GlobalData PLC (UK) Market Value
| DATA Stock | 206.00 1.00 0.48% |
| Symbol | GlobalData |
GlobalData PLC '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 GlobalData PLC'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 GlobalData PLC.
| 12/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in GlobalData PLC on December 29, 2023 and sell it all today you would earn a total of 0.00 from holding GlobalData PLC or generate 0.0% return on investment in GlobalData PLC over 330 days. GlobalData PLC is related to or competes with Catalyst Media, CATLIN GROUP, Tamburi Investment, Magnora ASA, RTW Venture, Oncimmune Holdings, and BH Macro. GlobalData PLC is entity of United Kingdom More
GlobalData PLC 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 GlobalData PLC'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 GlobalData PLC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 10.25 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 3.05 |
GlobalData PLC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GlobalData PLC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GlobalData PLC's standard deviation. In reality, there are many statistical measures that can use GlobalData PLC historical prices to predict the future GlobalData PLC's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | (0.37) |
GlobalData PLC Backtested Returns
GlobalData PLC holds Efficiency (Sharpe) Ratio of -0.0421, which attests that the entity had a -0.0421% return per unit of risk over the last 3 months. GlobalData PLC exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out GlobalData PLC's Standard Deviation of 1.88, risk adjusted performance of (0.03), and Market Risk Adjusted Performance of (0.36) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.26, which attests to not very significant fluctuations relative to the market. As returns on the market increase, GlobalData PLC's returns are expected to increase less than the market. However, during the bear market, the loss of holding GlobalData PLC is expected to be smaller as well. At this point, GlobalData PLC has a negative expected return of -0.0797%. Please make sure to check out GlobalData PLC's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if GlobalData PLC performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.76 |
Almost perfect reverse predictability
GlobalData PLC has almost perfect reverse predictability. Overlapping area represents the amount of predictability between GlobalData PLC time series from 29th of December 2023 to 11th of June 2024 and 11th of June 2024 to 23rd 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 GlobalData PLC price movement. The serial correlation of -0.76 indicates that around 76.0% of current GlobalData PLC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.76 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 115.79 |
GlobalData PLC lagged returns against current returns
Autocorrelation, which is GlobalData PLC 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 GlobalData PLC's stock expected returns. We can calculate the autocorrelation of GlobalData PLC returns to help us make a trade decision. For example, suppose you find that GlobalData PLC 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 |
GlobalData PLC 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 GlobalData PLC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GlobalData PLC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GlobalData PLC stock over time.
Current vs Lagged Prices |
| Timeline |
GlobalData PLC Lagged Returns
When evaluating GlobalData PLC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GlobalData PLC stock have on its future price. GlobalData PLC 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, GlobalData PLC autocorrelation shows the relationship between GlobalData PLC stock current value and its past values and can show if there is a momentum factor associated with investing in GlobalData PLC.
Regressed Prices |
| Timeline |
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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.Additional Tools for GlobalData Stock Analysis
When running GlobalData PLC's price analysis, check to measure GlobalData PLC'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 GlobalData PLC is operating at the current time. Most of GlobalData PLC's value examination focuses on studying past and present price action to predict the probability of GlobalData PLC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move GlobalData PLC's price. Additionally, you may evaluate how the addition of GlobalData PLC to your portfolios can decrease your overall portfolio volatility.