Anglo American (South Africa) Market Value
| AGL Stock | 54,129 671.00 1.26% |
| Symbol | Anglo |
Anglo American '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 Anglo American'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 Anglo American.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Anglo American on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Anglo American PLC or generate 0.0% return on investment in Anglo American over 30 days. Anglo American is related to or competes with Glencore PLC, and Europa Metals. More
Anglo American 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 Anglo American'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 Anglo American PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.39 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 13.01 | |||
| Value At Risk | (3.96) | |||
| Potential Upside | 3.16 |
Anglo American Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Anglo American's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Anglo American's standard deviation. In reality, there are many statistical measures that can use Anglo American historical prices to predict the future Anglo American's volatility.| Risk Adjusted Performance | 0.0219 | |||
| Jensen Alpha | 0.0541 | |||
| Total Risk Alpha | (0.32) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.22) |
Anglo American PLC Backtested Returns
At this point, Anglo American is very steady. Anglo American PLC secures Sharpe Ratio (or Efficiency) of 0.0272, which signifies that the company had a 0.0272% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for Anglo American PLC, which you can use to evaluate the volatility of the firm. Please confirm Anglo American's risk adjusted performance of 0.0219, and Mean Deviation of 1.63 to double-check if the risk estimate we provide is consistent with the expected return of 0.0622%. Anglo American has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Anglo American are expected to decrease at a much lower rate. During the bear market, Anglo American is likely to outperform the market. Anglo American PLC right now shows a risk of 2.29%. Please confirm Anglo American PLC total risk alpha, value at risk, and the relationship between the standard deviation and treynor ratio , to decide if Anglo American PLC will be following its price patterns.
Auto-correlation | -0.31 |
Poor reverse predictability
Anglo American PLC has poor reverse predictability. Overlapping area represents the amount of predictability between Anglo American time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Anglo American PLC price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current Anglo American price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | -0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 895 K |
Anglo American PLC lagged returns against current returns
Autocorrelation, which is Anglo American 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 Anglo American's stock expected returns. We can calculate the autocorrelation of Anglo American returns to help us make a trade decision. For example, suppose you find that Anglo American 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 |
Anglo American 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 Anglo American stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Anglo American stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Anglo American stock over time.
Current vs Lagged Prices |
| Timeline |
Anglo American Lagged Returns
When evaluating Anglo American's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Anglo American stock have on its future price. Anglo American 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, Anglo American autocorrelation shows the relationship between Anglo American stock current value and its past values and can show if there is a momentum factor associated with investing in Anglo American PLC.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Anglo Stock
Anglo American financial ratios help investors to determine whether Anglo Stock 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 Anglo with respect to the benefits of owning Anglo American security.