Transurban Group Stock Market Value
| TRAUF Stock | USD 7.93 0.32 3.88% |
| Symbol | Transurban |
Transurban '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 Transurban's pink sheet 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 Transurban.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Transurban on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Transurban Group or generate 0.0% return on investment in Transurban over 480 days. Transurban is related to or competes with Jeld Wen, MYR, RBC Bearings, Figs, Victorias Secret, Canada Goose, and PVH Corp. Transurban Group develops, operates, manages, and maintains toll road networks More
Transurban 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 Transurban's pink sheet 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 Transurban Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 14.98 | |||
| Value At Risk | (5.66) | |||
| Potential Upside | 4.62 |
Transurban Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transurban's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transurban's standard deviation. In reality, there are many statistical measures that can use Transurban historical prices to predict the future Transurban's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.63) | |||
| Treynor Ratio | 0.8129 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transurban'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.
Transurban Group Backtested Returns
Transurban Group owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0857, which indicates the firm had a -0.0857% return per unit of risk over the last 3 months. Transurban Group exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Transurban's Variance of 5.67, coefficient of variation of (983.62), and Risk Adjusted Performance of (0.07) to confirm the risk estimate we provide. The entity has a beta of -0.31, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Transurban are expected to decrease at a much lower rate. During the bear market, Transurban is likely to outperform the market. At this point, Transurban Group has a negative expected return of -0.21%. Please make sure to validate Transurban's potential upside, and the relationship between the jensen alpha and rate of daily change , to decide if Transurban Group performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.35 |
Below average predictability
Transurban Group has below average predictability. Overlapping area represents the amount of predictability between Transurban time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 Transurban Group price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Transurban price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Transurban Group lagged returns against current returns
Autocorrelation, which is Transurban pink sheet'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 Transurban's pink sheet expected returns. We can calculate the autocorrelation of Transurban returns to help us make a trade decision. For example, suppose you find that Transurban has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Transurban 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 Transurban pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transurban pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transurban pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Transurban Lagged Returns
When evaluating Transurban's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transurban pink sheet have on its future price. Transurban 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, Transurban autocorrelation shows the relationship between Transurban pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Transurban Group.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Transurban Pink Sheet
Transurban financial ratios help investors to determine whether Transurban Pink Sheet 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 Transurban with respect to the benefits of owning Transurban security.