Powszechny Zaklad (Poland) Market Value
| PZU Stock | 43.12 0.20 0.46% |
| Symbol | Powszechny |
Powszechny Zaklad '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 Powszechny Zaklad'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 Powszechny Zaklad.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Powszechny Zaklad on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Powszechny Zaklad Ubezpieczen or generate 0.0% return on investment in Powszechny Zaklad over 30 days. Powszechny Zaklad is related to or competes with LSI Software, Ultimate Games, Gaming Factory, and Carlson Investments. More
Powszechny Zaklad 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 Powszechny Zaklad'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 Powszechny Zaklad Ubezpieczen upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.97 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 10.53 | |||
| Value At Risk | (2.86) | |||
| Potential Upside | 2.86 |
Powszechny Zaklad Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Powszechny Zaklad's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Powszechny Zaklad's standard deviation. In reality, there are many statistical measures that can use Powszechny Zaklad historical prices to predict the future Powszechny Zaklad's volatility.| Risk Adjusted Performance | 0.0091 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.32) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Powszechny Zaklad'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.
Powszechny Zaklad Backtested Returns
Powszechny Zaklad maintains Sharpe Ratio (i.e., Efficiency) of -0.0073, which implies the firm had a -0.0073% return per unit of risk over the last 3 months. Powszechny Zaklad exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Powszechny Zaklad's Risk Adjusted Performance of 0.0091, coefficient of variation of 26841.9, and Semi Deviation of 1.93 to confirm the risk estimate we provide. The company holds a Beta of 0.55, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Powszechny Zaklad's returns are expected to increase less than the market. However, during the bear market, the loss of holding Powszechny Zaklad is expected to be smaller as well. At this point, Powszechny Zaklad has a negative expected return of -0.015%. Please make sure to check Powszechny Zaklad's semi variance, as well as the relationship between the daily balance of power and period momentum indicator , to decide if Powszechny Zaklad performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.52 |
Modest predictability
Powszechny Zaklad Ubezpieczen has modest predictability. Overlapping area represents the amount of predictability between Powszechny Zaklad time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Powszechny Zaklad price movement. The serial correlation of 0.52 indicates that about 52.0% of current Powszechny Zaklad price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 1.31 |
Powszechny Zaklad lagged returns against current returns
Autocorrelation, which is Powszechny Zaklad 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 Powszechny Zaklad's stock expected returns. We can calculate the autocorrelation of Powszechny Zaklad returns to help us make a trade decision. For example, suppose you find that Powszechny Zaklad 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 |
Powszechny Zaklad 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 Powszechny Zaklad stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Powszechny Zaklad stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Powszechny Zaklad stock over time.
Current vs Lagged Prices |
| Timeline |
Powszechny Zaklad Lagged Returns
When evaluating Powszechny Zaklad's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Powszechny Zaklad stock have on its future price. Powszechny Zaklad 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, Powszechny Zaklad autocorrelation shows the relationship between Powszechny Zaklad stock current value and its past values and can show if there is a momentum factor associated with investing in Powszechny Zaklad Ubezpieczen.
Regressed Prices |
| Timeline |
Pair Trading with Powszechny Zaklad
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 Powszechny Zaklad 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 Powszechny Zaklad will appreciate offsetting losses from the drop in the long position's value.Moving together with Powszechny Stock
Moving against Powszechny Stock
The ability to find closely correlated positions to Powszechny Zaklad could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Powszechny Zaklad 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 Powszechny Zaklad - 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 Powszechny Zaklad Ubezpieczen to buy it.
The correlation of Powszechny Zaklad 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 Powszechny Zaklad moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Powszechny Zaklad 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 Powszechny Zaklad 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 Powszechny Stock Analysis
When running Powszechny Zaklad's price analysis, check to measure Powszechny Zaklad'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 Powszechny Zaklad is operating at the current time. Most of Powszechny Zaklad's value examination focuses on studying past and present price action to predict the probability of Powszechny Zaklad's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Powszechny Zaklad's price. Additionally, you may evaluate how the addition of Powszechny Zaklad to your portfolios can decrease your overall portfolio volatility.