Metalurgica Gerdau (Brazil) Market Value
| GOAU4 Preferred Stock | BRL 10.59 0.30 2.75% |
| Symbol | Metalurgica |
Metalurgica Gerdau '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 Metalurgica Gerdau's preferred 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 Metalurgica Gerdau.
| 01/22/2023 |
| 04/16/2024 |
If you would invest 0.00 in Metalurgica Gerdau on January 22, 2023 and sell it all today you would earn a total of 0.00 from holding Metalurgica Gerdau SA or generate 0.0% return on investment in Metalurgica Gerdau over 450 days. Metalurgica Gerdau is related to or competes with Companhia Siderrgica, and Companhia Energtica. Metalurgica Gerdau S.A., together with its subsidiaries, produces and supplies long and special steel products in Brazil... More
Metalurgica Gerdau 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 Metalurgica Gerdau's preferred 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 Metalurgica Gerdau SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.2 | |||
| Information Ratio | 0.064 | |||
| Maximum Drawdown | 4.88 | |||
| Value At Risk | (2.09) | |||
| Potential Upside | 2.12 |
Metalurgica Gerdau Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Metalurgica Gerdau's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Metalurgica Gerdau's standard deviation. In reality, there are many statistical measures that can use Metalurgica Gerdau historical prices to predict the future Metalurgica Gerdau's volatility.| Risk Adjusted Performance | 0.0759 | |||
| Jensen Alpha | 0.112 | |||
| Total Risk Alpha | 0.027 | |||
| Sortino Ratio | 0.0687 | |||
| Treynor Ratio | 0.309 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Metalurgica Gerdau'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.
Metalurgica Gerdau Backtested Returns
We consider Metalurgica Gerdau not too volatile. Metalurgica Gerdau has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Metalurgica Gerdau, which you can use to evaluate the volatility of the firm. Please verify Metalurgica Gerdau's Downside Deviation of 1.2, mean deviation of 1.02, and Risk Adjusted Performance of 0.0759 to check out if the risk estimate we provide is consistent with the expected return of 0.17%. Metalurgica Gerdau has a performance score of 9 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.44, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Metalurgica Gerdau's returns are expected to increase less than the market. However, during the bear market, the loss of holding Metalurgica Gerdau is expected to be smaller as well. Metalurgica Gerdau right now secures a risk of 1.32%. Please verify Metalurgica Gerdau SA treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if Metalurgica Gerdau SA will be following its current price movements.
Auto-correlation | 0.04 |
Virtually no predictability
Metalurgica Gerdau SA has virtually no predictability. Overlapping area represents the amount of predictability between Metalurgica Gerdau time series from 22nd of January 2023 to 4th of September 2023 and 4th of September 2023 to 16th 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 Metalurgica Gerdau price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current Metalurgica Gerdau price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 0.21 |
Metalurgica Gerdau lagged returns against current returns
Autocorrelation, which is Metalurgica Gerdau preferred 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 Metalurgica Gerdau's preferred stock expected returns. We can calculate the autocorrelation of Metalurgica Gerdau returns to help us make a trade decision. For example, suppose you find that Metalurgica Gerdau has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Metalurgica Gerdau 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 Metalurgica Gerdau preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Metalurgica Gerdau preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Metalurgica Gerdau preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Metalurgica Gerdau Lagged Returns
When evaluating Metalurgica Gerdau's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Metalurgica Gerdau preferred stock have on its future price. Metalurgica Gerdau 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, Metalurgica Gerdau autocorrelation shows the relationship between Metalurgica Gerdau preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Metalurgica Gerdau SA.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Metalurgica Gerdau Correlation, Metalurgica Gerdau Volatility and Metalurgica Gerdau Alpha and Beta module to complement your research on Metalurgica Gerdau. Note that the Metalurgica Gerdau information on this page should be used as a complementary analysis to other Metalurgica Gerdau'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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
Complementary Tools for Metalurgica Preferred Stock analysis
When running Metalurgica Gerdau's price analysis, check to measure Metalurgica Gerdau'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 Metalurgica Gerdau is operating at the current time. Most of Metalurgica Gerdau's value examination focuses on studying past and present price action to predict the probability of Metalurgica Gerdau's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Metalurgica Gerdau's price. Additionally, you may evaluate how the addition of Metalurgica Gerdau to your portfolios can decrease your overall portfolio volatility.
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Metalurgica Gerdau technical preferred 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, preferred stock market cycles, or different charting patterns.