Vastned Retail (Germany) Market Value
| VB2 Stock | EUR 24.60 0.20 0.81% |
| Symbol | Vastned |
Vastned Retail '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 Vastned Retail'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 Vastned Retail.
| 05/12/2024 |
| 06/11/2024 |
If you would invest 0.00 in Vastned Retail on May 12, 2024 and sell it all today you would earn a total of 0.00 from holding Vastned Retail NV or generate 0.0% return on investment in Vastned Retail over 30 days. Vastned Retail is related to or competes with Simon Property, Realty Income, and Vicinity Centres. Vastned is a listed European retail property company focusing on venues for premium shopping More
Vastned Retail 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 Vastned Retail'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 Vastned Retail NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.42 | |||
| Information Ratio | 0.2265 | |||
| Maximum Drawdown | 7.41 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 2.83 |
Vastned Retail Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vastned Retail's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vastned Retail's standard deviation. In reality, there are many statistical measures that can use Vastned Retail historical prices to predict the future Vastned Retail's volatility.| Risk Adjusted Performance | 0.1503 | |||
| Jensen Alpha | 0.3307 | |||
| Total Risk Alpha | 0.3287 | |||
| Sortino Ratio | 0.233 | |||
| Treynor Ratio | 0.5846 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vastned Retail'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.
Vastned Retail NV Backtested Returns
Vastned Retail appears to be very steady, given 3 months investment horizon. Vastned Retail NV owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.25, which indicates the firm had a 0.25% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vastned Retail NV, which you can use to evaluate the volatility of the company. Please review Vastned Retail's Semi Deviation of 0.9987, coefficient of variation of 427.07, and Risk Adjusted Performance of 0.1503 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Vastned Retail holds a performance score of 19. The entity has a beta of 0.57, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vastned Retail's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vastned Retail is expected to be smaller as well. Please check Vastned Retail's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether Vastned Retail's existing price patterns will revert.
Auto-correlation | 0.88 |
Very good predictability
Vastned Retail NV has very good predictability. Overlapping area represents the amount of predictability between Vastned Retail 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 Vastned Retail NV price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current Vastned Retail price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 0.36 |
Vastned Retail NV lagged returns against current returns
Autocorrelation, which is Vastned Retail 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 Vastned Retail's stock expected returns. We can calculate the autocorrelation of Vastned Retail returns to help us make a trade decision. For example, suppose you find that Vastned Retail 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 |
Vastned Retail 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 Vastned Retail stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vastned Retail stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vastned Retail stock over time.
Current vs Lagged Prices |
| Timeline |
Vastned Retail Lagged Returns
When evaluating Vastned Retail's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vastned Retail stock have on its future price. Vastned Retail 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, Vastned Retail autocorrelation shows the relationship between Vastned Retail stock current value and its past values and can show if there is a momentum factor associated with investing in Vastned Retail NV.
Regressed Prices |
| Timeline |
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Other Information on Investing in Vastned Stock
Vastned Retail financial ratios help investors to determine whether Vastned 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 Vastned with respect to the benefits of owning Vastned Retail security.