Advance Auto (Brazil) Market Value
| A1AP34 Stock | BRL 16.90 0.04 0.24% |
| Symbol | Advance |
Advance Auto '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 Advance Auto'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 Advance Auto.
| 09/19/2024 |
| 12/18/2024 |
If you would invest 0.00 in Advance Auto on September 19, 2024 and sell it all today you would earn a total of 0.00 from holding Advance Auto Parts or generate 0.0% return on investment in Advance Auto over 90 days. Advance Auto is related to or competes with Ross Stores, New Oriental, Delta Air, TAL Education, Paycom Software, Tyson Foods, and Cognizant Technology. Advance Auto Parts, Inc. provides automotive replacement parts, accessories, batteries, and maintenance items for domest... More
Advance Auto 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 Advance Auto'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 Advance Auto Parts upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.94 | |||
| Information Ratio | 0.0866 | |||
| Maximum Drawdown | 13.84 | |||
| Value At Risk | (4.25) | |||
| Potential Upside | 5.42 |
Advance Auto Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Advance Auto's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Advance Auto's standard deviation. In reality, there are many statistical measures that can use Advance Auto historical prices to predict the future Advance Auto's volatility.| Risk Adjusted Performance | 0.0865 | |||
| Jensen Alpha | 0.2978 | |||
| Total Risk Alpha | 0.079 | |||
| Sortino Ratio | 0.0896 | |||
| Treynor Ratio | 0.7824 |
Advance Auto Parts Backtested Returns
Advance Auto appears to be not too volatile, given 3 months investment horizon. Advance Auto Parts secures Sharpe Ratio (or Efficiency) of 0.0994, which signifies that the company had a 0.0994% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Advance Auto Parts, which you can use to evaluate the volatility of the firm. Please makes use of Advance Auto's Downside Deviation of 2.94, mean deviation of 2.44, and Risk Adjusted Performance of 0.0865 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Advance Auto holds a performance score of 7. The firm shows a Beta (market volatility) of 0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Advance Auto's returns are expected to increase less than the market. However, during the bear market, the loss of holding Advance Auto is expected to be smaller as well. Please check Advance Auto's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Advance Auto's price patterns will revert.
Auto-correlation | -0.07 |
Very weak reverse predictability
Advance Auto Parts has very weak reverse predictability. Overlapping area represents the amount of predictability between Advance Auto time series from 19th of September 2024 to 3rd of November 2024 and 3rd of November 2024 to 18th of December 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 Advance Auto Parts price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Advance Auto price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 1.8 |
Advance Auto Parts lagged returns against current returns
Autocorrelation, which is Advance Auto 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 Advance Auto's stock expected returns. We can calculate the autocorrelation of Advance Auto returns to help us make a trade decision. For example, suppose you find that Advance Auto 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 |
Advance Auto 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 Advance Auto stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Advance Auto stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Advance Auto stock over time.
Current vs Lagged Prices |
| Timeline |
Advance Auto Lagged Returns
When evaluating Advance Auto's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Advance Auto stock have on its future price. Advance Auto 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, Advance Auto autocorrelation shows the relationship between Advance Auto stock current value and its past values and can show if there is a momentum factor associated with investing in Advance Auto Parts.
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.Additional Information and Resources on Investing in Advance Stock
When determining whether Advance Auto Parts is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Advance Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Advance Auto Parts Stock. Highlighted below are key reports to facilitate an investment decision about Advance Auto Parts Stock:Check out Advance Auto Correlation, Advance Auto Volatility and Advance Auto Alpha and Beta module to complement your research on Advance Auto. You can also try the Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Advance Auto 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.