AURUBIS (Germany) Market Value
| NDA Stock | EUR 75.20 3.25 4.52% |
| Symbol | AURUBIS |
AURUBIS '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 AURUBIS'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 AURUBIS.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in AURUBIS on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding AURUBIS or generate 0.0% return on investment in AURUBIS over 30 days. AURUBIS is related to or competes with Odyssean Investment, SLR Investment, DIVERSIFIED ROYALTY, Investment Latour, Apollo Investment, HK Electric, and CDL INVESTMENT. More
AURUBIS 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 AURUBIS'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 AURUBIS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.65 | |||
| Information Ratio | 0.063 | |||
| Maximum Drawdown | 9.17 | |||
| Value At Risk | (3.03) | |||
| Potential Upside | 4.52 |
AURUBIS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AURUBIS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AURUBIS's standard deviation. In reality, there are many statistical measures that can use AURUBIS historical prices to predict the future AURUBIS's volatility.| Risk Adjusted Performance | 0.0672 | |||
| Jensen Alpha | 0.2156 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0758 | |||
| Treynor Ratio | (0.33) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AURUBIS'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.
AURUBIS Backtested Returns
AURUBIS appears to be very steady, given 3 months investment horizon. AURUBIS secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the company had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for AURUBIS, which you can use to evaluate the volatility of the firm. Please makes use of AURUBIS's risk adjusted performance of 0.0672, and Mean Deviation of 1.47 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AURUBIS holds a performance score of 12. The firm shows a Beta (market volatility) of -0.55, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning AURUBIS are expected to decrease at a much lower rate. During the bear market, AURUBIS is likely to outperform the market. Please check AURUBIS's treynor ratio, downside variance, kurtosis, as well as the relationship between the value at risk and expected short fall , to make a quick decision on whether AURUBIS's price patterns will revert.
Auto-correlation | 0.20 |
Weak predictability
AURUBIS has weak predictability. Overlapping area represents the amount of predictability between AURUBIS time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 AURUBIS price movement. The serial correlation of 0.2 indicates that over 20.0% of current AURUBIS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 4.68 |
AURUBIS lagged returns against current returns
Autocorrelation, which is AURUBIS 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 AURUBIS's stock expected returns. We can calculate the autocorrelation of AURUBIS returns to help us make a trade decision. For example, suppose you find that AURUBIS 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 |
AURUBIS 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 AURUBIS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AURUBIS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AURUBIS stock over time.
Current vs Lagged Prices |
| Timeline |
AURUBIS Lagged Returns
When evaluating AURUBIS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AURUBIS stock have on its future price. AURUBIS 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, AURUBIS autocorrelation shows the relationship between AURUBIS stock current value and its past values and can show if there is a momentum factor associated with investing in AURUBIS.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out AURUBIS Correlation, AURUBIS Volatility and AURUBIS Alpha and Beta module to complement your research on AURUBIS. Note that the AURUBIS information on this page should be used as a complementary analysis to other AURUBIS'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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Complementary Tools for AURUBIS Stock analysis
When running AURUBIS's price analysis, check to measure AURUBIS'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 AURUBIS is operating at the current time. Most of AURUBIS's value examination focuses on studying past and present price action to predict the probability of AURUBIS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AURUBIS's price. Additionally, you may evaluate how the addition of AURUBIS to your portfolios can decrease your overall portfolio volatility.
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AURUBIS 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.