EAST AFRICAN (Kenya) Market Value
| EABREW Stock | 180.00 1.50 0.83% |
| Symbol | EAST |
EAST AFRICAN '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 EAST AFRICAN'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 EAST AFRICAN.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in EAST AFRICAN on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding EAST AFRICAN BREWERIES or generate 0.0% return on investment in EAST AFRICAN over 180 days.
EAST AFRICAN 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 EAST AFRICAN'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 EAST AFRICAN BREWERIES upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.18 | |||
| Information Ratio | 0.0541 | |||
| Maximum Drawdown | 16.02 | |||
| Value At Risk | (4.78) | |||
| Potential Upside | 6.81 |
EAST AFRICAN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EAST AFRICAN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EAST AFRICAN's standard deviation. In reality, there are many statistical measures that can use EAST AFRICAN historical prices to predict the future EAST AFRICAN's volatility.| Risk Adjusted Performance | 0.0797 | |||
| Jensen Alpha | 0.2565 | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | 0.0544 | |||
| Treynor Ratio | 0.9838 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of EAST AFRICAN'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.
EAST AFRICAN BREWERIES Backtested Returns
EAST AFRICAN appears to be very steady, given 3 months investment horizon. EAST AFRICAN BREWERIES secures Sharpe Ratio (or Efficiency) of 0.1, which denotes the company had a 0.1% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for EAST AFRICAN BREWERIES, which you can use to evaluate the volatility of the entity. Please utilize EAST AFRICAN's Mean Deviation of 2.16, market risk adjusted performance of 0.9938, and Downside Deviation of 3.18 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, EAST AFRICAN holds a performance score of 7. The firm shows a Beta (market volatility) of 0.3, which means not very significant fluctuations relative to the market. As returns on the market increase, EAST AFRICAN's returns are expected to increase less than the market. However, during the bear market, the loss of holding EAST AFRICAN is expected to be smaller as well. Please check EAST AFRICAN's expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to make a quick decision on whether EAST AFRICAN's price patterns will revert.
Auto-correlation | 0.52 |
Modest predictability
EAST AFRICAN BREWERIES has modest predictability. Overlapping area represents the amount of predictability between EAST AFRICAN time series from 30th of May 2024 to 28th of August 2024 and 28th of August 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 EAST AFRICAN BREWERIES price movement. The serial correlation of 0.52 indicates that about 52.0% of current EAST AFRICAN price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 235.92 |
EAST AFRICAN BREWERIES lagged returns against current returns
Autocorrelation, which is EAST AFRICAN 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 EAST AFRICAN's stock expected returns. We can calculate the autocorrelation of EAST AFRICAN returns to help us make a trade decision. For example, suppose you find that EAST AFRICAN 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 |
EAST AFRICAN 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 EAST AFRICAN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EAST AFRICAN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EAST AFRICAN stock over time.
Current vs Lagged Prices |
| Timeline |
EAST AFRICAN Lagged Returns
When evaluating EAST AFRICAN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EAST AFRICAN stock have on its future price. EAST AFRICAN 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, EAST AFRICAN autocorrelation shows the relationship between EAST AFRICAN stock current value and its past values and can show if there is a momentum factor associated with investing in EAST AFRICAN BREWERIES.
Regressed Prices |
| Timeline |