Asseco Poland (Poland) Market Value
| ACP Stock | 85.95 0.10 0.12% |
| Symbol | Asseco |
Asseco Poland '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 Asseco Poland'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 Asseco Poland.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Asseco Poland on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Asseco Poland SA or generate 0.0% return on investment in Asseco Poland over 30 days. Asseco Poland is related to or competes with UniCredit SpA, MBank SA, CI Games, TEN SQUARE, GreenX Metals, and Centrum Finansowe. More
Asseco Poland 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 Asseco Poland'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 Asseco Poland SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 8.99 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 2.37 |
Asseco Poland Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Asseco Poland's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Asseco Poland's standard deviation. In reality, there are many statistical measures that can use Asseco Poland historical prices to predict the future Asseco Poland's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (0.08) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Asseco Poland'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.
Asseco Poland SA Backtested Returns
Asseco Poland SA secures Sharpe Ratio (or Efficiency) of -0.071, which signifies that the company had a -0.071% return per unit of risk over the last 3 months. Asseco Poland SA exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Asseco Poland's insignificant Risk Adjusted Performance, standard deviation of 1.41, and Mean Deviation of 1.06 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.31, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Asseco Poland's returns are expected to increase less than the market. However, during the bear market, the loss of holding Asseco Poland is expected to be smaller as well. At this point, Asseco Poland SA has a negative expected return of -0.1%. Please make sure to confirm Asseco Poland's potential upside, as well as the relationship between the daily balance of power and price action indicator , to decide if Asseco Poland SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.49 |
Average predictability
Asseco Poland SA has average predictability. Overlapping area represents the amount of predictability between Asseco Poland time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Asseco Poland SA price movement. The serial correlation of 0.49 indicates that about 49.0% of current Asseco Poland price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 1.0 |
Asseco Poland SA lagged returns against current returns
Autocorrelation, which is Asseco Poland 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 Asseco Poland's stock expected returns. We can calculate the autocorrelation of Asseco Poland returns to help us make a trade decision. For example, suppose you find that Asseco Poland 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 |
Asseco Poland 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 Asseco Poland stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Asseco Poland stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Asseco Poland stock over time.
Current vs Lagged Prices |
| Timeline |
Asseco Poland Lagged Returns
When evaluating Asseco Poland's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Asseco Poland stock have on its future price. Asseco Poland 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, Asseco Poland autocorrelation shows the relationship between Asseco Poland stock current value and its past values and can show if there is a momentum factor associated with investing in Asseco Poland SA.
Regressed Prices |
| Timeline |
Pair Trading with Asseco Poland
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 Asseco Poland 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 Asseco Poland will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Asseco Poland could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Asseco Poland 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 Asseco Poland - 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 Asseco Poland SA to buy it.
The correlation of Asseco Poland 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 Asseco Poland moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Asseco Poland SA 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 Asseco Poland 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.Additional Tools for Asseco Stock Analysis
When running Asseco Poland's price analysis, check to measure Asseco Poland'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 Asseco Poland is operating at the current time. Most of Asseco Poland's value examination focuses on studying past and present price action to predict the probability of Asseco Poland's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Asseco Poland's price. Additionally, you may evaluate how the addition of Asseco Poland to your portfolios can decrease your overall portfolio volatility.