GlaxoSmithKline Plc (Mexico) Market Value
| GSKN Stock | MXN 739.40 0.57 0.08% |
| Symbol | GlaxoSmithKline |
GlaxoSmithKline Plc '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 Plc'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 GlaxoSmithKline Plc.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in GlaxoSmithKline Plc on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding GlaxoSmithKline plc or generate 0.0% return on investment in GlaxoSmithKline Plc over 30 days. GlaxoSmithKline Plc is related to or competes with Bank of Nova Scotia, Verizon Communications, Prudential Financial, GMxico Transportes, FIBRA Storage, and Genworth Financial. GSK plc, together with its subsidiaries, engages in the creation, discovery, development, manufacture, and marketing of ... More
GlaxoSmithKline Plc 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 Plc'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 GlaxoSmithKline plc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 14.39 | |||
| Value At Risk | (0.08) | |||
| Potential Upside | 0.1504 |
GlaxoSmithKline Plc Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GlaxoSmithKline Plc's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GlaxoSmithKline Plc's standard deviation. In reality, there are many statistical measures that can use GlaxoSmithKline Plc historical prices to predict the future GlaxoSmithKline Plc's volatility.| Risk Adjusted Performance | 0.0111 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | 0.027 |
GlaxoSmithKline plc Backtested Returns
At this stage we consider GlaxoSmithKline Stock to be very steady. GlaxoSmithKline plc holds Efficiency (Sharpe) Ratio of 0.0066, which attests that the entity had a 0.0066% return per unit of standard deviation over the last 3 months. We have found twenty-one technical indicators for GlaxoSmithKline plc, which you can use to evaluate the volatility of the firm. Please check out GlaxoSmithKline Plc's risk adjusted performance of 0.0111, and Market Risk Adjusted Performance of 0.037 to validate if the risk estimate we provide is consistent with the expected return of 0.0137%. The company retains a Market Volatility (i.e., Beta) of 0.11, which attests to not very significant fluctuations relative to the market. As returns on the market increase, GlaxoSmithKline Plc's returns are expected to increase less than the market. However, during the bear market, the loss of holding GlaxoSmithKline Plc is expected to be smaller as well. GlaxoSmithKline plc right now retains a risk of 2.1%. Please check out GlaxoSmithKline Plc coefficient of variation, variance, and the relationship between the mean deviation and standard deviation , to decide if GlaxoSmithKline Plc will be following its current trending patterns.
Auto-correlation | -0.39 |
Poor reverse predictability
GlaxoSmithKline plc has poor reverse predictability. Overlapping area represents the amount of predictability between GlaxoSmithKline Plc 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 GlaxoSmithKline plc price movement. The serial correlation of -0.39 indicates that just about 39.0% of current GlaxoSmithKline Plc price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 1357.47 |
GlaxoSmithKline plc lagged returns against current returns
Autocorrelation, which is GlaxoSmithKline Plc 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 Plc's stock expected returns. We can calculate the autocorrelation of GlaxoSmithKline Plc returns to help us make a trade decision. For example, suppose you find that GlaxoSmithKline Plc 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 |
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GlaxoSmithKline Plc 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 Plc stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GlaxoSmithKline Plc stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GlaxoSmithKline Plc stock over time.
Current vs Lagged Prices |
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GlaxoSmithKline Plc Lagged Returns
When evaluating GlaxoSmithKline Plc's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GlaxoSmithKline Plc stock have on its future price. GlaxoSmithKline Plc 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 Plc autocorrelation shows the relationship between GlaxoSmithKline Plc stock current value and its past values and can show if there is a momentum factor associated with investing in GlaxoSmithKline plc.
Regressed Prices |
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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.Additional Tools for GlaxoSmithKline Stock Analysis
When running GlaxoSmithKline Plc's price analysis, check to measure GlaxoSmithKline Plc'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 GlaxoSmithKline Plc is operating at the current time. Most of GlaxoSmithKline Plc's value examination focuses on studying past and present price action to predict the probability of GlaxoSmithKline Plc's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move GlaxoSmithKline Plc's price. Additionally, you may evaluate how the addition of GlaxoSmithKline Plc to your portfolios can decrease your overall portfolio volatility.