Umpas Holding (Turkey) Market Value
| UMPAS Stock | TRY 13.98 1.26 9.91% |
| Symbol | Umpas |
Umpas Holding '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 Umpas Holding'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 Umpas Holding.
| 05/16/2022 |
| 05/05/2024 |
If you would invest 0.00 in Umpas Holding on May 16, 2022 and sell it all today you would earn a total of 0.00 from holding Umpas Holding AS or generate 0.0% return on investment in Umpas Holding over 720 days. Umpas Holding is related to or competes with Verusa Holding, Hedef Holdings, GSD Holding, Guler Yatirim, Verusaturk Girisim, Yesil Yatirim, and Hedef Girisim. Umpas Holding A.S., together with its subsidiaries, operates in the ceramics, shopping center, food, machinery, construc... More
Umpas Holding 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 Umpas Holding'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 Umpas Holding AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.11 | |||
| Information Ratio | 0.1614 | |||
| Maximum Drawdown | 19.99 | |||
| Value At Risk | (9.22) | |||
| Potential Upside | 9.99 |
Umpas Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Umpas Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Umpas Holding's standard deviation. In reality, there are many statistical measures that can use Umpas Holding historical prices to predict the future Umpas Holding's volatility.| Risk Adjusted Performance | 0.1193 | |||
| Jensen Alpha | 0.9762 | |||
| Total Risk Alpha | 0.3732 | |||
| Sortino Ratio | 0.1865 | |||
| Treynor Ratio | 1.52 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Umpas Holding'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.
Umpas Holding AS Backtested Returns
Umpas Holding appears to be slightly risky, given 3 months investment horizon. Umpas Holding AS owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the firm had a 0.14% return per unit of risk over the last 3 months. By inspecting Umpas Holding's technical indicators, you can evaluate if the expected return of 0.82% is justified by implied risk. Please review Umpas Holding's Semi Deviation of 4.49, coefficient of variation of 572.0, and Risk Adjusted Performance of 0.1193 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Umpas Holding holds a performance score of 11. The entity has a beta of 0.67, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Umpas Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Umpas Holding is expected to be smaller as well. Please check Umpas Holding's potential upside, as well as the relationship between the kurtosis and day typical price , to make a quick decision on whether Umpas Holding's existing price patterns will revert.
Auto-correlation | 0.59 |
Modest predictability
Umpas Holding AS has modest predictability. Overlapping area represents the amount of predictability between Umpas Holding time series from 16th of May 2022 to 11th of May 2023 and 11th of May 2023 to 5th of May 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 Umpas Holding AS price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Umpas Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 8.97 |
Umpas Holding AS lagged returns against current returns
Autocorrelation, which is Umpas Holding 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 Umpas Holding's stock expected returns. We can calculate the autocorrelation of Umpas Holding returns to help us make a trade decision. For example, suppose you find that Umpas Holding 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 |
Umpas Holding 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 Umpas Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Umpas Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Umpas Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Umpas Holding Lagged Returns
When evaluating Umpas Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Umpas Holding stock have on its future price. Umpas Holding 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, Umpas Holding autocorrelation shows the relationship between Umpas Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Umpas Holding AS.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Umpas Holding in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Umpas Holding's short interest history, or implied volatility extrapolated from Umpas Holding options trading.
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Umpas Holding Correlation, Umpas Holding Volatility and Umpas Holding Alpha and Beta module to complement your research on Umpas Holding. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Complementary Tools for Umpas Stock analysis
When running Umpas Holding's price analysis, check to measure Umpas Holding'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 Umpas Holding is operating at the current time. Most of Umpas Holding's value examination focuses on studying past and present price action to predict the probability of Umpas Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Umpas Holding's price. Additionally, you may evaluate how the addition of Umpas Holding to your portfolios can decrease your overall portfolio volatility.
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Umpas Holding 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.