Companhia (Brazil) Market Value
| SAPR11 Stock | BRL 31.55 0.30 0.96% |
| Symbol | Companhia |
Companhia '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 Companhia'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 Companhia.
| 12/15/2022 |
| 12/04/2024 |
If you would invest 0.00 in Companhia on December 15, 2022 and sell it all today you would earn a total of 0.00 from holding Companhia de Saneamento or generate 0.0% return on investment in Companhia over 720 days. Companhia is related to or competes with BB Seguridade, Transmissora Aliana, Alupar Investimento, and Banco Do. Companhia de Saneamento do Paran - SANEPAR provides sanitation services in Brazil More
Companhia 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 Companhia'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 Companhia de Saneamento upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.59 | |||
| Information Ratio | 0.0269 | |||
| Maximum Drawdown | 9.37 | |||
| Value At Risk | (2.82) | |||
| Potential Upside | 3.31 |
Companhia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Companhia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Companhia's standard deviation. In reality, there are many statistical measures that can use Companhia historical prices to predict the future Companhia's volatility.| Risk Adjusted Performance | 0.075 | |||
| Jensen Alpha | 0.1426 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.03 | |||
| Treynor Ratio | 1.85 |
Companhia de Saneamento Backtested Returns
At this point, Companhia is very steady. Companhia de Saneamento secures Sharpe Ratio (or Efficiency) of 0.0596, which signifies that the company had a 0.0596% return per unit of risk over the last 3 months. We have found thirty technical indicators for Companhia de Saneamento, which you can use to evaluate the volatility of the firm. Please confirm Companhia's Downside Deviation of 1.59, mean deviation of 1.27, and Risk Adjusted Performance of 0.075 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%. Companhia has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0816, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Companhia's returns are expected to increase less than the market. However, during the bear market, the loss of holding Companhia is expected to be smaller as well. Companhia de Saneamento right now shows a risk of 1.77%. Please confirm Companhia de Saneamento jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if Companhia de Saneamento will be following its price patterns.
Auto-correlation | 0.32 |
Below average predictability
Companhia de Saneamento has below average predictability. Overlapping area represents the amount of predictability between Companhia time series from 15th of December 2022 to 10th of December 2023 and 10th of December 2023 to 4th 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 Companhia de Saneamento price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Companhia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 2.63 |
Companhia de Saneamento lagged returns against current returns
Autocorrelation, which is Companhia 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 Companhia's stock expected returns. We can calculate the autocorrelation of Companhia returns to help us make a trade decision. For example, suppose you find that Companhia 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 |
Companhia 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 Companhia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Companhia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Companhia stock over time.
Current vs Lagged Prices |
| Timeline |
Companhia Lagged Returns
When evaluating Companhia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Companhia stock have on its future price. Companhia 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, Companhia autocorrelation shows the relationship between Companhia stock current value and its past values and can show if there is a momentum factor associated with investing in Companhia de Saneamento.
Regressed Prices |
| Timeline |
Also Currently Popular
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 Information and Resources on Investing in Companhia Stock
When determining whether Companhia de Saneamento is a strong investment it is important to analyze Companhia's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Companhia's future performance. For an informed investment choice regarding Companhia Stock, refer to the following important reports:Check out Companhia Correlation, Companhia Volatility and Companhia Alpha and Beta module to complement your research on Companhia. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
Companhia technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.