Costco Wholesale (Mexico) Market Value
| COST Stock | MXN 12,353 151.83 1.21% |
| Symbol | Costco |
Costco Wholesale '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 Costco Wholesale'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 Costco Wholesale.
| 01/01/2024 |
| 04/30/2024 |
If you would invest 0.00 in Costco Wholesale on January 1, 2024 and sell it all today you would earn a total of 0.00 from holding Costco Wholesale or generate 0.0% return on investment in Costco Wholesale over 120 days. Costco Wholesale is related to or competes with United States, UnitedHealth Group, Lloyds Banking, McEwen Mining, Steel Dynamics, FibraHotel, and Air Transport. Costco Wholesale Corporation, together with its subsidiaries, engages in the operation of membership warehouses in the U... More
Costco Wholesale 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 Costco Wholesale'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 Costco Wholesale upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 9.19 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.62 |
Costco Wholesale Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Costco Wholesale's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Costco Wholesale's standard deviation. In reality, there are many statistical measures that can use Costco Wholesale historical prices to predict the future Costco Wholesale's volatility.| Risk Adjusted Performance | 0.0429 | |||
| Jensen Alpha | 0.1027 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | (0.20) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Costco Wholesale'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.
Costco Wholesale Backtested Returns
We consider Costco Wholesale very steady. Costco Wholesale secures Sharpe Ratio (or Efficiency) of 0.0628, which signifies that the company had a 0.0628% return per unit of risk over the last 3 months. We have found thirty technical indicators for Costco Wholesale, which you can use to evaluate the volatility of the firm. Please confirm Costco Wholesale's Downside Deviation of 1.71, mean deviation of 0.9397, and Risk Adjusted Performance of 0.0429 to double-check if the risk estimate we provide is consistent with the expected return of 0.089%. Costco Wholesale has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.37, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Costco Wholesale are expected to decrease at a much lower rate. During the bear market, Costco Wholesale is likely to outperform the market. Costco Wholesale right now shows a risk of 1.42%. Please confirm Costco Wholesale treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if Costco Wholesale will be following its price patterns.
Auto-correlation | -0.5 |
Modest reverse predictability
Costco Wholesale has modest reverse predictability. Overlapping area represents the amount of predictability between Costco Wholesale time series from 1st of January 2024 to 1st of March 2024 and 1st of March 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 Costco Wholesale price movement. The serial correlation of -0.5 indicates that about 50.0% of current Costco Wholesale price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 126.5 K |
Costco Wholesale lagged returns against current returns
Autocorrelation, which is Costco Wholesale 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 Costco Wholesale's stock expected returns. We can calculate the autocorrelation of Costco Wholesale returns to help us make a trade decision. For example, suppose you find that Costco Wholesale 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 |
Costco Wholesale 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 Costco Wholesale stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Costco Wholesale stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Costco Wholesale stock over time.
Current vs Lagged Prices |
| Timeline |
Costco Wholesale Lagged Returns
When evaluating Costco Wholesale's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Costco Wholesale stock have on its future price. Costco Wholesale 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, Costco Wholesale autocorrelation shows the relationship between Costco Wholesale stock current value and its past values and can show if there is a momentum factor associated with investing in Costco Wholesale.
Regressed Prices |
| Timeline |
Pair Trading with Costco Wholesale
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 Costco Wholesale 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 Costco Wholesale will appreciate offsetting losses from the drop in the long position's value.Moving against Costco Stock
| 0.46 | SMSNN | Samsung Electronics | PairCorr |
The ability to find closely correlated positions to Costco Wholesale could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Costco Wholesale 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 Costco Wholesale - 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 Costco Wholesale to buy it.
The correlation of Costco Wholesale 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 Costco Wholesale moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Costco Wholesale 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 Costco Wholesale 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 Costco Wholesale Correlation, Costco Wholesale Volatility and Costco Wholesale Alpha and Beta module to complement your research on Costco Wholesale. You can also try the Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Complementary Tools for Costco Stock analysis
When running Costco Wholesale's price analysis, check to measure Costco Wholesale'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 Costco Wholesale is operating at the current time. Most of Costco Wholesale's value examination focuses on studying past and present price action to predict the probability of Costco Wholesale's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Costco Wholesale's price. Additionally, you may evaluate how the addition of Costco Wholesale to your portfolios can decrease your overall portfolio volatility.
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Costco Wholesale 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.