CarrefourSA Carrefour (Turkey) Market Value
| CRFSA Stock | TRY 113.60 1.40 1.22% |
| Symbol | CarrefourSA |
CarrefourSA Carrefour '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 CarrefourSA Carrefour'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 CarrefourSA Carrefour.
| 05/09/2024 |
| 06/08/2024 |
If you would invest 0.00 in CarrefourSA Carrefour on May 9, 2024 and sell it all today you would earn a total of 0.00 from holding CarrefourSA Carrefour Sabanci or generate 0.0% return on investment in CarrefourSA Carrefour over 30 days. CarrefourSA Carrefour is related to or competes with Turkiye Is, Yapi Ve, Turkiye Vakiflar, ENKA Insaat, Akbank TAS, Turkiye Halk, and Turkiye Garanti. CarrefourSA Carrefour Sabanci Ticaret Merkezi A.S More
CarrefourSA Carrefour 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 CarrefourSA Carrefour'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 CarrefourSA Carrefour Sabanci upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 17.42 | |||
| Value At Risk | (4.41) | |||
| Potential Upside | 5.69 |
CarrefourSA Carrefour Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CarrefourSA Carrefour's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CarrefourSA Carrefour's standard deviation. In reality, there are many statistical measures that can use CarrefourSA Carrefour historical prices to predict the future CarrefourSA Carrefour's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (0.29) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CarrefourSA Carrefour'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.
CarrefourSA Carrefour Backtested Returns
CarrefourSA Carrefour secures Sharpe Ratio (or Efficiency) of -0.19, which signifies that the company had a -0.19% return per unit of risk over the last 3 months. CarrefourSA Carrefour Sabanci exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CarrefourSA Carrefour's Standard Deviation of 3.24, mean deviation of 2.36, and Risk Adjusted Performance of (0.06) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.33, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, CarrefourSA Carrefour will likely underperform. At this point, CarrefourSA Carrefour has a negative expected return of -0.51%. Please make sure to confirm CarrefourSA Carrefour's kurtosis, and the relationship between the maximum drawdown and rate of daily change , to decide if CarrefourSA Carrefour performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.10 |
Insignificant predictability
CarrefourSA Carrefour Sabanci has insignificant predictability. Overlapping area represents the amount of predictability between CarrefourSA Carrefour time series from 9th of May 2024 to 24th of May 2024 and 24th of May 2024 to 8th of June 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 CarrefourSA Carrefour price movement. The serial correlation of 0.1 indicates that less than 10.0% of current CarrefourSA Carrefour price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 41.06 |
CarrefourSA Carrefour lagged returns against current returns
Autocorrelation, which is CarrefourSA Carrefour 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 CarrefourSA Carrefour's stock expected returns. We can calculate the autocorrelation of CarrefourSA Carrefour returns to help us make a trade decision. For example, suppose you find that CarrefourSA Carrefour 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 |
CarrefourSA Carrefour 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 CarrefourSA Carrefour stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CarrefourSA Carrefour stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CarrefourSA Carrefour stock over time.
Current vs Lagged Prices |
| Timeline |
CarrefourSA Carrefour Lagged Returns
When evaluating CarrefourSA Carrefour's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CarrefourSA Carrefour stock have on its future price. CarrefourSA Carrefour 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, CarrefourSA Carrefour autocorrelation shows the relationship between CarrefourSA Carrefour stock current value and its past values and can show if there is a momentum factor associated with investing in CarrefourSA Carrefour Sabanci.
Regressed Prices |
| Timeline |
Pair Trading with CarrefourSA Carrefour
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 CarrefourSA Carrefour 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 CarrefourSA Carrefour will appreciate offsetting losses from the drop in the long position's value.Moving against CarrefourSA Stock
| 0.84 | VAKBN | Turkiye Vakiflar Bankasi | PairCorr |
| 0.83 | ISCTR | Turkiye Is Bankasi | PairCorr |
| 0.77 | SAHOL | Haci Omer Sabanci | PairCorr |
| 0.76 | HALKB | Turkiye Halk Bankasi | PairCorr |
| 0.74 | ISBTR | Turkiye Is Bankasi | PairCorr |
The ability to find closely correlated positions to CarrefourSA Carrefour could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CarrefourSA Carrefour 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 CarrefourSA Carrefour - 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 CarrefourSA Carrefour Sabanci to buy it.
The correlation of CarrefourSA Carrefour 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 CarrefourSA Carrefour moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CarrefourSA Carrefour 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 CarrefourSA Carrefour 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.Other Information on Investing in CarrefourSA Stock
CarrefourSA Carrefour financial ratios help investors to determine whether CarrefourSA Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in CarrefourSA with respect to the benefits of owning CarrefourSA Carrefour security.