Parq Arauco (Chile) Market Value
| PARAUCO Stock | CLP 1,561 9.00 0.57% |
| Symbol | Parq |
Parq Arauco '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 Parq Arauco'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 Parq Arauco.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Parq Arauco on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Parq Arauco or generate 0.0% return on investment in Parq Arauco over 30 days. Parq Arauco is related to or competes with Falabella, Cencosud, Empresas Copec, Salfacorp, Multiexport Foods, Sociedad Matriz, and Las Condes. Parque Arauco S.A. owns, develops, operates, and manages multi-format commercial real estate assets in Latin America More
Parq Arauco 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 Parq Arauco'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 Parq Arauco upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 5.39 | |||
| Value At Risk | (2.00) | |||
| Potential Upside | 2.05 |
Parq Arauco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parq Arauco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parq Arauco's standard deviation. In reality, there are many statistical measures that can use Parq Arauco historical prices to predict the future Parq Arauco's volatility.| Risk Adjusted Performance | 0.0085 | |||
| Jensen Alpha | 0.006 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | 0.0316 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parq Arauco'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.
Parq Arauco Backtested Returns
As of now, Parq Stock is very steady. Parq Arauco maintains Sharpe Ratio (i.e., Efficiency) of 0.0476, which implies the firm had a 0.0476% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Parq Arauco, which you can use to evaluate the volatility of the company. Please check Parq Arauco's Risk Adjusted Performance of 0.0085, coefficient of variation of 15169.15, and Semi Deviation of 1.07 to confirm if the risk estimate we provide is consistent with the expected return of 0.058%. Parq Arauco has a performance score of 3 on a scale of 0 to 100. The company holds a Beta of -0.0721, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Parq Arauco are expected to decrease at a much lower rate. During the bear market, Parq Arauco is likely to outperform the market. Parq Arauco right now holds a risk of 1.22%. Please check Parq Arauco potential upside, as well as the relationship between the kurtosis and day typical price , to decide if Parq Arauco will be following its historical price patterns.
Auto-correlation | -0.89 |
Excellent reverse predictability
Parq Arauco has excellent reverse predictability. Overlapping area represents the amount of predictability between Parq Arauco time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 Parq Arauco price movement. The serial correlation of -0.89 indicates that approximately 89.0% of current Parq Arauco price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.89 | |
| Spearman Rank Test | -0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 1137.23 |
Parq Arauco lagged returns against current returns
Autocorrelation, which is Parq Arauco 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 Parq Arauco's stock expected returns. We can calculate the autocorrelation of Parq Arauco returns to help us make a trade decision. For example, suppose you find that Parq Arauco 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 |
Parq Arauco 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 Parq Arauco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parq Arauco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parq Arauco stock over time.
Current vs Lagged Prices |
| Timeline |
Parq Arauco Lagged Returns
When evaluating Parq Arauco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parq Arauco stock have on its future price. Parq Arauco 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, Parq Arauco autocorrelation shows the relationship between Parq Arauco stock current value and its past values and can show if there is a momentum factor associated with investing in Parq Arauco.
Regressed Prices |
| Timeline |
Pair Trading with Parq Arauco
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 Parq Arauco 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 Parq Arauco will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Parq Arauco could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Parq Arauco 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 Parq Arauco - 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 Parq Arauco to buy it.
The correlation of Parq Arauco 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 Parq Arauco moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Parq Arauco 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 Parq Arauco 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.Other Information on Investing in Parq Stock
Parq Arauco financial ratios help investors to determine whether Parq 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 Parq with respect to the benefits of owning Parq Arauco security.