REALTY INCOME P Market Value
| 756109AU8 | 94.95 0.10 0.11% |
| Symbol | REALTY |
REALTY '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 REALTY's bond 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 REALTY.
| 02/16/2024 |
| 05/16/2024 |
If you would invest 0.00 in REALTY on February 16, 2024 and sell it all today you would earn a total of 0.00 from holding REALTY INCOME P or generate 0.0% return on investment in REALTY over 90 days. REALTY is related to or competes with 00108WAF7, 90331HPL1, Arch Capital, Fabrinet, Freshpet, PayPal Holdings, and Franklin Credit. More
REALTY 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 REALTY's bond 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 REALTY INCOME P upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 2.45 | |||
| Value At Risk | (0.71) | |||
| Potential Upside | 0.5467 |
REALTY Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for REALTY's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as REALTY's standard deviation. In reality, there are many statistical measures that can use REALTY historical prices to predict the future REALTY's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | (0.22) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of REALTY'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.
REALTY INCOME P Backtested Returns
REALTY INCOME P retains Efficiency (Sharpe Ratio) of -0.05, which implies the entity had a -0.05% return per unit of risk over the last 3 months. REALTY exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check REALTY's coefficient of variation of (4,428), and Market Risk Adjusted Performance of (0.21) to confirm the risk estimate we provide. The bond owns a Beta (Systematic Risk) of 0.0878, which implies not very significant fluctuations relative to the market. As returns on the market increase, REALTY's returns are expected to increase less than the market. However, during the bear market, the loss of holding REALTY is expected to be smaller as well.
Auto-correlation | -0.21 |
Weak reverse predictability
REALTY INCOME P has weak reverse predictability. Overlapping area represents the amount of predictability between REALTY time series from 16th of February 2024 to 1st of April 2024 and 1st of April 2024 to 16th 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 REALTY INCOME P price movement. The serial correlation of -0.21 indicates that over 21.0% of current REALTY price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
REALTY INCOME P lagged returns against current returns
Autocorrelation, which is REALTY bond'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 REALTY's bond expected returns. We can calculate the autocorrelation of REALTY returns to help us make a trade decision. For example, suppose you find that REALTY has exhibited high autocorrelation historically, and you observe that the bond 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 |
REALTY 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 REALTY bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if REALTY bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in REALTY bond over time.
Current vs Lagged Prices |
| Timeline |
REALTY Lagged Returns
When evaluating REALTY's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of REALTY bond have on its future price. REALTY 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, REALTY autocorrelation shows the relationship between REALTY bond current value and its past values and can show if there is a momentum factor associated with investing in REALTY INCOME P.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out REALTY Correlation, REALTY Volatility and REALTY Alpha and Beta module to complement your research on REALTY. Note that the REALTY INCOME P information on this page should be used as a complementary analysis to other REALTY's 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
REALTY technical bond 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, bond market cycles, or different charting patterns.