Itasa Investimentos (Brazil) Market Value
| ITSA4 Preferred Stock | BRL 10.32 0.05 0.49% |
| Symbol | Itasa |
Itasa Investimentos '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 Itasa Investimentos' preferred 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 Itasa Investimentos.
| 03/24/2023 |
| 05/17/2024 |
If you would invest 0.00 in Itasa Investimentos on March 24, 2023 and sell it all today you would earn a total of 0.00 from holding Itasa Investimentos or generate 0.0% return on investment in Itasa Investimentos over 420 days. Itasa Investimentos is related to or competes with Ita Unibanco, Banco Do, Petrleo Brasileiro, and Vale SA. Itasa S.A., through its subsidiaries, operates in the financial and industrial markets in Brazil and internationally More
Itasa Investimentos 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 Itasa Investimentos' preferred 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 Itasa Investimentos upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 7.23 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 1.79 |
Itasa Investimentos Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Itasa Investimentos' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Itasa Investimentos' standard deviation. In reality, there are many statistical measures that can use Itasa Investimentos historical prices to predict the future Itasa Investimentos' volatility.| Risk Adjusted Performance | 0.0322 | |||
| Jensen Alpha | 0.0179 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.1593 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Itasa Investimentos' 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.
Itasa Investimentos Backtested Returns
We consider Itasa Investimentos not too volatile. Itasa Investimentos holds Efficiency (Sharpe) Ratio of 0.027, which attests that the entity had a 0.027% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Itasa Investimentos, which you can use to evaluate the volatility of the firm. Please check out Itasa Investimentos' Market Risk Adjusted Performance of 0.1693, downside deviation of 1.32, and Risk Adjusted Performance of 0.0322 to validate if the risk estimate we provide is consistent with the expected return of 0.0351%. Itasa Investimentos has a performance score of 2 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.3, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Itasa Investimentos' returns are expected to increase less than the market. However, during the bear market, the loss of holding Itasa Investimentos is expected to be smaller as well. Itasa Investimentos right now retains a risk of 1.3%. Please check out Itasa Investimentos downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to decide if Itasa Investimentos will be following its current trending patterns.
Auto-correlation | 0.84 |
Very good predictability
Itasa Investimentos has very good predictability. Overlapping area represents the amount of predictability between Itasa Investimentos time series from 24th of March 2023 to 20th of October 2023 and 20th of October 2023 to 17th 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 Itasa Investimentos price movement. The serial correlation of 0.84 indicates that around 84.0% of current Itasa Investimentos price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
Itasa Investimentos lagged returns against current returns
Autocorrelation, which is Itasa Investimentos preferred 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 Itasa Investimentos' preferred stock expected returns. We can calculate the autocorrelation of Itasa Investimentos returns to help us make a trade decision. For example, suppose you find that Itasa Investimentos has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Itasa Investimentos 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 Itasa Investimentos preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Itasa Investimentos preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Itasa Investimentos preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Itasa Investimentos Lagged Returns
When evaluating Itasa Investimentos' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Itasa Investimentos preferred stock have on its future price. Itasa Investimentos 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, Itasa Investimentos autocorrelation shows the relationship between Itasa Investimentos preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Itasa Investimentos.
Regressed Prices |
| Timeline |
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Check out Itasa Investimentos Correlation, Itasa Investimentos Volatility and Itasa Investimentos Alpha and Beta module to complement your research on Itasa Investimentos. Note that the Itasa Investimentos information on this page should be used as a complementary analysis to other Itasa Investimentos' 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Complementary Tools for Itasa Preferred Stock analysis
When running Itasa Investimentos' price analysis, check to measure Itasa Investimentos' 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 Itasa Investimentos is operating at the current time. Most of Itasa Investimentos' value examination focuses on studying past and present price action to predict the probability of Itasa Investimentos' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Itasa Investimentos' price. Additionally, you may evaluate how the addition of Itasa Investimentos to your portfolios can decrease your overall portfolio volatility.
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Itasa Investimentos technical preferred 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, preferred stock market cycles, or different charting patterns.