Agroton Public (Poland) Market Value
| AGT Stock | 3.74 0.16 4.10% |
| Symbol | Agroton |
Agroton Public '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 Agroton Public'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 Agroton Public.
| 12/22/2022 |
| 12/11/2024 |
If you would invest 0.00 in Agroton Public on December 22, 2022 and sell it all today you would earn a total of 0.00 from holding Agroton Public or generate 0.0% return on investment in Agroton Public over 720 days. Agroton Public is related to or competes with Astarta Holding, Asseco Business, and Movie Games. More
Agroton Public 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 Agroton Public'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 Agroton Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.91 | |||
| Information Ratio | 0.0079 | |||
| Maximum Drawdown | 14.01 | |||
| Value At Risk | (4.53) | |||
| Potential Upside | 4.17 |
Agroton Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Agroton Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Agroton Public's standard deviation. In reality, there are many statistical measures that can use Agroton Public historical prices to predict the future Agroton Public's volatility.| Risk Adjusted Performance | 0.0459 | |||
| Jensen Alpha | 0.1187 | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | 0.0074 | |||
| Treynor Ratio | 0.8972 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Agroton Public'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.
Agroton Public Backtested Returns
Currently, Agroton Public is relatively risky. Agroton Public secures Sharpe Ratio (or Efficiency) of 0.0567, which signifies that the company had a 0.0567% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Agroton Public, which you can use to evaluate the volatility of the firm. Please confirm Agroton Public's Mean Deviation of 2.02, downside deviation of 2.91, and Risk Adjusted Performance of 0.0459 to double-check if the risk estimate we provide is consistent with the expected return of 0.16%. Agroton Public has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Agroton Public's returns are expected to increase less than the market. However, during the bear market, the loss of holding Agroton Public is expected to be smaller as well. Agroton Public right now shows a risk of 2.82%. Please confirm Agroton Public treynor ratio, kurtosis, relative strength index, as well as the relationship between the downside variance and day median price , to decide if Agroton Public will be following its price patterns.
Auto-correlation | -0.63 |
Very good reverse predictability
Agroton Public has very good reverse predictability. Overlapping area represents the amount of predictability between Agroton Public time series from 22nd of December 2022 to 17th of December 2023 and 17th of December 2023 to 11th of December 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 Agroton Public price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Agroton Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Agroton Public lagged returns against current returns
Autocorrelation, which is Agroton Public 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 Agroton Public's stock expected returns. We can calculate the autocorrelation of Agroton Public returns to help us make a trade decision. For example, suppose you find that Agroton Public 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 |
Agroton Public 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 Agroton Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Agroton Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Agroton Public stock over time.
Current vs Lagged Prices |
| Timeline |
Agroton Public Lagged Returns
When evaluating Agroton Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Agroton Public stock have on its future price. Agroton Public 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, Agroton Public autocorrelation shows the relationship between Agroton Public stock current value and its past values and can show if there is a momentum factor associated with investing in Agroton Public.
Regressed Prices |
| Timeline |
Pair Trading with Agroton Public
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 Agroton Public 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 Agroton Public will appreciate offsetting losses from the drop in the long position's value.Moving together with Agroton Stock
Moving against Agroton Stock
| 0.58 | ALE | Allegroeu SA | PairCorr |
| 0.36 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.33 | KGH | KGHM Polska Miedz | PairCorr |
The ability to find closely correlated positions to Agroton Public could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Agroton Public 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 Agroton Public - 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 Agroton Public to buy it.
The correlation of Agroton Public 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 Agroton Public moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Agroton Public 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 Agroton Public 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 Agroton Stock Analysis
When running Agroton Public's price analysis, check to measure Agroton Public'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 Agroton Public is operating at the current time. Most of Agroton Public's value examination focuses on studying past and present price action to predict the probability of Agroton Public's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Agroton Public's price. Additionally, you may evaluate how the addition of Agroton Public to your portfolios can decrease your overall portfolio volatility.