Kruk SA (Poland) Market Value
| KRU Stock | 420.00 3.60 0.85% |
| Symbol | Kruk |
Kruk SA '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 Kruk SA'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 Kruk SA.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Kruk SA on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Kruk SA or generate 0.0% return on investment in Kruk SA over 30 days. Kruk SA is related to or competes with PMPG Polskie, Movie Games, True Games, Varsav Game, and Pyramid Games. More
Kruk SA 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 Kruk SA'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 Kruk SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 7.39 | |||
| Value At Risk | (2.79) | |||
| Potential Upside | 2.45 |
Kruk SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Kruk SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Kruk SA's standard deviation. In reality, there are many statistical measures that can use Kruk SA historical prices to predict the future Kruk SA's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.28) | |||
| Treynor Ratio | (9.18) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Kruk SA'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.
Kruk SA Backtested Returns
Kruk SA has Sharpe Ratio of -0.0562, which conveys that the firm had a -0.0562% return per unit of risk over the last 3 months. Kruk SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Kruk SA's Risk Adjusted Performance of (0.01), standard deviation of 1.53, and Mean Deviation of 1.19 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.0041, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Kruk SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Kruk SA is expected to be smaller as well. At this point, Kruk SA has a negative expected return of -0.0814%. Please make sure to verify Kruk SA's maximum drawdown, accumulation distribution, as well as the relationship between the Accumulation Distribution and market facilitation index , to decide if Kruk SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.37 |
Below average predictability
Kruk SA has below average predictability. Overlapping area represents the amount of predictability between Kruk SA time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Kruk SA price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Kruk SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 52.32 |
Kruk SA lagged returns against current returns
Autocorrelation, which is Kruk SA 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 Kruk SA's stock expected returns. We can calculate the autocorrelation of Kruk SA returns to help us make a trade decision. For example, suppose you find that Kruk SA 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 |
Kruk SA 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 Kruk SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Kruk SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Kruk SA stock over time.
Current vs Lagged Prices |
| Timeline |
Kruk SA Lagged Returns
When evaluating Kruk SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Kruk SA stock have on its future price. Kruk SA 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, Kruk SA autocorrelation shows the relationship between Kruk SA stock current value and its past values and can show if there is a momentum factor associated with investing in Kruk SA.
Regressed Prices |
| Timeline |
Pair Trading with Kruk SA
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 Kruk SA 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 Kruk SA will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Kruk SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Kruk SA 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 Kruk SA - 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 Kruk SA to buy it.
The correlation of Kruk SA 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 Kruk SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Kruk 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 Kruk SA 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 Kruk Stock Analysis
When running Kruk SA's price analysis, check to measure Kruk SA'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 Kruk SA is operating at the current time. Most of Kruk SA's value examination focuses on studying past and present price action to predict the probability of Kruk SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Kruk SA's price. Additionally, you may evaluate how the addition of Kruk SA to your portfolios can decrease your overall portfolio volatility.