Energisa (Brazil) Market Value
| ENGI11 Stock | BRL 41.00 0.96 2.29% |
| Symbol | Energisa |
Energisa '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 Energisa'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 Energisa.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Energisa on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Energisa SA or generate 0.0% return on investment in Energisa over 30 days. Energisa is related to or competes with Equatorial Energia, CPFL Energia, Eneva SA, Companhia, and Centrais Eltricas. Energisa S.A., through its subsidiaries, operates as an energy distribution company in Brazil More
Energisa 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 Energisa'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 Energisa SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 6.68 | |||
| Value At Risk | (2.50) | |||
| Potential Upside | 2.44 |
Energisa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Energisa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Energisa's standard deviation. In reality, there are many statistical measures that can use Energisa historical prices to predict the future Energisa's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.45) | |||
| Treynor Ratio | (2.13) |
Energisa SA Backtested Returns
Energisa SA secures Sharpe Ratio (or Efficiency) of -0.19, which denotes the company had a -0.19% return per unit of risk over the last 3 months. Energisa SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Energisa's Mean Deviation of 0.9947, standard deviation of 1.35, and Variance of 1.81 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.13, which means not very significant fluctuations relative to the market. As returns on the market increase, Energisa's returns are expected to increase less than the market. However, during the bear market, the loss of holding Energisa is expected to be smaller as well. At this point, Energisa SA has a negative expected return of -0.25%. Please make sure to confirm Energisa's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Energisa SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.4 |
Poor reverse predictability
Energisa SA has poor reverse predictability. Overlapping area represents the amount of predictability between Energisa time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Energisa SA price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Energisa price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Energisa SA lagged returns against current returns
Autocorrelation, which is Energisa 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 Energisa's stock expected returns. We can calculate the autocorrelation of Energisa returns to help us make a trade decision. For example, suppose you find that Energisa 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 |
Energisa 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 Energisa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Energisa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Energisa stock over time.
Current vs Lagged Prices |
| Timeline |
Energisa Lagged Returns
When evaluating Energisa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Energisa stock have on its future price. Energisa 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, Energisa autocorrelation shows the relationship between Energisa stock current value and its past values and can show if there is a momentum factor associated with investing in Energisa 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 Energisa Stock
Energisa financial ratios help investors to determine whether Energisa 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 Energisa with respect to the benefits of owning Energisa security.