
| Potential Upside | 0.5531 |
Alfa Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alfa Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alfa Holdings' standard deviation. In reality, there are many statistical measures that can use Alfa Holdings historical prices to predict the future Alfa Holdings' volatility.| Risk Adjusted Performance | 0.0264 | |||
| Jensen Alpha | 0.1624 | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | (0.11) |
Alfa Holdings SA Backtested Returns
Currently, Alfa Holdings SA is slightly risky. Alfa Holdings SA secures Sharpe Ratio (or Efficiency) of 0.0251, which signifies that the company had a 0.0251% return per unit of standard deviation over the last 3 months. We have found twenty-one technical indicators for Alfa Holdings SA, which you can use to evaluate the volatility of the firm. Please confirm Alfa Holdings' risk adjusted performance of 0.0264, and Mean Deviation of 1.04 to double-check if the risk estimate we provide is consistent with the expected return of 0.0976%. Alfa Holdings has a performance score of 1 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.76, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Alfa Holdings are expected to decrease at a much lower rate. During the bear market, Alfa Holdings is likely to outperform the market. Alfa Holdings SA right now shows a risk of 3.89%. Please confirm Alfa Holdings SA jensen alpha, treynor ratio, and the relationship between the information ratio and total risk alpha , to decide if Alfa Holdings SA will be following its price patterns.
Auto-correlation | -0.06 |
Very weak reverse predictability
Alfa Holdings SA has very weak reverse predictability. Overlapping area represents the amount of predictability between Alfa Holdings time series from 24th of December 2022 to 19th of December 2023 and 19th of December 2023 to 13th 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 Alfa Holdings SA price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Alfa Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
Alfa Holdings SA lagged returns against current returns
Autocorrelation, which is Alfa Holdings preferred 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 Alfa Holdings' preferred stock expected returns. We can calculate the autocorrelation of Alfa Holdings returns to help us make a trade decision. For example, suppose you find that Alfa Holdings has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Alfa Holdings 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 Alfa Holdings preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alfa Holdings preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alfa Holdings preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Alfa Holdings Lagged Returns
When evaluating Alfa Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alfa Holdings preferred stock have on its future price. Alfa Holdings 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, Alfa Holdings autocorrelation shows the relationship between Alfa Holdings preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Alfa Holdings 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 Alfa Preferred Stock Analysis
When running Alfa Holdings' price analysis, check to measure Alfa Holdings' 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 Alfa Holdings is operating at the current time. Most of Alfa Holdings' value examination focuses on studying past and present price action to predict the probability of Alfa Holdings' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alfa Holdings' price. Additionally, you may evaluate how the addition of Alfa Holdings to your portfolios can decrease your overall portfolio volatility.