Cosan SA (Brazil) Market Value
| CSAN3 Stock | BRL 14.29 0.13 0.90% |
| Symbol | Cosan |
Cosan SA '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 Cosan SA'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 Cosan SA.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Cosan SA on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Cosan SA or generate 0.0% return on investment in Cosan SA over 30 days. Cosan SA is related to or competes with PDG Realty, Positivo Tecnologia, Rossi Residencial, Eternit SA, and Gafisa SA. Cosan S.A., through its subsidiaries, primarily engages in the fuel distribution business in Brazil, Europe, Latin Ameri... More
Cosan SA 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 Cosan SA'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 Cosan SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.25) | |||
| Maximum Drawdown | 7.01 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 1.95 |
Cosan SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cosan SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cosan SA's standard deviation. In reality, there are many statistical measures that can use Cosan SA historical prices to predict the future Cosan SA's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.40) | |||
| Total Risk Alpha | (0.54) | |||
| Treynor Ratio | (0.34) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Cosan SA'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.
Cosan SA Backtested Returns
Cosan SA secures Sharpe Ratio (or Efficiency) of -0.24, which signifies that the company had a -0.24% return per unit of risk over the last 3 months. Cosan SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Cosan SA's Mean Deviation of 1.31, standard deviation of 1.63, and Risk Adjusted Performance of (0.11) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.92, which signifies possible diversification benefits within a given portfolio. Cosan SA returns are very sensitive to returns on the market. As the market goes up or down, Cosan SA is expected to follow. Cosan SA has an expected return of -0.38%. Please make sure to confirm Cosan SA potential upside, kurtosis, and the relationship between the maximum drawdown and skewness , to decide if Cosan SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.73 |
Good predictability
Cosan SA has good predictability. Overlapping area represents the amount of predictability between Cosan SA time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 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 Cosan SA price movement. The serial correlation of 0.73 indicates that around 73.0% of current Cosan SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Cosan SA lagged returns against current returns
Autocorrelation, which is Cosan SA 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 Cosan SA's stock expected returns. We can calculate the autocorrelation of Cosan SA returns to help us make a trade decision. For example, suppose you find that Cosan SA 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 |
Cosan SA 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 Cosan SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cosan SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cosan SA stock over time.
Current vs Lagged Prices |
| Timeline |
Cosan SA Lagged Returns
When evaluating Cosan SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cosan SA stock have on its future price. Cosan SA 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, Cosan SA autocorrelation shows the relationship between Cosan SA stock current value and its past values and can show if there is a momentum factor associated with investing in Cosan SA.
Regressed Prices |
| Timeline |
Pair Trading with Cosan SA
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 Cosan SA 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 Cosan SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Cosan Stock
| 0.86 | BSLI4 | BRB Banco | PairCorr |
Moving against Cosan Stock
| 0.83 | CARE11 | Mxima Renda Corporativa | PairCorr |
| 0.8 | D1EX34 | DexCom Inc | PairCorr |
| 0.8 | BCFF11 | Fundo De Investimento | PairCorr |
The ability to find closely correlated positions to Cosan SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cosan SA 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 Cosan SA - 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 Cosan SA to buy it.
The correlation of Cosan SA 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 Cosan SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cosan 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 Cosan SA 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 Cosan SA Correlation, Cosan SA Volatility and Cosan SA Alpha and Beta module to complement your research on Cosan SA. Note that the Cosan SA information on this page should be used as a complementary analysis to other Cosan SA's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Cosan Stock analysis
When running Cosan SA's price analysis, check to measure Cosan SA'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 Cosan SA is operating at the current time. Most of Cosan SA's value examination focuses on studying past and present price action to predict the probability of Cosan SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Cosan SA's price. Additionally, you may evaluate how the addition of Cosan SA to your portfolios can decrease your overall portfolio volatility.
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Cosan SA 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.