Agroliga Group (Poland) Market Value
| AGL Stock | 18.90 0.40 2.16% |
| Symbol | Agroliga |
Agroliga Group '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 Agroliga Group'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 Agroliga Group.
| 02/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in Agroliga Group on February 4, 2023 and sell it all today you would earn a total of 0.00 from holding Agroliga Group PLC or generate 0.0% return on investment in Agroliga Group over 660 days. Agroliga Group is related to or competes with Clean Carbon, ADX, and Vee SA. More
Agroliga Group 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 Agroliga Group'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 Agroliga Group PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.83 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 17.18 | |||
| Value At Risk | (4.04) | |||
| Potential Upside | 5.26 |
Agroliga Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Agroliga Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Agroliga Group's standard deviation. In reality, there are many statistical measures that can use Agroliga Group historical prices to predict the future Agroliga Group's volatility.| Risk Adjusted Performance | 0.0289 | |||
| Jensen Alpha | 0.0499 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.3914 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Agroliga Group'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.
Agroliga Group PLC Backtested Returns
Agroliga Group appears to be not too volatile, given 3 months investment horizon. Agroliga Group PLC secures Sharpe Ratio (or Efficiency) of 0.0766, which signifies that the company had a 0.0766% return per unit of risk over the last 3 months. We have found thirty technical indicators for Agroliga Group PLC, which you can use to evaluate the volatility of the firm. Please makes use of Agroliga Group's Mean Deviation of 1.99, risk adjusted performance of 0.0289, and Downside Deviation of 2.83 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Agroliga Group holds a performance score of 6. The firm shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Agroliga Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Agroliga Group is expected to be smaller as well. Please check Agroliga Group's treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to make a quick decision on whether Agroliga Group's price patterns will revert.
Auto-correlation | -0.59 |
Good reverse predictability
Agroliga Group PLC has good reverse predictability. Overlapping area represents the amount of predictability between Agroliga Group time series from 4th of February 2023 to 31st of December 2023 and 31st of December 2023 to 25th 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 Agroliga Group PLC price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Agroliga Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 3.47 |
Agroliga Group PLC lagged returns against current returns
Autocorrelation, which is Agroliga Group 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 Agroliga Group's stock expected returns. We can calculate the autocorrelation of Agroliga Group returns to help us make a trade decision. For example, suppose you find that Agroliga Group 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 |
Agroliga Group 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 Agroliga Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Agroliga Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Agroliga Group stock over time.
Current vs Lagged Prices |
| Timeline |
Agroliga Group Lagged Returns
When evaluating Agroliga Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Agroliga Group stock have on its future price. Agroliga Group 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, Agroliga Group autocorrelation shows the relationship between Agroliga Group stock current value and its past values and can show if there is a momentum factor associated with investing in Agroliga Group PLC.
Regressed Prices |
| Timeline |
Pair Trading with Agroliga Group
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 Agroliga Group 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 Agroliga Group will appreciate offsetting losses from the drop in the long position's value.Moving against Agroliga Stock
The ability to find closely correlated positions to Agroliga Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Agroliga Group 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 Agroliga Group - 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 Agroliga Group PLC to buy it.
The correlation of Agroliga Group 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 Agroliga Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Agroliga Group PLC 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 Agroliga Group 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 Agroliga Stock Analysis
When running Agroliga Group's price analysis, check to measure Agroliga Group'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 Agroliga Group is operating at the current time. Most of Agroliga Group's value examination focuses on studying past and present price action to predict the probability of Agroliga Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Agroliga Group's price. Additionally, you may evaluate how the addition of Agroliga Group to your portfolios can decrease your overall portfolio volatility.