PCC Rokita (Poland) Market Value
| PCR Stock | 71.30 0.70 0.97% |
| Symbol | PCC |
PCC Rokita '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 PCC Rokita'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 PCC Rokita.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in PCC Rokita on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding PCC Rokita SA or generate 0.0% return on investment in PCC Rokita over 720 days. PCC Rokita is related to or competes with Globe Trade, Noble Financials, Intersport Polska, Tower Investments, Investment Friends, Centrum Finansowe, and X Trade. More
PCC Rokita 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 PCC Rokita'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 PCC Rokita SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.40) | |||
| Maximum Drawdown | 5.66 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 0.9963 |
PCC Rokita Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PCC Rokita's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PCC Rokita's standard deviation. In reality, there are many statistical measures that can use PCC Rokita historical prices to predict the future PCC Rokita's volatility.| Risk Adjusted Performance | (0.20) | |||
| Jensen Alpha | (0.31) | |||
| Total Risk Alpha | (0.45) | |||
| Treynor Ratio | (1.36) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PCC Rokita'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.
PCC Rokita SA Backtested Returns
PCC Rokita SA retains Efficiency (Sharpe Ratio) of -0.26, which implies the company had a -0.26% return per unit of risk over the last 3 months. PCC Rokita exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PCC Rokita's market risk adjusted performance of (1.35), and Coefficient Of Variation of (376.42) to confirm the risk estimate we provide. The firm owns a Beta (Systematic Risk) of 0.21, which implies not very significant fluctuations relative to the market. As returns on the market increase, PCC Rokita's returns are expected to increase less than the market. However, during the bear market, the loss of holding PCC Rokita is expected to be smaller as well. At this point, PCC Rokita SA has a negative expected return of -0.27%. Please make sure to check PCC Rokita's potential upside, and the relationship between the total risk alpha and daily balance of power , to decide if PCC Rokita SA performance from the past will be repeated in the future.
Auto-correlation | 0.66 |
Good predictability
PCC Rokita SA has good predictability. Overlapping area represents the amount of predictability between PCC Rokita time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 PCC Rokita SA price movement. The serial correlation of 0.66 indicates that around 66.0% of current PCC Rokita price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 36.27 |
PCC Rokita SA lagged returns against current returns
Autocorrelation, which is PCC Rokita 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 PCC Rokita's stock expected returns. We can calculate the autocorrelation of PCC Rokita returns to help us make a trade decision. For example, suppose you find that PCC Rokita 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 |
PCC Rokita 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 PCC Rokita stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PCC Rokita stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PCC Rokita stock over time.
Current vs Lagged Prices |
| Timeline |
PCC Rokita Lagged Returns
When evaluating PCC Rokita's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PCC Rokita stock have on its future price. PCC Rokita 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, PCC Rokita autocorrelation shows the relationship between PCC Rokita stock current value and its past values and can show if there is a momentum factor associated with investing in PCC Rokita SA.
Regressed Prices |
| Timeline |
Pair Trading with PCC Rokita
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 PCC Rokita 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 PCC Rokita will appreciate offsetting losses from the drop in the long position's value.Moving together with PCC Stock
Moving against PCC Stock
The ability to find closely correlated positions to PCC Rokita could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace PCC Rokita 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 PCC Rokita - 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 PCC Rokita SA to buy it.
The correlation of PCC Rokita 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 PCC Rokita moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if PCC Rokita SA 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 PCC Rokita 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 PCC Stock Analysis
When running PCC Rokita's price analysis, check to measure PCC Rokita'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 PCC Rokita is operating at the current time. Most of PCC Rokita's value examination focuses on studying past and present price action to predict the probability of PCC Rokita's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PCC Rokita's price. Additionally, you may evaluate how the addition of PCC Rokita to your portfolios can decrease your overall portfolio volatility.