LPP SA (Poland) Market Value
| LPP Stock | 15,370 710.00 4.84% |
| Symbol | LPP |
LPP 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 LPP 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 LPP SA.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in LPP SA on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding LPP SA or generate 0.0% return on investment in LPP SA over 720 days. LPP SA is related to or competes with Esotiq Henderson, Asseco Business, Movie Games, and Igoria Trade. More
LPP 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 LPP 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 LPP SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.29 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.92 | |||
| Value At Risk | (3.91) | |||
| Potential Upside | 3.73 |
LPP SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LPP SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LPP SA's standard deviation. In reality, there are many statistical measures that can use LPP SA historical prices to predict the future LPP SA's volatility.| Risk Adjusted Performance | 0.0444 | |||
| Jensen Alpha | 0.0641 | |||
| Total Risk Alpha | (0.25) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.3467 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of LPP 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.
LPP SA Backtested Returns
Currently, LPP SA is very steady. LPP SA has Sharpe Ratio of 0.0656, which conveys that the firm had a 0.0656% return per unit of volatility over the last 3 months. We have found thirty technical indicators for LPP SA, which you can use to evaluate the volatility of the firm. Please verify LPP SA's risk adjusted performance of 0.0444, and Mean Deviation of 1.7 to check out if the risk estimate we provide is consistent with the expected return of 0.15%. LPP SA has a performance score of 5 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.28, which conveys not very significant fluctuations relative to the market. As returns on the market increase, LPP SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding LPP SA is expected to be smaller as well. LPP SA currently secures a risk of 2.22%. Please verify LPP SA maximum drawdown, accumulation distribution, relative strength index, as well as the relationship between the semi variance and day typical price , to decide if LPP SA will be following its current price movements.
Auto-correlation | 0.04 |
Virtually no predictability
LPP SA has virtually no predictability. Overlapping area represents the amount of predictability between LPP SA time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 LPP SA price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current LPP SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 1.3 M |
LPP SA lagged returns against current returns
Autocorrelation, which is LPP 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 LPP SA's stock expected returns. We can calculate the autocorrelation of LPP SA returns to help us make a trade decision. For example, suppose you find that LPP 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 |
LPP 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 LPP SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LPP SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LPP SA stock over time.
Current vs Lagged Prices |
| Timeline |
LPP SA Lagged Returns
When evaluating LPP SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LPP SA stock have on its future price. LPP 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, LPP SA autocorrelation shows the relationship between LPP SA stock current value and its past values and can show if there is a momentum factor associated with investing in LPP SA.
Regressed Prices |
| Timeline |
Pair Trading with LPP 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 LPP 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 LPP SA will appreciate offsetting losses from the drop in the long position's value.Moving against LPP Stock
The ability to find closely correlated positions to LPP 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 LPP 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 LPP 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 LPP SA to buy it.
The correlation of LPP 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 LPP SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if LPP 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 LPP 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 LPP Stock Analysis
When running LPP SA's price analysis, check to measure LPP 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 LPP SA is operating at the current time. Most of LPP SA's value examination focuses on studying past and present price action to predict the probability of LPP 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 LPP SA's price. Additionally, you may evaluate how the addition of LPP SA to your portfolios can decrease your overall portfolio volatility.