Old Mutual (UK) Market Value
| OMU Stock | 55.20 0.70 1.28% |
| Symbol | Old |
Old Mutual '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 Old Mutual'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 Old Mutual.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Old Mutual on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Old Mutual or generate 0.0% return on investment in Old Mutual over 30 days. Old Mutual is related to or competes with Samsung Electronics, Wheaton Precious, Lundin Mining, Gamma Communications, Hochschild Mining, Blackrock World, and STMicroelectronics. Old Mutual is entity of United Kingdom. It is traded as Stock on LSE exchange. More
Old Mutual 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 Old Mutual'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 Old Mutual upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | 0.1179 | |||
| Maximum Drawdown | 155.46 | |||
| Value At Risk | (2.17) | |||
| Potential Upside | 3.33 |
Old Mutual Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Old Mutual's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Old Mutual's standard deviation. In reality, there are many statistical measures that can use Old Mutual historical prices to predict the future Old Mutual's volatility.| Risk Adjusted Performance | 0.1053 | |||
| Jensen Alpha | 2.79 | |||
| Total Risk Alpha | (0.79) | |||
| Sortino Ratio | 1.31 | |||
| Treynor Ratio | (0.67) |
Old Mutual Backtested Returns
Old Mutual is slightly risky given 3 months investment horizon. Old Mutual maintains Sharpe Ratio (i.e., Efficiency) of 0.13, which implies the firm had a 0.13% return per unit of risk over the last 3 months. We were able to analyze and collect data for twenty-eight different technical indicators, which can help you to evaluate if expected returns of 2.41% are justified by taking the suggested risk. Use Old Mutual Downside Deviation of 1.7, standard deviation of 18.77, and Risk Adjusted Performance of 0.1053 to evaluate company specific risk that cannot be diversified away. Old Mutual holds a performance score of 10 on a scale of zero to a hundred. The company holds a Beta of -3.52, which implies a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Old Mutual are expected to decrease by larger amounts. On the other hand, during market turmoil, Old Mutual is expected to outperform it. Use Old Mutual standard deviation, value at risk, kurtosis, as well as the relationship between the sortino ratio and semi variance , to analyze future returns on Old Mutual.
Auto-correlation | 0.38 |
Below average predictability
Old Mutual has below average predictability. Overlapping area represents the amount of predictability between Old Mutual time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Old Mutual price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Old Mutual price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 0.61 |
Old Mutual lagged returns against current returns
Autocorrelation, which is Old Mutual 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 Old Mutual's stock expected returns. We can calculate the autocorrelation of Old Mutual returns to help us make a trade decision. For example, suppose you find that Old Mutual 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 |
Old Mutual 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 Old Mutual stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Old Mutual stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Old Mutual stock over time.
Current vs Lagged Prices |
| Timeline |
Old Mutual Lagged Returns
When evaluating Old Mutual's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Old Mutual stock have on its future price. Old Mutual 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, Old Mutual autocorrelation shows the relationship between Old Mutual stock current value and its past values and can show if there is a momentum factor associated with investing in Old Mutual.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Old Stock
Old Mutual financial ratios help investors to determine whether Old 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 Old with respect to the benefits of owning Old Mutual security.