Engie Energia (Chile) Market Value
| ECL Stock | CLP 877.10 2.90 0.33% |
| Symbol | Engie |
Engie Energia '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 Engie Energia'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 Engie Energia.
| 11/19/2024 |
| 12/19/2024 |
If you would invest 0.00 in Engie Energia on November 19, 2024 and sell it all today you would earn a total of 0.00 from holding Engie Energia Chile or generate 0.0% return on investment in Engie Energia over 30 days. Engie Energia is related to or competes with Colbun, Enel Chile, CAP SA, Enel Amricas, and Empresas CMPC. Engie Energia Chile S.A. engages in the generation, transmission, and supply of electricity to industrial, power distrib... More
Engie Energia 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 Engie Energia'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 Engie Energia Chile upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.08 | |||
| Information Ratio | 0.0434 | |||
| Maximum Drawdown | 3.96 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.72 |
Engie Energia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engie Energia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engie Energia's standard deviation. In reality, there are many statistical measures that can use Engie Energia historical prices to predict the future Engie Energia's volatility.| Risk Adjusted Performance | 0.0585 | |||
| Jensen Alpha | 0.0662 | |||
| Total Risk Alpha | 0.0402 | |||
| Sortino Ratio | 0.0435 | |||
| Treynor Ratio | 14.74 |
Engie Energia Chile Backtested Returns
As of now, Engie Stock is very steady. Engie Energia Chile secures Sharpe Ratio (or Efficiency) of 0.0209, which denotes the company had a 0.0209% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Engie Energia Chile, which you can use to evaluate the volatility of the firm. Please confirm Engie Energia's Downside Deviation of 1.08, coefficient of variation of 1423.98, and Mean Deviation of 0.901 to check if the risk estimate we provide is consistent with the expected return of 0.0225%. Engie Energia has a performance score of 1 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0045, which means not very significant fluctuations relative to the market. As returns on the market increase, Engie Energia's returns are expected to increase less than the market. However, during the bear market, the loss of holding Engie Energia is expected to be smaller as well. Engie Energia Chile right now shows a risk of 1.08%. Please confirm Engie Energia Chile coefficient of variation, maximum drawdown, skewness, as well as the relationship between the total risk alpha and downside variance , to decide if Engie Energia Chile will be following its price patterns.
Auto-correlation | 0.02 |
Virtually no predictability
Engie Energia Chile has virtually no predictability. Overlapping area represents the amount of predictability between Engie Energia time series from 19th of November 2024 to 4th of December 2024 and 4th of December 2024 to 19th 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 Engie Energia Chile price movement. The serial correlation of 0.02 indicates that only 2.0% of current Engie Energia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 28.81 |
Engie Energia Chile lagged returns against current returns
Autocorrelation, which is Engie Energia 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 Engie Energia's stock expected returns. We can calculate the autocorrelation of Engie Energia returns to help us make a trade decision. For example, suppose you find that Engie Energia 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 |
Engie Energia 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 Engie Energia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engie Energia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engie Energia stock over time.
Current vs Lagged Prices |
| Timeline |
Engie Energia Lagged Returns
When evaluating Engie Energia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engie Energia stock have on its future price. Engie Energia 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, Engie Energia autocorrelation shows the relationship between Engie Energia stock current value and its past values and can show if there is a momentum factor associated with investing in Engie Energia Chile.
Regressed Prices |
| Timeline |
Pair Trading with Engie Energia
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 Engie Energia 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 Engie Energia will appreciate offsetting losses from the drop in the long position's value.Moving together with Engie Stock
The ability to find closely correlated positions to Engie Energia could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Engie Energia 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 Engie Energia - 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 Engie Energia Chile to buy it.
The correlation of Engie Energia 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 Engie Energia moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engie Energia Chile 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 Engie Energia 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.Other Information on Investing in Engie Stock
Engie Energia financial ratios help investors to determine whether Engie Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Engie with respect to the benefits of owning Engie Energia security.