BrasilAgro Companhia (Brazil) Market Value
| AGRO3 Stock | BRL 26.02 0.18 0.70% |
| Symbol | BrasilAgro |
BrasilAgro Companhia '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 BrasilAgro Companhia'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 BrasilAgro Companhia.
| 01/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in BrasilAgro Companhia on January 25, 2024 and sell it all today you would earn a total of 0.00 from holding BrasilAgro Companhia or generate 0.0% return on investment in BrasilAgro Companhia over 90 days. BrasilAgro Companhia is related to or competes with Lojas Renner, Hypera SA, Fleury SA, Localiza Rent, and WEG SA. BrasilAgro - Companhia Brasileira de Propriedades Agrcolas engages in the acquisition, development, exploration, and sal... More
BrasilAgro Companhia 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 BrasilAgro Companhia'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 BrasilAgro Companhia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.25 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 9.15 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 2.21 |
BrasilAgro Companhia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BrasilAgro Companhia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BrasilAgro Companhia's standard deviation. In reality, there are many statistical measures that can use BrasilAgro Companhia historical prices to predict the future BrasilAgro Companhia's volatility.| Risk Adjusted Performance | 0.0425 | |||
| Jensen Alpha | 0.0454 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.2179 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BrasilAgro Companhia'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.
BrasilAgro Companhia Backtested Returns
We consider BrasilAgro Companhia very steady. BrasilAgro Companhia secures Sharpe Ratio (or Efficiency) of 0.0468, which signifies that the company had a 0.0468% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for BrasilAgro Companhia, which you can use to evaluate the volatility of the firm. Please confirm BrasilAgro Companhia's mean deviation of 1.07, and Risk Adjusted Performance of 0.0425 to double-check if the risk estimate we provide is consistent with the expected return of 0.0667%. BrasilAgro Companhia has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.34, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BrasilAgro Companhia's returns are expected to increase less than the market. However, during the bear market, the loss of holding BrasilAgro Companhia is expected to be smaller as well. BrasilAgro Companhia right now shows a risk of 1.42%. Please confirm BrasilAgro Companhia semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if BrasilAgro Companhia will be following its price patterns.
Auto-correlation | -0.62 |
Very good reverse predictability
BrasilAgro Companhia has very good reverse predictability. Overlapping area represents the amount of predictability between BrasilAgro Companhia time series from 25th of January 2024 to 10th of March 2024 and 10th of March 2024 to 24th of April 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 BrasilAgro Companhia price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current BrasilAgro Companhia price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.53 |
BrasilAgro Companhia lagged returns against current returns
Autocorrelation, which is BrasilAgro Companhia 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 BrasilAgro Companhia's stock expected returns. We can calculate the autocorrelation of BrasilAgro Companhia returns to help us make a trade decision. For example, suppose you find that BrasilAgro Companhia 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 |
BrasilAgro Companhia 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 BrasilAgro Companhia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BrasilAgro Companhia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BrasilAgro Companhia stock over time.
Current vs Lagged Prices |
| Timeline |
BrasilAgro Companhia Lagged Returns
When evaluating BrasilAgro Companhia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BrasilAgro Companhia stock have on its future price. BrasilAgro Companhia 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, BrasilAgro Companhia autocorrelation shows the relationship between BrasilAgro Companhia stock current value and its past values and can show if there is a momentum factor associated with investing in BrasilAgro Companhia.
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 BrasilAgro Companhia 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, BrasilAgro Companhia's short interest history, or implied volatility extrapolated from BrasilAgro Companhia options trading.
Pair Trading with BrasilAgro Companhia
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 BrasilAgro Companhia 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 BrasilAgro Companhia will appreciate offsetting losses from the drop in the long position's value.Moving against BrasilAgro Stock
| 0.44 | A1SN34 | Ascendis Pharma AS | PairCorr |
The ability to find closely correlated positions to BrasilAgro Companhia could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BrasilAgro Companhia 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 BrasilAgro Companhia - 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 BrasilAgro Companhia to buy it.
The correlation of BrasilAgro Companhia 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 BrasilAgro Companhia moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BrasilAgro Companhia 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 BrasilAgro Companhia 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.Check out BrasilAgro Companhia Correlation, BrasilAgro Companhia Volatility and BrasilAgro Companhia Alpha and Beta module to complement your research on BrasilAgro Companhia. Note that the BrasilAgro Companhia information on this page should be used as a complementary analysis to other BrasilAgro Companhia'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 Transaction History module to view history of all your transactions and understand their impact on performance.
Complementary Tools for BrasilAgro Stock analysis
When running BrasilAgro Companhia's price analysis, check to measure BrasilAgro Companhia's 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 BrasilAgro Companhia is operating at the current time. Most of BrasilAgro Companhia's value examination focuses on studying past and present price action to predict the probability of BrasilAgro Companhia's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BrasilAgro Companhia's price. Additionally, you may evaluate how the addition of BrasilAgro Companhia to your portfolios can decrease your overall portfolio volatility.
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BrasilAgro Companhia 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.