Ingevec (Chile) Market Value
INGEVEC Stock | CLP 57.42 0.47 0.83% |
Symbol | Ingevec |
Ingevec '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 Ingevec'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 Ingevec.
01/28/2023 |
| 12/18/2024 |
If you would invest 0.00 in Ingevec on January 28, 2023 and sell it all today you would earn a total of 0.00 from holding Ingevec or generate 0.0% return on investment in Ingevec over 690 days. Ingevec is related to or competes with Aguas Andinas, Parq Arauco, Enel Generacin, Sociedad Matriz, and Empresa Nacional. Ingevec S.A., together with its subsidiaries, engages in engineering and construction of public and private infrastructu... More
Ingevec 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 Ingevec'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 Ingevec upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.94 | |||
Information Ratio | 0.0055 | |||
Maximum Drawdown | 6.14 | |||
Value At Risk | (1.92) | |||
Potential Upside | 2.2 |
Ingevec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ingevec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ingevec's standard deviation. In reality, there are many statistical measures that can use Ingevec historical prices to predict the future Ingevec's volatility.Risk Adjusted Performance | 0.05 | |||
Jensen Alpha | 0.0648 | |||
Total Risk Alpha | (0.03) | |||
Sortino Ratio | 0.0033 | |||
Treynor Ratio | (5.83) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ingevec'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.
Ingevec Backtested Returns
Ingevec appears to be very steady, given 3 months investment horizon. Ingevec holds Efficiency (Sharpe) Ratio of 0.2, which attests that the entity had a 0.2% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Ingevec, which you can use to evaluate the volatility of the firm. Please utilize Ingevec's Downside Deviation of 1.94, market risk adjusted performance of (5.82), and Risk Adjusted Performance of 0.05 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Ingevec holds a performance score of 15. The company retains a Market Volatility (i.e., Beta) of -0.011, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ingevec are expected to decrease at a much lower rate. During the bear market, Ingevec is likely to outperform the market. Please check Ingevec's potential upside, and the relationship between the total risk alpha and kurtosis , to make a quick decision on whether Ingevec's current trending patterns will revert.
Auto-correlation | 0.58 |
Modest predictability
Ingevec has modest predictability. Overlapping area represents the amount of predictability between Ingevec time series from 28th of January 2023 to 8th of January 2024 and 8th of January 2024 to 18th 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 Ingevec price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Ingevec price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.58 | |
Spearman Rank Test | -0.07 | |
Residual Average | 0.0 | |
Price Variance | 5.64 |
Ingevec lagged returns against current returns
Autocorrelation, which is Ingevec 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 Ingevec's stock expected returns. We can calculate the autocorrelation of Ingevec returns to help us make a trade decision. For example, suppose you find that Ingevec 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 |
Ingevec 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 Ingevec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ingevec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ingevec stock over time.
Current vs Lagged Prices |
Timeline |
Ingevec Lagged Returns
When evaluating Ingevec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ingevec stock have on its future price. Ingevec 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, Ingevec autocorrelation shows the relationship between Ingevec stock current value and its past values and can show if there is a momentum factor associated with investing in Ingevec.
Regressed Prices |
Timeline |
Pair Trading with Ingevec
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 Ingevec 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 Ingevec will appreciate offsetting losses from the drop in the long position's value.Moving together with Ingevec Stock
Moving against Ingevec Stock
The ability to find closely correlated positions to Ingevec could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ingevec 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 Ingevec - 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 Ingevec to buy it.
The correlation of Ingevec 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 Ingevec moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ingevec 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 Ingevec 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 Ingevec Stock
Ingevec financial ratios help investors to determine whether Ingevec 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 Ingevec with respect to the benefits of owning Ingevec security.