Great West Lifeco Stock Market Value
| GWO Stock | CAD 50.04 0.18 0.36% |
| Symbol | Great |
Great West Lifeco Price To Book Ratio
Great West '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 Great West'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 Great West.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Great West on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Great West Lifeco or generate 0.0% return on investment in Great West over 90 days. Great West is related to or competes with Sun Life, Power, Manulife Financial, National Bank, and IGM Financial. Great-West Lifeco Inc., a financial services holding company, engages in the life and health insurance, retirement and i... More
Great West 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 Great West'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 Great West Lifeco upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7351 | |||
| Information Ratio | 0.1504 | |||
| Maximum Drawdown | 4.23 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 1.16 |
Great West Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great West's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great West's standard deviation. In reality, there are many statistical measures that can use Great West historical prices to predict the future Great West's volatility.| Risk Adjusted Performance | 0.2474 | |||
| Jensen Alpha | 0.2319 | |||
| Total Risk Alpha | 0.115 | |||
| Sortino Ratio | 0.1514 | |||
| Treynor Ratio | (13.68) |
Great West Lifeco Backtested Returns
Great West appears to be very steady, given 3 months investment horizon. Great West Lifeco holds Efficiency (Sharpe) Ratio of 0.28, which attests that the entity had a 0.28% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Great West Lifeco, which you can use to evaluate the volatility of the firm. Please utilize Great West's Risk Adjusted Performance of 0.2474, market risk adjusted performance of (13.67), and Downside Deviation of 0.7351 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Great West holds a performance score of 22. The company retains a Market Volatility (i.e., Beta) of -0.0168, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Great West are expected to decrease at a much lower rate. During the bear market, Great West is likely to outperform the market. Please check Great West's information ratio, downside variance, day median price, as well as the relationship between the treynor ratio and kurtosis , to make a quick decision on whether Great West's current trending patterns will revert.
Auto-correlation | 0.68 |
Good predictability
Great West Lifeco has good predictability. Overlapping area represents the amount of predictability between Great West 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 Great West Lifeco price movement. The serial correlation of 0.68 indicates that around 68.0% of current Great West price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.68 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 1.22 |
Great West Lifeco lagged returns against current returns
Autocorrelation, which is Great West 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 Great West's stock expected returns. We can calculate the autocorrelation of Great West returns to help us make a trade decision. For example, suppose you find that Great West 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 |
Great West 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 Great West stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great West stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Great West stock over time.
Current vs Lagged Prices |
| Timeline |
Great West Lagged Returns
When evaluating Great West's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great West stock have on its future price. Great West 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, Great West autocorrelation shows the relationship between Great West stock current value and its past values and can show if there is a momentum factor associated with investing in Great West Lifeco.
Regressed Prices |
| Timeline |
Pair Trading with Great West
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 Great West 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 Great West will appreciate offsetting losses from the drop in the long position's value.Moving together with Great Stock
The ability to find closely correlated positions to Great West could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Great West 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 Great West - 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 Great West Lifeco to buy it.
The correlation of Great West 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 Great West moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Great West Lifeco 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 Great West 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 Great Stock
Great West financial ratios help investors to determine whether Great 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 Great with respect to the benefits of owning Great West security.