Ultrapar Participaes (Brazil) Market Value
| UGPA3 Stock | BRL 18.27 0.71 4.04% |
| Symbol | Ultrapar |
Ultrapar Participaes '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 Ultrapar Participaes' 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 Ultrapar Participaes.
| 09/11/2024 |
| 12/10/2024 |
If you would invest 0.00 in Ultrapar Participaes on September 11, 2024 and sell it all today you would earn a total of 0.00 from holding Ultrapar Participaes SA or generate 0.0% return on investment in Ultrapar Participaes over 90 days. Ultrapar Participaes is related to or competes with Raia Drogasil, BRF SA, CCR SA, and Cosan SA. Ultrapar Participaes S.A. engages in the gas distribution, fuel distribution, chemicals, storage, and drugstores busines... More
Ultrapar Participaes 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 Ultrapar Participaes' 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 Ultrapar Participaes SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 10.35 | |||
| Value At Risk | (3.66) | |||
| Potential Upside | 3.27 |
Ultrapar Participaes Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ultrapar Participaes' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ultrapar Participaes' standard deviation. In reality, there are many statistical measures that can use Ultrapar Participaes historical prices to predict the future Ultrapar Participaes' volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.36) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | (3.17) |
Ultrapar Participaes Backtested Returns
Ultrapar Participaes owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.16, which indicates the firm had a -0.16% return per unit of risk over the last 3 months. Ultrapar Participaes SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Ultrapar Participaes' Variance of 4.52, risk adjusted performance of (0.11), and Coefficient Of Variation of (627.03) to confirm the risk estimate we provide. The entity has a beta of 0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Ultrapar Participaes' returns are expected to increase less than the market. However, during the bear market, the loss of holding Ultrapar Participaes is expected to be smaller as well. At this point, Ultrapar Participaes has a negative expected return of -0.34%. Please make sure to validate Ultrapar Participaes' kurtosis, daily balance of power, and the relationship between the skewness and accumulation distribution , to decide if Ultrapar Participaes performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.70 |
Good predictability
Ultrapar Participaes SA has good predictability. Overlapping area represents the amount of predictability between Ultrapar Participaes time series from 11th of September 2024 to 26th of October 2024 and 26th of October 2024 to 10th 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 Ultrapar Participaes price movement. The serial correlation of 0.7 indicates that around 70.0% of current Ultrapar Participaes price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 2.04 |
Ultrapar Participaes lagged returns against current returns
Autocorrelation, which is Ultrapar Participaes 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 Ultrapar Participaes' stock expected returns. We can calculate the autocorrelation of Ultrapar Participaes returns to help us make a trade decision. For example, suppose you find that Ultrapar Participaes 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 |
Ultrapar Participaes 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 Ultrapar Participaes stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ultrapar Participaes stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ultrapar Participaes stock over time.
Current vs Lagged Prices |
| Timeline |
Ultrapar Participaes Lagged Returns
When evaluating Ultrapar Participaes' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ultrapar Participaes stock have on its future price. Ultrapar Participaes 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, Ultrapar Participaes autocorrelation shows the relationship between Ultrapar Participaes stock current value and its past values and can show if there is a momentum factor associated with investing in Ultrapar Participaes 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 Ultrapar Stock Analysis
When running Ultrapar Participaes' price analysis, check to measure Ultrapar Participaes' 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 Ultrapar Participaes is operating at the current time. Most of Ultrapar Participaes' value examination focuses on studying past and present price action to predict the probability of Ultrapar Participaes' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ultrapar Participaes' price. Additionally, you may evaluate how the addition of Ultrapar Participaes to your portfolios can decrease your overall portfolio volatility.