Itasa Investimentos (Brazil) Market Value
| ITSA4 Preferred Stock | BRL 9.71 0.15 1.57% |
| Symbol | Itasa |
Itasa Investimentos '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 Itasa Investimentos' preferred 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 Itasa Investimentos.
| 12/05/2023 |
| 05/03/2024 |
If you would invest 0.00 in Itasa Investimentos on December 5, 2023 and sell it all today you would earn a total of 0.00 from holding Itasa Investimentos or generate 0.0% return on investment in Itasa Investimentos over 150 days. Itasa Investimentos is related to or competes with Banco Do, Petrleo Brasileiro, and Vale SA. Itasa S.A., through its subsidiaries, operates in the financial and industrial markets in Brazil and internationally More
Itasa Investimentos 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 Itasa Investimentos' preferred 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 Itasa Investimentos upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 7.92 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 1.86 |
Itasa Investimentos Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Itasa Investimentos' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Itasa Investimentos' standard deviation. In reality, there are many statistical measures that can use Itasa Investimentos historical prices to predict the future Itasa Investimentos' volatility.| Risk Adjusted Performance | 0.0147 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0355 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Itasa Investimentos' 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.
Itasa Investimentos Backtested Returns
Itasa Investimentos holds Efficiency (Sharpe) Ratio of -0.0021, which attests that the entity had a -0.0021% return per unit of risk over the last 3 months. Itasa Investimentos exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Itasa Investimentos' Risk Adjusted Performance of 0.0147, downside deviation of 1.26, and Market Risk Adjusted Performance of 0.0455 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.27, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Itasa Investimentos' returns are expected to increase less than the market. However, during the bear market, the loss of holding Itasa Investimentos is expected to be smaller as well. Itasa Investimentos has an expected return of -0.0028%. Please make sure to check out Itasa Investimentos downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to decide if Itasa Investimentos performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.38 |
Poor reverse predictability
Itasa Investimentos has poor reverse predictability. Overlapping area represents the amount of predictability between Itasa Investimentos time series from 5th of December 2023 to 18th of February 2024 and 18th of February 2024 to 3rd of May 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 Itasa Investimentos price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Itasa Investimentos price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Itasa Investimentos lagged returns against current returns
Autocorrelation, which is Itasa Investimentos preferred 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 Itasa Investimentos' preferred stock expected returns. We can calculate the autocorrelation of Itasa Investimentos returns to help us make a trade decision. For example, suppose you find that Itasa Investimentos has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Itasa Investimentos 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 Itasa Investimentos preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Itasa Investimentos preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Itasa Investimentos preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Itasa Investimentos Lagged Returns
When evaluating Itasa Investimentos' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Itasa Investimentos preferred stock have on its future price. Itasa Investimentos 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, Itasa Investimentos autocorrelation shows the relationship between Itasa Investimentos preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Itasa Investimentos.
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 Itasa Investimentos 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, Itasa Investimentos' short interest history, or implied volatility extrapolated from Itasa Investimentos options trading.
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Try AI Portfolio ArchitectCheck out Itasa Investimentos Correlation, Itasa Investimentos Volatility and Itasa Investimentos Alpha and Beta module to complement your research on Itasa Investimentos. Note that the Itasa Investimentos information on this page should be used as a complementary analysis to other Itasa Investimentos' statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Complementary Tools for Itasa Preferred Stock analysis
When running Itasa Investimentos' price analysis, check to measure Itasa Investimentos' 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 Itasa Investimentos is operating at the current time. Most of Itasa Investimentos' value examination focuses on studying past and present price action to predict the probability of Itasa Investimentos' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Itasa Investimentos' price. Additionally, you may evaluate how the addition of Itasa Investimentos to your portfolios can decrease your overall portfolio volatility.
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Itasa Investimentos technical preferred 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, preferred stock market cycles, or different charting patterns.