Companhia Siderrgica (Brazil) Market Value
| CSNA3 Stock | BRL 14.68 0.47 3.31% |
| Symbol | Companhia |
Companhia Siderrgica '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 Companhia Siderrgica'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 Companhia Siderrgica.
| 01/21/2024 |
| 04/20/2024 |
If you would invest 0.00 in Companhia Siderrgica on January 21, 2024 and sell it all today you would earn a total of 0.00 from holding Companhia Siderrgica Nacional or generate 0.0% return on investment in Companhia Siderrgica over 90 days. Companhia Siderrgica is related to or competes with Tyson Foods, Verizon Communications, Automatic Data, Delta Air, United Airlines, Align Technology, and United Rentals. Companhia Siderrgica Nacional operates as an integrated steel producer in Brazil and Latin America More
Companhia Siderrgica 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 Companhia Siderrgica'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 Companhia Siderrgica Nacional upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 8.54 | |||
| Value At Risk | (3.75) | |||
| Potential Upside | 3.13 |
Companhia Siderrgica Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Companhia Siderrgica's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Companhia Siderrgica's standard deviation. In reality, there are many statistical measures that can use Companhia Siderrgica historical prices to predict the future Companhia Siderrgica's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | (0.57) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Companhia Siderrgica'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.
Companhia Siderrgica Backtested Returns
Companhia Siderrgica secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the company had a -0.11% return per unit of risk over the last 3 months. Companhia Siderrgica Nacional exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Companhia Siderrgica's Mean Deviation of 1.62, standard deviation of 2.04, and Risk Adjusted Performance of (0.06) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Companhia Siderrgica's returns are expected to increase less than the market. However, during the bear market, the loss of holding Companhia Siderrgica is expected to be smaller as well. Companhia Siderrgica has an expected return of -0.22%. Please make sure to confirm Companhia Siderrgica treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if Companhia Siderrgica performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.56 |
Modest predictability
Companhia Siderrgica Nacional has modest predictability. Overlapping area represents the amount of predictability between Companhia Siderrgica time series from 21st of January 2024 to 6th of March 2024 and 6th of March 2024 to 20th 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 Companhia Siderrgica price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Companhia Siderrgica price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.51 |
Companhia Siderrgica lagged returns against current returns
Autocorrelation, which is Companhia Siderrgica 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 Companhia Siderrgica's stock expected returns. We can calculate the autocorrelation of Companhia Siderrgica returns to help us make a trade decision. For example, suppose you find that Companhia Siderrgica 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 |
Companhia Siderrgica 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 Companhia Siderrgica stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Companhia Siderrgica stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Companhia Siderrgica stock over time.
Current vs Lagged Prices |
| Timeline |
Companhia Siderrgica Lagged Returns
When evaluating Companhia Siderrgica's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Companhia Siderrgica stock have on its future price. Companhia Siderrgica 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, Companhia Siderrgica autocorrelation shows the relationship between Companhia Siderrgica stock current value and its past values and can show if there is a momentum factor associated with investing in Companhia Siderrgica Nacional.
Regressed Prices |
| Timeline |
Pair Trading with Companhia Siderrgica
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 Companhia Siderrgica 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 Companhia Siderrgica will appreciate offsetting losses from the drop in the long position's value.Moving together with Companhia Stock
| 0.67 | SBUB34 | Starbucks | PairCorr |
Moving against Companhia Stock
| 0.85 | KLBN3 | Klabin SA | PairCorr |
| 0.8 | JSLG3 | JSL SA | PairCorr |
| 0.74 | BRKM5 | Braskem SA | PairCorr |
| 0.66 | FDMO34 | Ford Motor | PairCorr |
The ability to find closely correlated positions to Companhia Siderrgica could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Companhia Siderrgica 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 Companhia Siderrgica - 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 Companhia Siderrgica Nacional to buy it.
The correlation of Companhia Siderrgica 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 Companhia Siderrgica moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Companhia Siderrgica 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 Companhia Siderrgica 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 Companhia Siderrgica Correlation, Companhia Siderrgica Volatility and Companhia Siderrgica Alpha and Beta module to complement your research on Companhia Siderrgica. Note that the Companhia Siderrgica information on this page should be used as a complementary analysis to other Companhia Siderrgica'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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
Complementary Tools for Companhia Stock analysis
When running Companhia Siderrgica's price analysis, check to measure Companhia Siderrgica'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 Companhia Siderrgica is operating at the current time. Most of Companhia Siderrgica's value examination focuses on studying past and present price action to predict the probability of Companhia Siderrgica's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Companhia Siderrgica's price. Additionally, you may evaluate how the addition of Companhia Siderrgica to your portfolios can decrease your overall portfolio volatility.
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Companhia Siderrgica 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.