Xp (Brazil) Market Value
| XPBR31 Stock | 81.07 2.83 3.37% |
| Symbol | Xp |
Xp '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 Xp'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 Xp.
| 11/04/2024 |
| 12/04/2024 |
Xp 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 Xp'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 Xp Inc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 9.51 | |||
| Value At Risk | (4.35) | |||
| Potential Upside | 2.08 |
Xp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Xp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Xp's standard deviation. In reality, there are many statistical measures that can use Xp historical prices to predict the future Xp's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.38) | |||
| Total Risk Alpha | (0.64) | |||
| Treynor Ratio | (3.93) |
Xp Inc Backtested Returns
Xp Inc retains Efficiency (Sharpe Ratio) of -0.18, which attests that the company had a -0.18% return per unit of price deviation over the last 3 months. Xp exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Xp's information ratio of (0.23), and Market Risk Adjusted Performance of (3.92) to validate the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.0933, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Xp's returns are expected to increase less than the market. However, during the bear market, the loss of holding Xp is expected to be smaller as well. At this point, Xp Inc has a negative expected return of -0.37%. Please make sure to check out Xp's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Xp Inc performance from the past will be repeated at future time.
Auto-correlation | 0.81 |
Very good predictability
Xp Inc has very good predictability. Overlapping area represents the amount of predictability between Xp time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 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 Xp Inc price movement. The serial correlation of 0.81 indicates that around 81.0% of current Xp price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.81 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 26.6 |
Xp Inc lagged returns against current returns
Autocorrelation, which is Xp 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 Xp's stock expected returns. We can calculate the autocorrelation of Xp returns to help us make a trade decision. For example, suppose you find that Xp 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 |
Xp 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 Xp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Xp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Xp stock over time.
Current vs Lagged Prices |
| Timeline |
Xp Lagged Returns
When evaluating Xp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Xp stock have on its future price. Xp 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, Xp autocorrelation shows the relationship between Xp stock current value and its past values and can show if there is a momentum factor associated with investing in Xp Inc.
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 Xp Stock
When determining whether Xp Inc is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Xp Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Xp Inc Stock. Highlighted below are key reports to facilitate an investment decision about Xp Inc Stock:Check out Xp Correlation, Xp Volatility and Xp Alpha and Beta module to complement your research on Xp. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.
Xp 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.