Transurban (Germany) Market Value
| TU9 Stock | EUR 7.78 0.07 0.89% |
| 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 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 Transurban.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Transurban on December 13, 2022 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 720 days. Transurban is related to or competes with Penta-Ocean Construction, MOLSON COORS, Dairy Farm, China Resources, UNITED RENTALS, THAI BEVERAGE, and AUST AGRICULTURAL. Transurban Group develops, operates, manages, maintains, and finances urban 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 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 Transurban Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 5.51 | |||
| Value At Risk | (1.60) | |||
| Potential Upside | 1.73 |
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 | (0.04) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (0.16) |
Transurban Group Backtested Returns
Transurban Group owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.057, which indicates the firm had a -0.057% return per unit of risk over the last 3 months. Transurban Group exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Transurban's Risk Adjusted Performance of (0.04), coefficient of variation of (1,722), and Variance of 1.11 to confirm the risk estimate we provide. The entity has a beta of 0.45, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Transurban's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transurban is expected to be smaller as well. At this point, Transurban Group has a negative expected return of -0.0603%. Please make sure to validate Transurban's variance, jensen alpha, and the relationship between the standard deviation and information ratio , to decide if Transurban Group performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.67 |
Very good reverse predictability
Transurban Group has very good reverse predictability. Overlapping area represents the amount of predictability between Transurban time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 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 Transurban Group price movement. The serial correlation of -0.67 indicates that around 67.0% of current Transurban price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.67 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Transurban Group lagged returns against current returns
Autocorrelation, which is Transurban 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 Transurban's stock 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 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 |
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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transurban stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transurban stock 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 stock 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 stock 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 Stock
Transurban financial ratios help investors to determine whether Transurban 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 Transurban with respect to the benefits of owning Transurban security.