Transurban (Australia) Market Value
| TCL Stock | 12.80 0.18 1.39% |
| Symbol | Transurban |
Transurban '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 Transurban'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 Transurban.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Transurban on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Transurban Group or generate 0.0% return on investment in Transurban over 720 days. Transurban is related to or competes with Ramsay Health, Sonic Healthcare, Regis Healthcare, Fisher Paykel, G8 Education, Global Health, and Gold Road. Transurban is entity of Australia. It is traded as Stock on AU exchange. More
Transurban 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 Transurban'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 Transurban Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 4.93 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.43 |
Transurban Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transurban's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transurban's standard deviation. In reality, there are many statistical measures that can use Transurban historical prices to predict the future Transurban's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (0.36) |
Transurban Group Backtested Returns
Transurban Group owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0951, which indicates the firm had a -0.0951% return per unit of risk over the last 3 months. Transurban Group exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Transurban's Variance of 0.8842, coefficient of variation of (1,148), and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Transurban's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transurban is expected to be smaller as well. At this point, Transurban Group has a negative expected return of -0.0899%. Please make sure to validate Transurban's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Transurban Group performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.58 |
Good reverse predictability
Transurban Group has good reverse predictability. Overlapping area represents the amount of predictability between Transurban time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Transurban Group price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Transurban price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
Transurban Group lagged returns against current returns
Autocorrelation, which is Transurban 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 Transurban's stock expected returns. We can calculate the autocorrelation of Transurban returns to help us make a trade decision. For example, suppose you find that Transurban 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 |
Transurban 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 Transurban stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transurban stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transurban stock over time.
Current vs Lagged Prices |
| Timeline |
Transurban Lagged Returns
When evaluating Transurban's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transurban stock have on its future price. Transurban 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, Transurban autocorrelation shows the relationship between Transurban stock current value and its past values and can show if there is a momentum factor associated with investing in Transurban Group.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Transurban Stock Analysis
When running Transurban's price analysis, check to measure Transurban'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 Transurban is operating at the current time. Most of Transurban's value examination focuses on studying past and present price action to predict the probability of Transurban's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Transurban's price. Additionally, you may evaluate how the addition of Transurban to your portfolios can decrease your overall portfolio volatility.