Pepco Group (Poland) Market Value
| PCO Stock | 16.27 0.10 0.62% |
| Symbol | Pepco |
Pepco Group '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 Pepco Group'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 Pepco Group.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Pepco Group on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Pepco Group BV or generate 0.0% return on investment in Pepco Group over 90 days. Pepco Group is related to or competes with Asseco Business, Movie Games, Igoria Trade, and Bank Millennium. More
Pepco Group 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 Pepco Group'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 Pepco Group BV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 11.47 | |||
| Value At Risk | (3.14) | |||
| Potential Upside | 3.43 |
Pepco Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pepco Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pepco Group's standard deviation. In reality, there are many statistical measures that can use Pepco Group historical prices to predict the future Pepco Group's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.50) | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pepco Group'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.
Pepco Group BV Backtested Returns
Pepco Group BV maintains Sharpe Ratio (i.e., Efficiency) of -0.0343, which implies the firm had a -0.0343% return per unit of risk over the last 3 months. Pepco Group BV exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Pepco Group's Variance of 4.72, risk adjusted performance of (0.05), and Coefficient Of Variation of (1,441) to confirm the risk estimate we provide. The company holds a Beta of 0.54, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Pepco Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pepco Group is expected to be smaller as well. At this point, Pepco Group BV has a negative expected return of -0.0743%. Please make sure to check Pepco Group's skewness, as well as the relationship between the rate of daily change and period momentum indicator , to decide if Pepco Group BV performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
Pepco Group BV has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Pepco Group time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th 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 Pepco Group BV price movement. The serial correlation of -0.71 indicates that around 71.0% of current Pepco Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 1.25 |
Pepco Group BV lagged returns against current returns
Autocorrelation, which is Pepco Group 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 Pepco Group's stock expected returns. We can calculate the autocorrelation of Pepco Group returns to help us make a trade decision. For example, suppose you find that Pepco Group 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 |
Pepco Group 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 Pepco Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pepco Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pepco Group stock over time.
Current vs Lagged Prices |
| Timeline |
Pepco Group Lagged Returns
When evaluating Pepco Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pepco Group stock have on its future price. Pepco Group 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, Pepco Group autocorrelation shows the relationship between Pepco Group stock current value and its past values and can show if there is a momentum factor associated with investing in Pepco Group BV.
Regressed Prices |
| Timeline |
Pair Trading with Pepco Group
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 Pepco Group 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 Pepco Group will appreciate offsetting losses from the drop in the long position's value.Moving against Pepco Stock
The ability to find closely correlated positions to Pepco Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Pepco Group 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 Pepco Group - 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 Pepco Group BV to buy it.
The correlation of Pepco Group 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 Pepco Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pepco Group BV 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 Pepco Group 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 Pepco Stock Analysis
When running Pepco Group's price analysis, check to measure Pepco Group'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 Pepco Group is operating at the current time. Most of Pepco Group's value examination focuses on studying past and present price action to predict the probability of Pepco Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Pepco Group's price. Additionally, you may evaluate how the addition of Pepco Group to your portfolios can decrease your overall portfolio volatility.