Transalta Corp Stock Market Value
| TA Stock | CAD 16.29 0.42 2.65% |
| Symbol | TransAlta |
TransAlta Corp Price To Book Ratio
TransAlta Corp '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 TransAlta Corp'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 TransAlta Corp.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in TransAlta Corp on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding TransAlta Corp or generate 0.0% return on investment in TransAlta Corp over 360 days. TransAlta Corp is related to or competes with Emera, TC Energy, Imperial Oil, Sun Life, and AltaGas. TransAlta Corporation operates as non-regulated electricity generation and energy marketing company in Canada, the Unite... More
TransAlta Corp 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 TransAlta Corp'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 TransAlta Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.46 | |||
| Information Ratio | 0.174 | |||
| Maximum Drawdown | 12.0 | |||
| Value At Risk | (1.52) | |||
| Potential Upside | 4.01 |
TransAlta Corp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TransAlta Corp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TransAlta Corp's standard deviation. In reality, there are many statistical measures that can use TransAlta Corp historical prices to predict the future TransAlta Corp's volatility.| Risk Adjusted Performance | 0.1945 | |||
| Jensen Alpha | 0.4844 | |||
| Total Risk Alpha | 0.141 | |||
| Sortino Ratio | 0.2261 | |||
| Treynor Ratio | (2.16) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TransAlta Corp'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.
TransAlta Corp Backtested Returns
TransAlta Corp appears to be not too volatile, given 3 months investment horizon. TransAlta Corp owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.26, which indicates the firm had a 0.26% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for TransAlta Corp, which you can use to evaluate the volatility of the company. Please review TransAlta Corp's Semi Deviation of 0.999, coefficient of variation of 405.49, and Risk Adjusted Performance of 0.1945 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, TransAlta Corp holds a performance score of 20. The entity has a beta of -0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning TransAlta Corp are expected to decrease at a much lower rate. During the bear market, TransAlta Corp is likely to outperform the market. Please check TransAlta Corp's value at risk, and the relationship between the jensen alpha and skewness , to make a quick decision on whether TransAlta Corp's existing price patterns will revert.
Auto-correlation | -0.6 |
Good reverse predictability
TransAlta Corp has good reverse predictability. Overlapping area represents the amount of predictability between TransAlta Corp time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 to 2nd 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 TransAlta Corp price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current TransAlta Corp price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 4.05 |
TransAlta Corp lagged returns against current returns
Autocorrelation, which is TransAlta Corp 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 TransAlta Corp's stock expected returns. We can calculate the autocorrelation of TransAlta Corp returns to help us make a trade decision. For example, suppose you find that TransAlta Corp 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 |
TransAlta Corp 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 TransAlta Corp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TransAlta Corp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TransAlta Corp stock over time.
Current vs Lagged Prices |
| Timeline |
TransAlta Corp Lagged Returns
When evaluating TransAlta Corp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TransAlta Corp stock have on its future price. TransAlta Corp 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, TransAlta Corp autocorrelation shows the relationship between TransAlta Corp stock current value and its past values and can show if there is a momentum factor associated with investing in TransAlta Corp.
Regressed Prices |
| Timeline |
Pair Trading with TransAlta Corp
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 TransAlta Corp 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 TransAlta Corp will appreciate offsetting losses from the drop in the long position's value.Moving together with TransAlta Stock
Moving against TransAlta Stock
| 0.71 | MFC-PC | Manulife Finl Srs | PairCorr |
| 0.65 | SLF-PG | Sun Life Non | PairCorr |
| 0.62 | SLF-PD | Sun Life Financial | PairCorr |
| 0.57 | SLF-PC | Sun Life Financial | PairCorr |
The ability to find closely correlated positions to TransAlta Corp could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace TransAlta Corp 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 TransAlta Corp - 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 TransAlta Corp to buy it.
The correlation of TransAlta Corp 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 TransAlta Corp moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if TransAlta Corp 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 TransAlta Corp 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.Check out TransAlta Corp Correlation, TransAlta Corp Volatility and TransAlta Corp Alpha and Beta module to complement your research on TransAlta Corp. To learn how to invest in TransAlta Stock, please use our How to Invest in TransAlta Corp guide.You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
TransAlta Corp 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.