Astarta Holding (Poland) Market Value
| AST Stock | 40.80 0.95 2.38% |
| Symbol | Astarta |
Astarta Holding '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 Astarta Holding'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 Astarta Holding.
| 07/02/2024 |
| 12/29/2024 |
If you would invest 0.00 in Astarta Holding on July 2, 2024 and sell it all today you would earn a total of 0.00 from holding Astarta Holding NV or generate 0.0% return on investment in Astarta Holding over 180 days. Astarta Holding is related to or competes with Agroton Public, Powszechny Zaklad, Centrum Finansowe, Biztech Konsulting, and X Trade. More
Astarta Holding 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 Astarta Holding'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 Astarta Holding NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | 0.2048 | |||
| Maximum Drawdown | 11.35 | |||
| Value At Risk | (2.38) | |||
| Potential Upside | 4.92 |
Astarta Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Astarta Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Astarta Holding's standard deviation. In reality, there are many statistical measures that can use Astarta Holding historical prices to predict the future Astarta Holding's volatility.| Risk Adjusted Performance | 0.1811 | |||
| Jensen Alpha | 0.4906 | |||
| Total Risk Alpha | 0.419 | |||
| Sortino Ratio | 0.2688 | |||
| Treynor Ratio | (1.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Astarta Holding'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.
Astarta Holding NV Backtested Returns
Astarta Holding appears to be very steady, given 3 months investment horizon. Astarta Holding NV secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the company had a 0.2% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Astarta Holding NV, which you can use to evaluate the volatility of the firm. Please makes use of Astarta Holding's Mean Deviation of 1.74, downside deviation of 1.71, and Risk Adjusted Performance of 0.1811 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Astarta Holding holds a performance score of 15. 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, returns on owning Astarta Holding are expected to decrease at a much lower rate. During the bear market, Astarta Holding is likely to outperform the market. Please check Astarta Holding's semi variance, and the relationship between the maximum drawdown and accumulation distribution , to make a quick decision on whether Astarta Holding's price patterns will revert.
Auto-correlation | 0.20 |
Weak predictability
Astarta Holding NV has weak predictability. Overlapping area represents the amount of predictability between Astarta Holding time series from 2nd of July 2024 to 30th of September 2024 and 30th of September 2024 to 29th 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 Astarta Holding NV price movement. The serial correlation of 0.2 indicates that over 20.0% of current Astarta Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 18.33 |
Astarta Holding NV lagged returns against current returns
Autocorrelation, which is Astarta Holding 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 Astarta Holding's stock expected returns. We can calculate the autocorrelation of Astarta Holding returns to help us make a trade decision. For example, suppose you find that Astarta Holding 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 |
Astarta Holding 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 Astarta Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Astarta Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Astarta Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Astarta Holding Lagged Returns
When evaluating Astarta Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Astarta Holding stock have on its future price. Astarta Holding 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, Astarta Holding autocorrelation shows the relationship between Astarta Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Astarta Holding NV.
Regressed Prices |
| Timeline |
Pair Trading with Astarta Holding
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 Astarta Holding 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 Astarta Holding will appreciate offsetting losses from the drop in the long position's value.Moving together with Astarta Stock
Moving against Astarta Stock
| 0.85 | BNP | BNP Paribas Bank | PairCorr |
| 0.77 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.75 | MBK | mBank SA | PairCorr |
| 0.67 | ING | ING Bank lski | PairCorr |
| 0.37 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Astarta Holding could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Astarta Holding 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 Astarta Holding - 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 Astarta Holding NV to buy it.
The correlation of Astarta Holding 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 Astarta Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Astarta Holding NV 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 Astarta Holding 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.Additional Tools for Astarta Stock Analysis
When running Astarta Holding's price analysis, check to measure Astarta Holding'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 Astarta Holding is operating at the current time. Most of Astarta Holding's value examination focuses on studying past and present price action to predict the probability of Astarta Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Astarta Holding's price. Additionally, you may evaluate how the addition of Astarta Holding to your portfolios can decrease your overall portfolio volatility.