Engie SA (France) Market Value
| ENGI Stock | EUR 15.39 0.08 0.52% |
| Symbol | Engie |
Engie SA '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 SA'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 SA.
| 02/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in Engie SA on February 4, 2023 and sell it all today you would earn a total of 0.00 from holding Engie SA or generate 0.0% return on investment in Engie SA over 660 days. Engie SA is related to or competes with Orange SA, Veolia Environnement, AXA SA, and TotalEnergies. ENGIE SA engages in the power, natural gas, and energy services businesses More
Engie SA 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 SA'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 SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 3.72 | |||
| Value At Risk | (1.01) | |||
| Potential Upside | 1.17 |
Engie SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engie SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engie SA's standard deviation. In reality, there are many statistical measures that can use Engie SA historical prices to predict the future Engie SA's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.14) | |||
| Treynor Ratio | 0.3471 |
Engie SA Backtested Returns
Engie SA secures Sharpe Ratio (or Efficiency) of -0.0324, which denotes the company had a -0.0324% return per unit of risk over the last 3 months. Engie SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Engie SA's Mean Deviation of 0.5949, standard deviation of 0.7418, and Variance of 0.5503 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0549, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Engie SA are expected to decrease at a much lower rate. During the bear market, Engie SA is likely to outperform the market. At this point, Engie SA has a negative expected return of -0.024%. Please make sure to confirm Engie SA's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Engie SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.54 |
Modest predictability
Engie SA has modest predictability. Overlapping area represents the amount of predictability between Engie SA time series from 4th of February 2023 to 31st of December 2023 and 31st of December 2023 to 25th 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 Engie SA price movement. The serial correlation of 0.54 indicates that about 54.0% of current Engie SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.85 |
Engie SA lagged returns against current returns
Autocorrelation, which is Engie SA 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 SA's stock expected returns. We can calculate the autocorrelation of Engie SA returns to help us make a trade decision. For example, suppose you find that Engie SA 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 SA 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 SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engie SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engie SA stock over time.
Current vs Lagged Prices |
| Timeline |
Engie SA Lagged Returns
When evaluating Engie SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engie SA stock have on its future price. Engie SA 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 SA autocorrelation shows the relationship between Engie SA stock current value and its past values and can show if there is a momentum factor associated with investing in Engie SA.
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.Other Information on Investing in Engie Stock
Engie SA 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 SA security.