ASOS PLC (Germany) Market Value
DYQ Stock | EUR 4.43 0.52 13.30% |
Symbol | ASOS |
ASOS PLC '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 ASOS PLC'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 ASOS PLC.
02/27/2024 |
| 03/28/2024 |
ASOS PLC 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 ASOS PLC'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 ASOS PLC upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.1) | |||
Maximum Drawdown | 10.89 | |||
Value At Risk | (2.72) | |||
Potential Upside | 2.89 |
ASOS PLC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASOS PLC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASOS PLC's standard deviation. In reality, there are many statistical measures that can use ASOS PLC historical prices to predict the future ASOS PLC's volatility.Risk Adjusted Performance | (0.02) | |||
Jensen Alpha | (0.17) | |||
Total Risk Alpha | (0.69) | |||
Treynor Ratio | (0.34) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ASOS PLC'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.
ASOS PLC Backtested Returns
ASOS PLC secures Sharpe Ratio (or Efficiency) of -0.0468, which signifies that the company had a -0.0468% return per unit of risk over the last 3 months. ASOS PLC exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ASOS PLC's mean deviation of 1.6, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.36, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ASOS PLC's returns are expected to increase less than the market. However, during the bear market, the loss of holding ASOS PLC is expected to be smaller as well. ASOS PLC has an expected return of -0.12%. Please make sure to confirm ASOS PLC treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if ASOS PLC performance from the past will be repeated at future time.
Auto-correlation | -0.62 |
Very good reverse predictability
ASOS PLC has very good reverse predictability. Overlapping area represents the amount of predictability between ASOS PLC time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 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 ASOS PLC price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current ASOS PLC price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.62 | |
Spearman Rank Test | -0.15 | |
Residual Average | 0.0 | |
Price Variance | 0.04 |
ASOS PLC lagged returns against current returns
Autocorrelation, which is ASOS PLC 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 ASOS PLC's stock expected returns. We can calculate the autocorrelation of ASOS PLC returns to help us make a trade decision. For example, suppose you find that ASOS PLC 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 |
ASOS PLC 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 ASOS PLC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASOS PLC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASOS PLC stock over time.
Current vs Lagged Prices |
Timeline |
ASOS PLC Lagged Returns
When evaluating ASOS PLC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASOS PLC stock have on its future price. ASOS PLC 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, ASOS PLC autocorrelation shows the relationship between ASOS PLC stock current value and its past values and can show if there is a momentum factor associated with investing in ASOS PLC.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards ASOS PLC in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, ASOS PLC's short interest history, or implied volatility extrapolated from ASOS PLC options trading.
Pair Trading with ASOS PLC
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if ASOS PLC position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ASOS PLC will appreciate offsetting losses from the drop in the long position's value.Moving against ASOS Stock
0.69 | MSF | Microsoft | PairCorr |
0.69 | MSF | Microsoft | PairCorr |
0.69 | MSF | Microsoft | PairCorr |
0.69 | MSF | Microsoft | PairCorr |
0.68 | OIXA | Orix Corp Ads | PairCorr |
The ability to find closely correlated positions to ASOS PLC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ASOS PLC when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back ASOS PLC - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling ASOS PLC to buy it.
The correlation of ASOS PLC is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as ASOS PLC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ASOS PLC moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for ASOS PLC can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out ASOS PLC Correlation, ASOS PLC Volatility and ASOS PLC Alpha and Beta module to complement your research on ASOS PLC. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Complementary Tools for ASOS Stock analysis
When running ASOS PLC's price analysis, check to measure ASOS PLC'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 ASOS PLC is operating at the current time. Most of ASOS PLC's value examination focuses on studying past and present price action to predict the probability of ASOS PLC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASOS PLC's price. Additionally, you may evaluate how the addition of ASOS PLC to your portfolios can decrease your overall portfolio volatility.
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Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
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ASOS PLC 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.