HM Inwest (Poland) Market Value
| HMI Stock | 48.20 0.30 0.62% |
| Symbol | HMI |
HM Inwest '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 HM Inwest'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 HM Inwest.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in HM Inwest on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding HM Inwest SA or generate 0.0% return on investment in HM Inwest over 30 days.
HM Inwest 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 HM Inwest'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 HM Inwest SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.73 | |||
| Information Ratio | 0.0609 | |||
| Maximum Drawdown | 25.8 | |||
| Value At Risk | (3.54) | |||
| Potential Upside | 6.4 |
HM Inwest Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for HM Inwest's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as HM Inwest's standard deviation. In reality, there are many statistical measures that can use HM Inwest historical prices to predict the future HM Inwest's volatility.| Risk Adjusted Performance | 0.0828 | |||
| Jensen Alpha | 0.329 | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | 0.0577 | |||
| Treynor Ratio | 5.58 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of HM Inwest'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.
HM Inwest SA Backtested Returns
HM Inwest appears to be very steady, given 3 months investment horizon. HM Inwest SA retains Efficiency (Sharpe Ratio) of 0.16, which attests that the entity had a 0.16% return per unit of price deviation over the last 3 months. By inspecting HM Inwest's technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please utilize HM Inwest's Market Risk Adjusted Performance of 5.59, standard deviation of 3.54, and Semi Deviation of 2.09 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, HM Inwest holds a performance score of 12. The company owns a Beta (Systematic Risk) of 0.0603, which attests to not very significant fluctuations relative to the market. As returns on the market increase, HM Inwest's returns are expected to increase less than the market. However, during the bear market, the loss of holding HM Inwest is expected to be smaller as well. Please check HM Inwest's potential upside, day median price, and the relationship between the sortino ratio and skewness , to make a quick decision on whether HM Inwest's current price history will revert.
Auto-correlation | 0.62 |
Good predictability
HM Inwest SA has good predictability. Overlapping area represents the amount of predictability between HM Inwest time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 HM Inwest SA price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current HM Inwest price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
HM Inwest SA lagged returns against current returns
Autocorrelation, which is HM Inwest 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 HM Inwest's stock expected returns. We can calculate the autocorrelation of HM Inwest returns to help us make a trade decision. For example, suppose you find that HM Inwest 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 |
HM Inwest 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 HM Inwest stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if HM Inwest stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in HM Inwest stock over time.
Current vs Lagged Prices |
| Timeline |
HM Inwest Lagged Returns
When evaluating HM Inwest's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of HM Inwest stock have on its future price. HM Inwest 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, HM Inwest autocorrelation shows the relationship between HM Inwest stock current value and its past values and can show if there is a momentum factor associated with investing in HM Inwest SA.
Regressed Prices |
| Timeline |
Pair Trading with HM Inwest
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 HM Inwest 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 HM Inwest will appreciate offsetting losses from the drop in the long position's value.Moving together with HMI Stock
Moving against HMI Stock
| 0.83 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.67 | ALE | Allegroeu SA | PairCorr |
| 0.59 | SPL | Santander Bank Polska | PairCorr |
| 0.59 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to HM Inwest could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace HM Inwest 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 HM Inwest - 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 HM Inwest SA to buy it.
The correlation of HM Inwest 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 HM Inwest moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if HM Inwest 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 HM Inwest 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 HMI Stock Analysis
When running HM Inwest's price analysis, check to measure HM Inwest'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 HM Inwest is operating at the current time. Most of HM Inwest's value examination focuses on studying past and present price action to predict the probability of HM Inwest's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move HM Inwest's price. Additionally, you may evaluate how the addition of HM Inwest to your portfolios can decrease your overall portfolio volatility.