GlaxoSmithKline Pharmaceuticals (India) Market Value
| GLAXO Stock | 2,342 70.15 2.91% |
| Symbol | GlaxoSmithKline |
GlaxoSmithKline Pharmaceuticals '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 GlaxoSmithKline Pharmaceuticals' 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 GlaxoSmithKline Pharmaceuticals.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in GlaxoSmithKline Pharmaceuticals on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding GlaxoSmithKline Pharmaceuticals Limited or generate 0.0% return on investment in GlaxoSmithKline Pharmaceuticals over 30 days. GlaxoSmithKline Pharmaceuticals is related to or competes with Kingfa Science, Rico Auto, GACM Technologies, COSMO FIRST, Tribhovandas Bhimji, Parag Milk, and Heubach Colorants. GlaxoSmithKline Pharmaceuticals is entity of India More
GlaxoSmithKline Pharmaceuticals 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 GlaxoSmithKline Pharmaceuticals' 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 GlaxoSmithKline Pharmaceuticals Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 7.99 | |||
| Value At Risk | (3.72) | |||
| Potential Upside | 2.01 |
GlaxoSmithKline Pharmaceuticals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GlaxoSmithKline Pharmaceuticals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GlaxoSmithKline Pharmaceuticals' standard deviation. In reality, there are many statistical measures that can use GlaxoSmithKline Pharmaceuticals historical prices to predict the future GlaxoSmithKline Pharmaceuticals' volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.63) | |||
| Treynor Ratio | 0.7579 |
GlaxoSmithKline Pharmaceuticals Backtested Returns
GlaxoSmithKline Pharmaceuticals holds Efficiency (Sharpe) Ratio of -0.15, which attests that the entity had a -0.15% return per unit of standard deviation over the last 3 months. GlaxoSmithKline Pharmaceuticals exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out GlaxoSmithKline Pharmaceuticals' risk adjusted performance of (0.14), and Market Risk Adjusted Performance of 0.7679 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.46, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning GlaxoSmithKline Pharmaceuticals are expected to decrease at a much lower rate. During the bear market, GlaxoSmithKline Pharmaceuticals is likely to outperform the market. At this point, GlaxoSmithKline Pharmaceuticals has a negative expected return of -0.27%. Please make sure to check out GlaxoSmithKline Pharmaceuticals' potential upside, and the relationship between the jensen alpha and rate of daily change , to decide if GlaxoSmithKline Pharmaceuticals performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.22 |
Weak predictability
GlaxoSmithKline Pharmaceuticals Limited has weak predictability. Overlapping area represents the amount of predictability between GlaxoSmithKline Pharmaceuticals time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 GlaxoSmithKline Pharmaceuticals price movement. The serial correlation of 0.22 indicates that over 22.0% of current GlaxoSmithKline Pharmaceuticals price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 3806.35 |
GlaxoSmithKline Pharmaceuticals lagged returns against current returns
Autocorrelation, which is GlaxoSmithKline Pharmaceuticals 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 GlaxoSmithKline Pharmaceuticals' stock expected returns. We can calculate the autocorrelation of GlaxoSmithKline Pharmaceuticals returns to help us make a trade decision. For example, suppose you find that GlaxoSmithKline Pharmaceuticals 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 |
GlaxoSmithKline Pharmaceuticals 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 GlaxoSmithKline Pharmaceuticals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GlaxoSmithKline Pharmaceuticals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GlaxoSmithKline Pharmaceuticals stock over time.
Current vs Lagged Prices |
| Timeline |
GlaxoSmithKline Pharmaceuticals Lagged Returns
When evaluating GlaxoSmithKline Pharmaceuticals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GlaxoSmithKline Pharmaceuticals stock have on its future price. GlaxoSmithKline Pharmaceuticals 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, GlaxoSmithKline Pharmaceuticals autocorrelation shows the relationship between GlaxoSmithKline Pharmaceuticals stock current value and its past values and can show if there is a momentum factor associated with investing in GlaxoSmithKline Pharmaceuticals Limited.
Regressed Prices |
| Timeline |
Also Currently Popular
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 GlaxoSmithKline Stock
GlaxoSmithKline Pharmaceuticals financial ratios help investors to determine whether GlaxoSmithKline 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 GlaxoSmithKline with respect to the benefits of owning GlaxoSmithKline Pharmaceuticals security.