Kogeneracja (Poland) Market Value
| KGN Stock | 50.00 0.80 1.57% |
| Symbol | Kogeneracja |
Kogeneracja '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 Kogeneracja'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 Kogeneracja.
| 12/20/2024 |
| 01/19/2025 |
If you would invest 0.00 in Kogeneracja on December 20, 2024 and sell it all today you would earn a total of 0.00 from holding Kogeneracja SA or generate 0.0% return on investment in Kogeneracja over 30 days.
Kogeneracja 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 Kogeneracja'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 Kogeneracja SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 14.47 | |||
| Value At Risk | (3.30) | |||
| Potential Upside | 3.55 |
Kogeneracja Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Kogeneracja's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Kogeneracja's standard deviation. In reality, there are many statistical measures that can use Kogeneracja historical prices to predict the future Kogeneracja's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | 0.7964 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Kogeneracja'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.
Kogeneracja SA Backtested Returns
Kogeneracja SA has Sharpe Ratio of -0.14, which conveys that the firm had a -0.14% return per unit of risk over the last 3 months. Kogeneracja exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Kogeneracja's Risk Adjusted Performance of (0.03), standard deviation of 2.34, and Mean Deviation of 1.76 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.16, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Kogeneracja are expected to decrease at a much lower rate. During the bear market, Kogeneracja is likely to outperform the market. At this point, Kogeneracja SA has a negative expected return of -0.31%. Please make sure to verify Kogeneracja's skewness, and the relationship between the treynor ratio and rate of daily change , to decide if Kogeneracja SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.68 |
Very good reverse predictability
Kogeneracja SA has very good reverse predictability. Overlapping area represents the amount of predictability between Kogeneracja time series from 20th of December 2024 to 4th of January 2025 and 4th of January 2025 to 19th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Kogeneracja SA price movement. The serial correlation of -0.68 indicates that around 68.0% of current Kogeneracja price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.68 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.4 |
Kogeneracja SA lagged returns against current returns
Autocorrelation, which is Kogeneracja 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 Kogeneracja's stock expected returns. We can calculate the autocorrelation of Kogeneracja returns to help us make a trade decision. For example, suppose you find that Kogeneracja 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 |
Kogeneracja 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 Kogeneracja stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Kogeneracja stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Kogeneracja stock over time.
Current vs Lagged Prices |
| Timeline |
Kogeneracja Lagged Returns
When evaluating Kogeneracja's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Kogeneracja stock have on its future price. Kogeneracja 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, Kogeneracja autocorrelation shows the relationship between Kogeneracja stock current value and its past values and can show if there is a momentum factor associated with investing in Kogeneracja SA.
Regressed Prices |
| Timeline |
Pair Trading with Kogeneracja
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 Kogeneracja 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 Kogeneracja will appreciate offsetting losses from the drop in the long position's value.Moving together with Kogeneracja Stock
Moving against Kogeneracja Stock
| 0.76 | CDR | CD PROJEKT SA | PairCorr |
| 0.74 | DNP | Dino Polska SA | PairCorr |
| 0.74 | ACG | AC SA | PairCorr |
| 0.72 | CEZ | CEZ as | PairCorr |
| 0.5 | APN | Aplisens SA | PairCorr |
The ability to find closely correlated positions to Kogeneracja could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Kogeneracja 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 Kogeneracja - 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 Kogeneracja SA to buy it.
The correlation of Kogeneracja 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 Kogeneracja moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Kogeneracja 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 Kogeneracja 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 Kogeneracja Stock Analysis
When running Kogeneracja's price analysis, check to measure Kogeneracja'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 Kogeneracja is operating at the current time. Most of Kogeneracja's value examination focuses on studying past and present price action to predict the probability of Kogeneracja's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Kogeneracja's price. Additionally, you may evaluate how the addition of Kogeneracja to your portfolios can decrease your overall portfolio volatility.