AGFA Gevaert (Belgium) Market Value
| AGFB Stock | EUR 0.73 0.02 2.82% |
| Symbol | AGFA |
AGFA Gevaert '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 AGFA Gevaert'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 AGFA Gevaert.
| 09/04/2023 |
| 11/27/2024 |
If you would invest 0.00 in AGFA Gevaert on September 4, 2023 and sell it all today you would earn a total of 0.00 from holding AGFA Gevaert NV or generate 0.0% return on investment in AGFA Gevaert over 450 days. AGFA Gevaert is related to or competes with NV Bekaert, Barco NV, EVS Broadcast, and Ageas SANV. Agfa-Gevaert NV develops, produces, and distributes various analog and digital imaging systems, and IT solutions worldwi... More
AGFA Gevaert 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 AGFA Gevaert'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 AGFA Gevaert NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 23.74 | |||
| Value At Risk | (4.76) | |||
| Potential Upside | 3.88 |
AGFA Gevaert Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGFA Gevaert's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGFA Gevaert's standard deviation. In reality, there are many statistical measures that can use AGFA Gevaert historical prices to predict the future AGFA Gevaert's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.82) | |||
| Total Risk Alpha | (1.22) | |||
| Treynor Ratio | (0.49) |
AGFA Gevaert NV Backtested Returns
AGFA Gevaert NV secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the company had a -0.18% return per unit of risk over the last 3 months. AGFA Gevaert NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AGFA Gevaert's Mean Deviation of 2.08, standard deviation of 3.55, and Risk Adjusted Performance of (0.13) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.35, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, AGFA Gevaert will likely underperform. At this point, AGFA Gevaert NV has a negative expected return of -0.63%. Please make sure to confirm AGFA Gevaert's mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if AGFA Gevaert NV performance from the past will be repeated at some future date.
Auto-correlation | 0.54 |
Modest predictability
AGFA Gevaert NV has modest predictability. Overlapping area represents the amount of predictability between AGFA Gevaert time series from 4th of September 2023 to 16th of April 2024 and 16th of April 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 AGFA Gevaert NV price movement. The serial correlation of 0.54 indicates that about 54.0% of current AGFA Gevaert price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
AGFA Gevaert NV lagged returns against current returns
Autocorrelation, which is AGFA Gevaert 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 AGFA Gevaert's stock expected returns. We can calculate the autocorrelation of AGFA Gevaert returns to help us make a trade decision. For example, suppose you find that AGFA Gevaert 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 |
AGFA Gevaert 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 AGFA Gevaert stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGFA Gevaert stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGFA Gevaert stock over time.
Current vs Lagged Prices |
| Timeline |
AGFA Gevaert Lagged Returns
When evaluating AGFA Gevaert's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGFA Gevaert stock have on its future price. AGFA Gevaert 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, AGFA Gevaert autocorrelation shows the relationship between AGFA Gevaert stock current value and its past values and can show if there is a momentum factor associated with investing in AGFA Gevaert NV.
Regressed Prices |
| Timeline |
Pair Trading with AGFA Gevaert
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 AGFA Gevaert 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 AGFA Gevaert will appreciate offsetting losses from the drop in the long position's value.Moving against AGFA Stock
The ability to find closely correlated positions to AGFA Gevaert could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGFA Gevaert 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 AGFA Gevaert - 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 AGFA Gevaert NV to buy it.
The correlation of AGFA Gevaert 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 AGFA Gevaert moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGFA Gevaert NV 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 AGFA Gevaert 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 AGFA Stock Analysis
When running AGFA Gevaert's price analysis, check to measure AGFA Gevaert'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 AGFA Gevaert is operating at the current time. Most of AGFA Gevaert's value examination focuses on studying past and present price action to predict the probability of AGFA Gevaert's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGFA Gevaert's price. Additionally, you may evaluate how the addition of AGFA Gevaert to your portfolios can decrease your overall portfolio volatility.