Ihlas Holding (Turkey) Market Value
| IHLAS Stock | TRY 3.42 0.31 9.97% |
| Symbol | Ihlas |
Ihlas 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 Ihlas 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 Ihlas Holding.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in Ihlas Holding on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding Ihlas Holding AS or generate 0.0% return on investment in Ihlas Holding over 30 days. Ihlas Holding is related to or competes with Eregli Demir, Turkiye Petrol, Turkish Airlines, Ford Otomotiv, and Koc Holding. Ihlas Holding A.S. engages in the construction and real estate, media and communications, manufacturing and trading, edu... More
Ihlas 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 Ihlas 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 Ihlas Holding AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.14 | |||
| Information Ratio | 0.3143 | |||
| Maximum Drawdown | 19.92 | |||
| Value At Risk | (9.86) | |||
| Potential Upside | 9.93 |
Ihlas Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ihlas Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ihlas Holding's standard deviation. In reality, there are many statistical measures that can use Ihlas Holding historical prices to predict the future Ihlas Holding's volatility.| Risk Adjusted Performance | 0.262 | |||
| Jensen Alpha | 1.82 | |||
| Total Risk Alpha | 1.7 | |||
| Sortino Ratio | 0.3581 | |||
| Treynor Ratio | 1.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ihlas 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.
Ihlas Holding AS Backtested Returns
Ihlas Holding is very risky given 3 months investment horizon. Ihlas Holding AS holds Efficiency (Sharpe) Ratio of 0.32, which attests that the entity had a 0.32% return per unit of risk over the last 3 months. We were able to collect and analyze data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.9% are justified by taking the suggested risk. Use Ihlas Holding AS Risk Adjusted Performance of 0.262, downside deviation of 5.14, and Market Risk Adjusted Performance of 1.05 to evaluate company specific risk that cannot be diversified away. Ihlas Holding holds a performance score of 25 on a scale of zero to a hundred. The company retains a Market Volatility (i.e., Beta) of 1.79, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Ihlas Holding will likely underperform. Use Ihlas Holding AS semi variance, and the relationship between the treynor ratio and daily balance of power , to analyze future returns on Ihlas Holding AS.
Auto-correlation | -0.69 |
Very good reverse predictability
Ihlas Holding AS has very good reverse predictability. Overlapping area represents the amount of predictability between Ihlas Holding time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 2024 to 22nd 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 Ihlas Holding AS price movement. The serial correlation of -0.69 indicates that around 69.0% of current Ihlas Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Ihlas Holding AS lagged returns against current returns
Autocorrelation, which is Ihlas 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 Ihlas Holding's stock expected returns. We can calculate the autocorrelation of Ihlas Holding returns to help us make a trade decision. For example, suppose you find that Ihlas 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 |
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Ihlas 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 Ihlas Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ihlas Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ihlas Holding stock over time.
Current vs Lagged Prices |
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Ihlas Holding Lagged Returns
When evaluating Ihlas Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ihlas Holding stock have on its future price. Ihlas 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, Ihlas Holding autocorrelation shows the relationship between Ihlas Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Ihlas Holding AS.
Regressed Prices |
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Thematic Opportunities
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Other Information on Investing in Ihlas Stock
Ihlas Holding financial ratios help investors to determine whether Ihlas 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 Ihlas with respect to the benefits of owning Ihlas Holding security.