Koc Holding (Turkey) Market Value
| KCHOL Stock | TRY 209.40 3.60 1.69% |
| Symbol | Koc |
Koc Holding '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 Koc Holding'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 Koc Holding.
| 05/12/2024 |
| 06/11/2024 |
If you would invest 0.00 in Koc Holding on May 12, 2024 and sell it all today you would earn a total of 0.00 from holding Koc Holding AS or generate 0.0% return on investment in Koc Holding over 30 days. Koc Holding is related to or competes with Turkiye Petrol, Aselsan Elektronik, and Petkim Petrokimya. Ko Holding A.S., through its subsidiaries, engages in the energy, automotive, consumer durables, finance, and other busi... More
Koc Holding 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 Koc Holding'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 Koc Holding AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.92 | |||
| Information Ratio | 0.1843 | |||
| Maximum Drawdown | 11.64 | |||
| Value At Risk | (2.78) | |||
| Potential Upside | 5.02 |
Koc Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Koc Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Koc Holding's standard deviation. In reality, there are many statistical measures that can use Koc Holding historical prices to predict the future Koc Holding's volatility.| Risk Adjusted Performance | 0.124 | |||
| Jensen Alpha | 0.4608 | |||
| Total Risk Alpha | 0.4562 | |||
| Sortino Ratio | 0.2392 | |||
| Treynor Ratio | (20.21) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Koc Holding'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.
Koc Holding AS Backtested Returns
Koc Holding appears to be very steady, given 3 months investment horizon. Koc Holding AS has Sharpe Ratio of 0.15, which conveys that the firm had a 0.15% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Koc Holding, which you can use to evaluate the volatility of the firm. Please exercise Koc Holding's Mean Deviation of 1.88, risk adjusted performance of 0.124, and Downside Deviation of 1.92 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Koc Holding holds a performance score of 11. The company secures a Beta (Market Risk) of -0.0228, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Koc Holding are expected to decrease at a much lower rate. During the bear market, Koc Holding is likely to outperform the market. Please check Koc Holding's value at risk, and the relationship between the jensen alpha and skewness , to make a quick decision on whether Koc Holding's current price movements will revert.
Auto-correlation | -0.65 |
Very good reverse predictability
Koc Holding AS has very good reverse predictability. Overlapping area represents the amount of predictability between Koc Holding time series from 12th of May 2024 to 27th of May 2024 and 27th of May 2024 to 11th 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 Koc Holding AS price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Koc Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 228.22 |
Koc Holding AS lagged returns against current returns
Autocorrelation, which is Koc Holding 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 Koc Holding's stock expected returns. We can calculate the autocorrelation of Koc Holding returns to help us make a trade decision. For example, suppose you find that Koc Holding 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 |
Koc Holding 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 Koc Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Koc Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Koc Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Koc Holding Lagged Returns
When evaluating Koc Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Koc Holding stock have on its future price. Koc Holding 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, Koc Holding autocorrelation shows the relationship between Koc Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Koc Holding AS.
Regressed Prices |
| Timeline |
Pair Trading with Koc Holding
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 Koc Holding 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 Koc Holding will appreciate offsetting losses from the drop in the long position's value.Moving together with Koc Stock
| 0.74 | BIMAS | BIM Birlesik Magazalar | PairCorr |
| 0.96 | SAHOL | Haci Omer Sabanci | PairCorr |
| 0.91 | AGHOL | AG Anadolu Group | PairCorr |
The ability to find closely correlated positions to Koc Holding could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Koc Holding 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 Koc Holding - 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 Koc Holding AS to buy it.
The correlation of Koc Holding 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 Koc Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Koc Holding AS 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 Koc Holding 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 Koc Stock
Koc Holding financial ratios help investors to determine whether Koc 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 Koc with respect to the benefits of owning Koc Holding security.