EQUITY GROUP (Kenya) Market Value
| EBL Stock | 45.05 0.05 0.11% |
| Symbol | EQUITY |
EQUITY 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 EQUITY 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 EQUITY GROUP.
| 10/10/2023 |
| 12/03/2024 |
If you would invest 0.00 in EQUITY GROUP on October 10, 2023 and sell it all today you would earn a total of 0.00 from holding EQUITY GROUP HOLDINGS or generate 0.0% return on investment in EQUITY GROUP over 420 days.
EQUITY 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 EQUITY 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 EQUITY GROUP HOLDINGS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.66 | |||
| Information Ratio | 0.0266 | |||
| Maximum Drawdown | 7.66 | |||
| Value At Risk | (2.31) | |||
| Potential Upside | 2.29 |
EQUITY GROUP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EQUITY GROUP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EQUITY GROUP's standard deviation. In reality, there are many statistical measures that can use EQUITY GROUP historical prices to predict the future EQUITY GROUP's volatility.| Risk Adjusted Performance | 0.0918 | |||
| Jensen Alpha | 0.1366 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0228 | |||
| Treynor Ratio | 1.12 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of EQUITY 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.
EQUITY GROUP HOLDINGS Backtested Returns
At this point, EQUITY GROUP is very steady. EQUITY GROUP HOLDINGS secures Sharpe Ratio (or Efficiency) of 0.06, which denotes the company had a 0.06% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for EQUITY GROUP HOLDINGS, which you can use to evaluate the volatility of the firm. Please confirm EQUITY GROUP's Downside Deviation of 1.66, mean deviation of 0.9719, and Market Risk Adjusted Performance of 1.13 to check if the risk estimate we provide is consistent with the expected return of 0.085%. EQUITY GROUP has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, EQUITY GROUP's returns are expected to increase less than the market. However, during the bear market, the loss of holding EQUITY GROUP is expected to be smaller as well. EQUITY GROUP HOLDINGS currently shows a risk of 1.42%. Please confirm EQUITY GROUP HOLDINGS expected short fall, and the relationship between the value at risk and daily balance of power , to decide if EQUITY GROUP HOLDINGS will be following its price patterns.
Auto-correlation | 0.69 |
Good predictability
EQUITY GROUP HOLDINGS has good predictability. Overlapping area represents the amount of predictability between EQUITY GROUP time series from 10th of October 2023 to 7th of May 2024 and 7th of May 2024 to 3rd 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 EQUITY GROUP HOLDINGS price movement. The serial correlation of 0.69 indicates that around 69.0% of current EQUITY GROUP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 6.64 |
EQUITY GROUP HOLDINGS lagged returns against current returns
Autocorrelation, which is EQUITY 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 EQUITY GROUP's stock expected returns. We can calculate the autocorrelation of EQUITY GROUP returns to help us make a trade decision. For example, suppose you find that EQUITY 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 |
EQUITY 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 EQUITY GROUP stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EQUITY GROUP stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EQUITY GROUP stock over time.
Current vs Lagged Prices |
| Timeline |
EQUITY GROUP Lagged Returns
When evaluating EQUITY GROUP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EQUITY GROUP stock have on its future price. EQUITY 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, EQUITY GROUP autocorrelation shows the relationship between EQUITY GROUP stock current value and its past values and can show if there is a momentum factor associated with investing in EQUITY GROUP HOLDINGS.
Regressed Prices |
| Timeline |