EDP Renovaveis (Portugal) Market Value
| EDPR Stock | EUR 11.08 0.09 0.81% |
| Symbol | EDP |
EDP Renovaveis '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 EDP Renovaveis' 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 EDP Renovaveis.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in EDP Renovaveis on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding EDP Renovaveis or generate 0.0% return on investment in EDP Renovaveis over 540 days. EDP Renovaveis is related to or competes with EDP Energias, Galp Energia, Sonae SGPS, Altri SGPS, and Banco Comercial. More
EDP Renovaveis 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 EDP Renovaveis' 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 EDP Renovaveis upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 14.32 | |||
| Value At Risk | (3.59) | |||
| Potential Upside | 3.18 |
EDP Renovaveis Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EDP Renovaveis' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EDP Renovaveis' standard deviation. In reality, there are many statistical measures that can use EDP Renovaveis historical prices to predict the future EDP Renovaveis' volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | 0.502 |
EDP Renovaveis Backtested Returns
EDP Renovaveis secures Sharpe Ratio (or Efficiency) of -0.16, which denotes the company had a -0.16% return per unit of risk over the last 3 months. EDP Renovaveis exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm EDP Renovaveis' Coefficient Of Variation of (723.71), mean deviation of 1.74, and Standard Deviation of 2.35 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.67, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning EDP Renovaveis are expected to decrease at a much lower rate. During the bear market, EDP Renovaveis is likely to outperform the market. At this point, EDP Renovaveis has a negative expected return of -0.37%. Please make sure to confirm EDP Renovaveis' value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if EDP Renovaveis performance from the past will be repeated in the future.
Auto-correlation | -0.27 |
Weak reverse predictability
EDP Renovaveis has weak reverse predictability. Overlapping area represents the amount of predictability between EDP Renovaveis time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 EDP Renovaveis price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current EDP Renovaveis price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 6.93 |
EDP Renovaveis lagged returns against current returns
Autocorrelation, which is EDP Renovaveis 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 EDP Renovaveis' stock expected returns. We can calculate the autocorrelation of EDP Renovaveis returns to help us make a trade decision. For example, suppose you find that EDP Renovaveis 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 |
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EDP Renovaveis 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 EDP Renovaveis stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EDP Renovaveis stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EDP Renovaveis stock over time.
Current vs Lagged Prices |
| Timeline |
EDP Renovaveis Lagged Returns
When evaluating EDP Renovaveis' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EDP Renovaveis stock have on its future price. EDP Renovaveis 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, EDP Renovaveis autocorrelation shows the relationship between EDP Renovaveis stock current value and its past values and can show if there is a momentum factor associated with investing in EDP Renovaveis.
Regressed Prices |
| Timeline |
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Additional Tools for EDP Stock Analysis
When running EDP Renovaveis' price analysis, check to measure EDP Renovaveis' 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 EDP Renovaveis is operating at the current time. Most of EDP Renovaveis' value examination focuses on studying past and present price action to predict the probability of EDP Renovaveis' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move EDP Renovaveis' price. Additionally, you may evaluate how the addition of EDP Renovaveis to your portfolios can decrease your overall portfolio volatility.