Groupama Entreprises (Germany) Market Value
| 0P00001S8S | EUR 592.54 0.11 0.02% |
| Symbol | Groupama |
Groupama Entreprises '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 Groupama Entreprises' fund 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 Groupama Entreprises.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Groupama Entreprises on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Groupama Entreprises N or generate 0.0% return on investment in Groupama Entreprises over 30 days. Groupama Entreprises is related to or competes with Lyxor 1, Xtrackers LevDAX, and Xtrackers ShortDAX. The Funds investment objective is to allow holders of short-term investments to obtain returns that tend to outperform t... More
Groupama Entreprises 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 Groupama Entreprises' fund 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 Groupama Entreprises N upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (9.03) | |||
| Maximum Drawdown | 0.0425 | |||
| Potential Upside | 0.0391 |
Groupama Entreprises Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Groupama Entreprises' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Groupama Entreprises' standard deviation. In reality, there are many statistical measures that can use Groupama Entreprises historical prices to predict the future Groupama Entreprises' volatility.| Risk Adjusted Performance | 0.1769 | |||
| Jensen Alpha | 0.0024 | |||
| Total Risk Alpha | 8.0E-4 | |||
| Treynor Ratio | 0.7892 |
Groupama Entreprises Backtested Returns
At this point, Groupama Entreprises is very steady. Groupama Entreprises holds Efficiency (Sharpe) Ratio of 0.97, which attests that the entity had a 0.97% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Groupama Entreprises, which you can use to evaluate the volatility of the entity. Please check out Groupama Entreprises' Standard Deviation of 0.0131, risk adjusted performance of 0.1769, and Market Risk Adjusted Performance of 0.7992 to validate if the risk estimate we provide is consistent with the expected return of 0.0125%. The fund retains a Market Volatility (i.e., Beta) of 0.0036, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Groupama Entreprises' returns are expected to increase less than the market. However, during the bear market, the loss of holding Groupama Entreprises is expected to be smaller as well.
Auto-correlation | 0.92 |
Excellent predictability
Groupama Entreprises N has excellent predictability. Overlapping area represents the amount of predictability between Groupama Entreprises time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th of November 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 Groupama Entreprises price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current Groupama Entreprises price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Groupama Entreprises lagged returns against current returns
Autocorrelation, which is Groupama Entreprises fund'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 Groupama Entreprises' fund expected returns. We can calculate the autocorrelation of Groupama Entreprises returns to help us make a trade decision. For example, suppose you find that Groupama Entreprises has exhibited high autocorrelation historically, and you observe that the fund 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 |
Groupama Entreprises 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 Groupama Entreprises fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Groupama Entreprises fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Groupama Entreprises fund over time.
Current vs Lagged Prices |
| Timeline |
Groupama Entreprises Lagged Returns
When evaluating Groupama Entreprises' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Groupama Entreprises fund have on its future price. Groupama Entreprises 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, Groupama Entreprises autocorrelation shows the relationship between Groupama Entreprises fund current value and its past values and can show if there is a momentum factor associated with investing in Groupama Entreprises N.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Groupama Fund
Groupama Entreprises financial ratios help investors to determine whether Groupama Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Groupama with respect to the benefits of owning Groupama Entreprises security.
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