Yancoal Australia (Germany) Market Value
| YA1 Stock | 3.70 0.02 0.54% |
| Symbol | Yancoal |
Yancoal Australia '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 Yancoal Australia'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 Yancoal Australia.
| 04/27/2024 |
| 12/23/2024 |
If you would invest 0.00 in Yancoal Australia on April 27, 2024 and sell it all today you would earn a total of 0.00 from holding Yancoal Australia or generate 0.0% return on investment in Yancoal Australia over 240 days. Yancoal Australia is related to or competes with CHINA SHENHUA, China Coal, Banpu PCL, CONSOL Energy, and HMS Bergbau. More
Yancoal Australia 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 Yancoal Australia'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 Yancoal Australia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.49 | |||
| Information Ratio | 0.0722 | |||
| Maximum Drawdown | 12.07 | |||
| Value At Risk | (3.62) | |||
| Potential Upside | 4.01 |
Yancoal Australia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Yancoal Australia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Yancoal Australia's standard deviation. In reality, there are many statistical measures that can use Yancoal Australia historical prices to predict the future Yancoal Australia's volatility.| Risk Adjusted Performance | 0.0745 | |||
| Jensen Alpha | 0.1905 | |||
| Total Risk Alpha | 0.1291 | |||
| Sortino Ratio | 0.0702 | |||
| Treynor Ratio | 0.6966 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Yancoal Australia's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Yancoal Australia Backtested Returns
Currently, Yancoal Australia is slightly risky. Yancoal Australia shows Sharpe Ratio of 0.0604, which attests that the company had a 0.0604% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Yancoal Australia, which you can use to evaluate the volatility of the company. Please check out Yancoal Australia's Downside Deviation of 2.49, market risk adjusted performance of 0.7066, and Mean Deviation of 1.8 to validate if the risk estimate we provide is consistent with the expected return of 0.14%. Yancoal Australia has a performance score of 4 on a scale of 0 to 100. The firm maintains a market beta of 0.28, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Yancoal Australia's returns are expected to increase less than the market. However, during the bear market, the loss of holding Yancoal Australia is expected to be smaller as well. Yancoal Australia right now maintains a risk of 2.4%. Please check out Yancoal Australia potential upside, skewness, and the relationship between the maximum drawdown and semi variance , to decide if Yancoal Australia will be following its historical returns.
Auto-correlation | 0.58 |
Modest predictability
Yancoal Australia has modest predictability. Overlapping area represents the amount of predictability between Yancoal Australia time series from 27th of April 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 Yancoal Australia price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Yancoal Australia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Yancoal Australia lagged returns against current returns
Autocorrelation, which is Yancoal Australia 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 Yancoal Australia's stock expected returns. We can calculate the autocorrelation of Yancoal Australia returns to help us make a trade decision. For example, suppose you find that Yancoal Australia 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 |
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Yancoal Australia 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 Yancoal Australia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Yancoal Australia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Yancoal Australia stock over time.
Current vs Lagged Prices |
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Yancoal Australia Lagged Returns
When evaluating Yancoal Australia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Yancoal Australia stock have on its future price. Yancoal Australia 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, Yancoal Australia autocorrelation shows the relationship between Yancoal Australia stock current value and its past values and can show if there is a momentum factor associated with investing in Yancoal Australia.
Regressed Prices |
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Thematic Opportunities
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Additional Tools for Yancoal Stock Analysis
When running Yancoal Australia's price analysis, check to measure Yancoal Australia'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 Yancoal Australia is operating at the current time. Most of Yancoal Australia's value examination focuses on studying past and present price action to predict the probability of Yancoal Australia's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Yancoal Australia's price. Additionally, you may evaluate how the addition of Yancoal Australia to your portfolios can decrease your overall portfolio volatility.