Direcional Engenharia (Brazil) Market Value
| DIRR3 Stock | BRL 24.33 1.17 5.05% |
| Symbol | Direcional |
Direcional Engenharia '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 Direcional Engenharia'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 Direcional Engenharia.
| 02/28/2024 |
| 04/28/2024 |
If you would invest 0.00 in Direcional Engenharia on February 28, 2024 and sell it all today you would earn a total of 0.00 from holding Direcional Engenharia SA or generate 0.0% return on investment in Direcional Engenharia over 60 days. Direcional Engenharia is related to or competes with Engie Brasil, and M Dias. Direcional Engenharia S.A. operates as a real estate development and construction company in Brazil More
Direcional Engenharia 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 Direcional Engenharia'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 Direcional Engenharia SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.73 | |||
| Information Ratio | 0.0696 | |||
| Maximum Drawdown | 11.28 | |||
| Value At Risk | (2.61) | |||
| Potential Upside | 3.49 |
Direcional Engenharia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Direcional Engenharia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Direcional Engenharia's standard deviation. In reality, there are many statistical measures that can use Direcional Engenharia historical prices to predict the future Direcional Engenharia's volatility.| Risk Adjusted Performance | 0.0796 | |||
| Jensen Alpha | 0.1242 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.076 | |||
| Treynor Ratio | 0.1931 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Direcional Engenharia'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.
Direcional Engenharia Backtested Returns
We consider Direcional Engenharia very steady. Direcional Engenharia secures Sharpe Ratio (or Efficiency) of 0.1, which denotes the company had a 0.1% return per unit of risk over the last 3 months. We have found thirty technical indicators for Direcional Engenharia SA, which you can use to evaluate the volatility of the firm. Please confirm Direcional Engenharia's Coefficient Of Variation of 856.26, downside deviation of 1.73, and Mean Deviation of 1.38 to check if the risk estimate we provide is consistent with the expected return of 0.19%. Direcional Engenharia has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 1.09, which means a somewhat significant risk relative to the market. Direcional Engenharia returns are very sensitive to returns on the market. As the market goes up or down, Direcional Engenharia is expected to follow. Direcional Engenharia right now shows a risk of 1.85%. Please confirm Direcional Engenharia value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to decide if Direcional Engenharia will be following its price patterns.
Auto-correlation | -0.4 |
Poor reverse predictability
Direcional Engenharia SA has poor reverse predictability. Overlapping area represents the amount of predictability between Direcional Engenharia time series from 28th of February 2024 to 29th of March 2024 and 29th of March 2024 to 28th 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 Direcional Engenharia price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Direcional Engenharia price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 1.42 |
Direcional Engenharia lagged returns against current returns
Autocorrelation, which is Direcional Engenharia 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 Direcional Engenharia's stock expected returns. We can calculate the autocorrelation of Direcional Engenharia returns to help us make a trade decision. For example, suppose you find that Direcional Engenharia 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 |
Direcional Engenharia 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 Direcional Engenharia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Direcional Engenharia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Direcional Engenharia stock over time.
Current vs Lagged Prices |
| Timeline |
Direcional Engenharia Lagged Returns
When evaluating Direcional Engenharia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Direcional Engenharia stock have on its future price. Direcional Engenharia 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, Direcional Engenharia autocorrelation shows the relationship between Direcional Engenharia stock current value and its past values and can show if there is a momentum factor associated with investing in Direcional Engenharia SA.
Regressed Prices |
| Timeline |
Pair Trading with Direcional Engenharia
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 Direcional Engenharia 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 Direcional Engenharia will appreciate offsetting losses from the drop in the long position's value.Moving together with Direcional Stock
| 0.73 | TMCO34 | Toyota Motor | PairCorr |
| 0.69 | HOND34 | Honda Motor | PairCorr |
| 0.73 | S1MF34 | Sumitomo Mitsui Financial | PairCorr |
Moving against Direcional Stock
| 0.62 | SNEC34 | Sony Group | PairCorr |
| 0.6 | CXTL11 | Fundo De Investimento | PairCorr |
The ability to find closely correlated positions to Direcional Engenharia could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Direcional Engenharia 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 Direcional Engenharia - 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 Direcional Engenharia SA to buy it.
The correlation of Direcional Engenharia 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 Direcional Engenharia moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Direcional Engenharia 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 Direcional Engenharia 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 Direcional Engenharia Correlation, Direcional Engenharia Volatility and Direcional Engenharia Alpha and Beta module to complement your research on Direcional Engenharia. Note that the Direcional Engenharia information on this page should be used as a complementary analysis to other Direcional Engenharia'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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Complementary Tools for Direcional Stock analysis
When running Direcional Engenharia's price analysis, check to measure Direcional Engenharia'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 Direcional Engenharia is operating at the current time. Most of Direcional Engenharia's value examination focuses on studying past and present price action to predict the probability of Direcional Engenharia's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Direcional Engenharia's price. Additionally, you may evaluate how the addition of Direcional Engenharia to your portfolios can decrease your overall portfolio volatility.
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Direcional Engenharia 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.