Genomtec (Poland) Market Value
| GMT Stock | 7.44 0.30 4.20% |
| Symbol | Genomtec |
Genomtec '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 Genomtec'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 Genomtec.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Genomtec on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Genomtec SA or generate 0.0% return on investment in Genomtec over 30 days.
Genomtec 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 Genomtec'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 Genomtec SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 21.52 | |||
| Value At Risk | (4.94) | |||
| Potential Upside | 4.2 |
Genomtec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Genomtec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Genomtec's standard deviation. In reality, there are many statistical measures that can use Genomtec historical prices to predict the future Genomtec's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.23) | |||
| Total Risk Alpha | (0.79) | |||
| Treynor Ratio | 1.08 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Genomtec's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Genomtec SA Backtested Returns
Genomtec SA holds Efficiency (Sharpe) Ratio of -0.0716, which attests that the entity had a -0.0716% return per unit of risk over the last 3 months. Genomtec SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Genomtec's Risk Adjusted Performance of (0.05), standard deviation of 3.18, and Market Risk Adjusted Performance of 1.09 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.24, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Genomtec are expected to decrease at a much lower rate. During the bear market, Genomtec is likely to outperform the market. At this point, Genomtec SA has a negative expected return of -0.23%. Please make sure to check out Genomtec's accumulation distribution, and the relationship between the value at risk and day typical price , to decide if Genomtec SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.55 |
Modest predictability
Genomtec SA has modest predictability. Overlapping area represents the amount of predictability between Genomtec time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 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 Genomtec SA price movement. The serial correlation of 0.55 indicates that about 55.0% of current Genomtec price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Genomtec SA lagged returns against current returns
Autocorrelation, which is Genomtec 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 Genomtec's stock expected returns. We can calculate the autocorrelation of Genomtec returns to help us make a trade decision. For example, suppose you find that Genomtec 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 |
Genomtec 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 Genomtec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Genomtec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Genomtec stock over time.
Current vs Lagged Prices |
| Timeline |
Genomtec Lagged Returns
When evaluating Genomtec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Genomtec stock have on its future price. Genomtec 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, Genomtec autocorrelation shows the relationship between Genomtec stock current value and its past values and can show if there is a momentum factor associated with investing in Genomtec SA.
Regressed Prices |
| Timeline |
Pair Trading with Genomtec
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 Genomtec 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 Genomtec will appreciate offsetting losses from the drop in the long position's value.Moving against Genomtec Stock
The ability to find closely correlated positions to Genomtec could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Genomtec 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 Genomtec - 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 Genomtec SA to buy it.
The correlation of Genomtec 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 Genomtec moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Genomtec SA 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 Genomtec 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.Additional Tools for Genomtec Stock Analysis
When running Genomtec's price analysis, check to measure Genomtec's 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 Genomtec is operating at the current time. Most of Genomtec's value examination focuses on studying past and present price action to predict the probability of Genomtec's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Genomtec's price. Additionally, you may evaluate how the addition of Genomtec to your portfolios can decrease your overall portfolio volatility.