Grupa KTY (Poland) Market Value
| KTY Stock | 712.00 5.00 0.70% |
| Symbol | Grupa |
Grupa KTY '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 Grupa KTY'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 Grupa KTY.
| 10/05/2024 |
| 12/04/2024 |
If you would invest 0.00 in Grupa KTY on October 5, 2024 and sell it all today you would earn a total of 0.00 from holding Grupa KTY SA or generate 0.0% return on investment in Grupa KTY over 60 days. Grupa KTY is related to or competes with Asseco Business, Movie Games, and Igoria Trade. More
Grupa KTY 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 Grupa KTY'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 Grupa KTY SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 13.83 | |||
| Value At Risk | (3.89) | |||
| Potential Upside | 2.68 |
Grupa KTY Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupa KTY's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupa KTY's standard deviation. In reality, there are many statistical measures that can use Grupa KTY historical prices to predict the future Grupa KTY's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (1.17) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grupa KTY'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.
Grupa KTY SA Backtested Returns
Grupa KTY SA holds Efficiency (Sharpe) Ratio of -0.0346, which attests that the entity had a -0.0346% return per unit of risk over the last 3 months. Grupa KTY SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grupa KTY's Risk Adjusted Performance of (0.02), market risk adjusted performance of (1.16), and Standard Deviation of 2.35 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.0872, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Grupa KTY's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grupa KTY is expected to be smaller as well. At this point, Grupa KTY SA has a negative expected return of -0.0801%. Please make sure to check out Grupa KTY's maximum drawdown, accumulation distribution, as well as the relationship between the Accumulation Distribution and market facilitation index , to decide if Grupa KTY SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.63 |
Very good reverse predictability
Grupa KTY SA has very good reverse predictability. Overlapping area represents the amount of predictability between Grupa KTY time series from 5th of October 2024 to 4th of November 2024 and 4th of November 2024 to 4th 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 Grupa KTY SA price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Grupa KTY price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 392.79 |
Grupa KTY SA lagged returns against current returns
Autocorrelation, which is Grupa KTY 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 Grupa KTY's stock expected returns. We can calculate the autocorrelation of Grupa KTY returns to help us make a trade decision. For example, suppose you find that Grupa KTY 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 |
Grupa KTY 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 Grupa KTY stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupa KTY stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupa KTY stock over time.
Current vs Lagged Prices |
| Timeline |
Grupa KTY Lagged Returns
When evaluating Grupa KTY's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupa KTY stock have on its future price. Grupa KTY 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, Grupa KTY autocorrelation shows the relationship between Grupa KTY stock current value and its past values and can show if there is a momentum factor associated with investing in Grupa KTY SA.
Regressed Prices |
| Timeline |
Pair Trading with Grupa KTY
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 Grupa KTY 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 Grupa KTY will appreciate offsetting losses from the drop in the long position's value.Moving together with Grupa Stock
Moving against Grupa Stock
| 0.75 | CEZ | CEZ as | PairCorr |
| 0.47 | UCG | UniCredit SpA | PairCorr |
| 0.41 | ENA | Enea SA | PairCorr |
| 0.31 | SAN | Banco Santander SA | PairCorr |
The ability to find closely correlated positions to Grupa KTY could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Grupa KTY 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 Grupa KTY - 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 Grupa KTY SA to buy it.
The correlation of Grupa KTY 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 Grupa KTY moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Grupa KTY 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 Grupa KTY 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 Grupa Stock Analysis
When running Grupa KTY's price analysis, check to measure Grupa KTY'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 Grupa KTY is operating at the current time. Most of Grupa KTY's value examination focuses on studying past and present price action to predict the probability of Grupa KTY's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupa KTY's price. Additionally, you may evaluate how the addition of Grupa KTY to your portfolios can decrease your overall portfolio volatility.