Alfa Holdings (Brazil) Market Value
| RPAD3 Stock | BRL 9.56 0.44 4.40% |
| Symbol | Alfa |
Alfa Holdings '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 Alfa Holdings' 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 Alfa Holdings.
| 01/08/2024 |
| 05/07/2024 |
If you would invest 0.00 in Alfa Holdings on January 8, 2024 and sell it all today you would earn a total of 0.00 from holding Alfa Holdings SA or generate 0.0% return on investment in Alfa Holdings over 120 days. Alfa Holdings is related to or competes with Ambipar Participaes, Vamos Locao, Movida Participaes, Petro Rio, and Banco BTG. Alfa Holdings S.A. provides private banking services in Brazil More
Alfa Holdings 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 Alfa Holdings' 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 Alfa Holdings SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0985 | |||
| Maximum Drawdown | 10.21 | |||
| Value At Risk | (0.24) | |||
| Potential Upside | 1.36 |
Alfa Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alfa Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alfa Holdings' standard deviation. In reality, there are many statistical measures that can use Alfa Holdings historical prices to predict the future Alfa Holdings' volatility.| Risk Adjusted Performance | 0.0923 | |||
| Jensen Alpha | 0.2703 | |||
| Total Risk Alpha | 0.0536 | |||
| Treynor Ratio | (1.39) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alfa Holdings' 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.
Alfa Holdings SA Backtested Returns
Alfa Holdings appears to be not too volatile, given 3 months investment horizon. Alfa Holdings SA secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of standard deviation over the last 3 months. We have found twenty-two technical indicators for Alfa Holdings SA, which you can use to evaluate the volatility of the firm. Please makes use of Alfa Holdings' risk adjusted performance of 0.0923, and Mean Deviation of 0.7251 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alfa Holdings holds a performance score of 9. The firm shows a Beta (market volatility) of -0.19, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Alfa Holdings are expected to decrease at a much lower rate. During the bear market, Alfa Holdings is likely to outperform the market. Please check Alfa Holdings' information ratio, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to make a quick decision on whether Alfa Holdings' price patterns will revert.
Auto-correlation | 0.16 |
Very weak predictability
Alfa Holdings SA has very weak predictability. Overlapping area represents the amount of predictability between Alfa Holdings time series from 8th of January 2024 to 8th of March 2024 and 8th of March 2024 to 7th 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 Alfa Holdings SA price movement. The serial correlation of 0.16 indicates that over 16.0% of current Alfa Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.17 |
Alfa Holdings SA lagged returns against current returns
Autocorrelation, which is Alfa Holdings 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 Alfa Holdings' stock expected returns. We can calculate the autocorrelation of Alfa Holdings returns to help us make a trade decision. For example, suppose you find that Alfa Holdings 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 |
Alfa Holdings 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 Alfa Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alfa Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alfa Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
Alfa Holdings Lagged Returns
When evaluating Alfa Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alfa Holdings stock have on its future price. Alfa Holdings 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, Alfa Holdings autocorrelation shows the relationship between Alfa Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Alfa Holdings SA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Alfa Holdings Correlation, Alfa Holdings Volatility and Alfa Holdings Alpha and Beta module to complement your research on Alfa Holdings. Note that the Alfa Holdings SA information on this page should be used as a complementary analysis to other Alfa Holdings' 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Complementary Tools for Alfa Stock analysis
When running Alfa Holdings' price analysis, check to measure Alfa Holdings' 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 Alfa Holdings is operating at the current time. Most of Alfa Holdings' value examination focuses on studying past and present price action to predict the probability of Alfa Holdings' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alfa Holdings' price. Additionally, you may evaluate how the addition of Alfa Holdings to your portfolios can decrease your overall portfolio volatility.
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Alfa Holdings 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.