Arcelik AS (Turkey) Market Value
ARCLK Stock | TRY 173.00 8.30 5.04% |
Symbol | Arcelik |
Arcelik AS '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 Arcelik AS'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 Arcelik AS.
03/31/2024 |
| 04/30/2024 |
If you would invest 0.00 in Arcelik AS on March 31, 2024 and sell it all today you would earn a total of 0.00 from holding Arcelik AS or generate 0.0% return on investment in Arcelik AS over 30 days. Arcelik AS is related to or competes with Koc Holding, Turkish Airlines, Turkiye Garanti, Turkiye Petrol, Yapi Ve, Haci Omer, and Akbank TAS. Arelik Anonim Sirketi, together with its subsidiaries, produces, markets, sells, services, imports, and exports consumer... More
Arcelik AS 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 Arcelik AS'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 Arcelik AS upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.92 | |||
Information Ratio | 0.1336 | |||
Maximum Drawdown | 10.14 | |||
Value At Risk | (2.76) | |||
Potential Upside | 4.44 |
Arcelik AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Arcelik AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Arcelik AS's standard deviation. In reality, there are many statistical measures that can use Arcelik AS historical prices to predict the future Arcelik AS's volatility.Risk Adjusted Performance | 0.1106 | |||
Jensen Alpha | 0.3424 | |||
Total Risk Alpha | 0.1694 | |||
Sortino Ratio | 0.148 | |||
Treynor Ratio | (1.76) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Arcelik AS'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.
Arcelik AS Backtested Returns
Arcelik AS appears to be very steady, given 3 months investment horizon. Arcelik AS secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Arcelik AS, which you can use to evaluate the volatility of the firm. Please makes use of Arcelik AS's risk adjusted performance of 0.1106, and Mean Deviation of 1.62 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Arcelik AS holds a performance score of 9. The firm shows a Beta (market volatility) of -0.19, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Arcelik AS are expected to decrease at a much lower rate. During the bear market, Arcelik AS is likely to outperform the market. Please check Arcelik AS's value at risk, daily balance of power, and the relationship between the total risk alpha and expected short fall , to make a quick decision on whether Arcelik AS's price patterns will revert.
Auto-correlation | 0.01 |
Virtually no predictability
Arcelik AS has virtually no predictability. Overlapping area represents the amount of predictability between Arcelik AS time series from 31st of March 2024 to 15th of April 2024 and 15th of April 2024 to 30th 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 Arcelik AS price movement. The serial correlation of 0.01 indicates that just 1.0% of current Arcelik AS price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.01 | |
Spearman Rank Test | 0.5 | |
Residual Average | 0.0 | |
Price Variance | 5.62 |
Arcelik AS lagged returns against current returns
Autocorrelation, which is Arcelik AS 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 Arcelik AS's stock expected returns. We can calculate the autocorrelation of Arcelik AS returns to help us make a trade decision. For example, suppose you find that Arcelik AS 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 |
Arcelik AS 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 Arcelik AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arcelik AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Arcelik AS stock over time.
Current vs Lagged Prices |
Timeline |
Arcelik AS Lagged Returns
When evaluating Arcelik AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Arcelik AS stock have on its future price. Arcelik AS 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, Arcelik AS autocorrelation shows the relationship between Arcelik AS stock current value and its past values and can show if there is a momentum factor associated with investing in Arcelik AS.
Regressed Prices |
Timeline |
Pair Trading with Arcelik AS
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 Arcelik AS 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 Arcelik AS will appreciate offsetting losses from the drop in the long position's value.Moving together with Arcelik Stock
0.63 | TUPRS | Turkiye Petrol Rafin | PairCorr |
The ability to find closely correlated positions to Arcelik AS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Arcelik AS 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 Arcelik AS - 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 Arcelik AS to buy it.
The correlation of Arcelik AS 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 Arcelik AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Arcelik AS 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 Arcelik AS 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 Arcelik AS Correlation, Arcelik AS Volatility and Arcelik AS Alpha and Beta module to complement your research on Arcelik AS. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Complementary Tools for Arcelik Stock analysis
When running Arcelik AS's price analysis, check to measure Arcelik AS'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 Arcelik AS is operating at the current time. Most of Arcelik AS's value examination focuses on studying past and present price action to predict the probability of Arcelik AS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Arcelik AS's price. Additionally, you may evaluate how the addition of Arcelik AS to your portfolios can decrease your overall portfolio volatility.
Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets |
Arcelik AS 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.