Engro (Pakistan) Market Value
| ENGRO Stock | 319.20 13.51 4.06% |
| Symbol | Engro |
Engro '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 Engro'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 Engro.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Engro on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Engro or generate 0.0% return on investment in Engro over 90 days. Engro is related to or competes with Askari Bank, MCB Bank, Packages, Shifa International, Adamjee Insurance, United Insurance, and Crescent Star. More
Engro 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 Engro'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 Engro upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.24 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 7.62 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 2.92 |
Engro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engro's standard deviation. In reality, there are many statistical measures that can use Engro historical prices to predict the future Engro's volatility.| Risk Adjusted Performance | 0.0626 | |||
| Jensen Alpha | 0.0811 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.5779 |
Engro Backtested Returns
As of now, Engro Stock is very steady. Engro secures Sharpe Ratio (or Efficiency) of 0.11, which denotes the company had a 0.11% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Engro, which you can use to evaluate the volatility of the firm. Please confirm Engro's Mean Deviation of 1.09, downside deviation of 1.24, and Coefficient Of Variation of 1323.65 to check if the risk estimate we provide is consistent with the expected return of 0.15%. Engro has a performance score of 8 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.18, which means not very significant fluctuations relative to the market. As returns on the market increase, Engro's returns are expected to increase less than the market. However, during the bear market, the loss of holding Engro is expected to be smaller as well. Engro right now shows a risk of 1.44%. Please confirm Engro value at risk, and the relationship between the jensen alpha and skewness , to decide if Engro will be following its price patterns.
Auto-correlation | 0.02 |
Virtually no predictability
Engro has virtually no predictability. Overlapping area represents the amount of predictability between Engro time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th 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 Engro price movement. The serial correlation of 0.02 indicates that only 2.0% of current Engro price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 102.95 |
Engro lagged returns against current returns
Autocorrelation, which is Engro 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 Engro's stock expected returns. We can calculate the autocorrelation of Engro returns to help us make a trade decision. For example, suppose you find that Engro 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 |
Engro 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 Engro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engro stock over time.
Current vs Lagged Prices |
| Timeline |
Engro Lagged Returns
When evaluating Engro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engro stock have on its future price. Engro 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, Engro autocorrelation shows the relationship between Engro stock current value and its past values and can show if there is a momentum factor associated with investing in Engro.
Regressed Prices |
| Timeline |
Pair Trading with Engro
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 Engro 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 Engro will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Engro could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Engro 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 Engro - 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 Engro to buy it.
The correlation of Engro 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 Engro moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engro 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 Engro 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 Engro Stock
Engro financial ratios help investors to determine whether Engro 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 Engro with respect to the benefits of owning Engro security.