Caltagirone SpA (Germany) Market Value
| QCG Stock | 5.86 0.06 1.01% |
| Symbol | Caltagirone |
Caltagirone SpA '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 Caltagirone SpA'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 Caltagirone SpA.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Caltagirone SpA on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Caltagirone SpA or generate 0.0% return on investment in Caltagirone SpA over 720 days.
Caltagirone SpA 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 Caltagirone SpA'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 Caltagirone SpA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.6 | |||
| Information Ratio | 0.0327 | |||
| Maximum Drawdown | 25.88 | |||
| Value At Risk | (2.12) | |||
| Potential Upside | 3.2 |
Caltagirone SpA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Caltagirone SpA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Caltagirone SpA's standard deviation. In reality, there are many statistical measures that can use Caltagirone SpA historical prices to predict the future Caltagirone SpA's volatility.| Risk Adjusted Performance | 0.0639 | |||
| Jensen Alpha | 0.2498 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | 0.0331 | |||
| Treynor Ratio | (0.29) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Caltagirone SpA'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.
Caltagirone SpA Backtested Returns
Caltagirone SpA appears to be out of control, given 3 months investment horizon. Caltagirone SpA secures Sharpe Ratio (or Efficiency) of 0.0737, which signifies that the company had a 0.0737% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Caltagirone SpA, which you can use to evaluate the volatility of the firm. Please makes use of Caltagirone SpA's Risk Adjusted Performance of 0.0639, downside deviation of 2.6, and Mean Deviation of 1.35 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Caltagirone SpA holds a performance score of 5. The firm shows a Beta (market volatility) of -0.65, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Caltagirone SpA are expected to decrease at a much lower rate. During the bear market, Caltagirone SpA is likely to outperform the market. Please check Caltagirone SpA's semi variance, rate of daily change, and the relationship between the value at risk and kurtosis , to make a quick decision on whether Caltagirone SpA's price patterns will revert.
Auto-correlation | 0.80 |
Very good predictability
Caltagirone SpA has very good predictability. Overlapping area represents the amount of predictability between Caltagirone SpA time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 Caltagirone SpA price movement. The serial correlation of 0.8 indicates that around 80.0% of current Caltagirone SpA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 0.56 |
Caltagirone SpA lagged returns against current returns
Autocorrelation, which is Caltagirone SpA 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 Caltagirone SpA's stock expected returns. We can calculate the autocorrelation of Caltagirone SpA returns to help us make a trade decision. For example, suppose you find that Caltagirone SpA 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 |
Caltagirone SpA 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 Caltagirone SpA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Caltagirone SpA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Caltagirone SpA stock over time.
Current vs Lagged Prices |
| Timeline |
Caltagirone SpA Lagged Returns
When evaluating Caltagirone SpA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Caltagirone SpA stock have on its future price. Caltagirone SpA 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, Caltagirone SpA autocorrelation shows the relationship between Caltagirone SpA stock current value and its past values and can show if there is a momentum factor associated with investing in Caltagirone SpA.
Regressed Prices |
| Timeline |
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Additional Tools for Caltagirone Stock Analysis
When running Caltagirone SpA's price analysis, check to measure Caltagirone SpA'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 Caltagirone SpA is operating at the current time. Most of Caltagirone SpA's value examination focuses on studying past and present price action to predict the probability of Caltagirone SpA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Caltagirone SpA's price. Additionally, you may evaluate how the addition of Caltagirone SpA to your portfolios can decrease your overall portfolio volatility.