Grupo Security (Chile) Market Value
| SECURITY | CLP 266.00 1.82 0.69% |
| Symbol | Grupo |
Grupo Security '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 Grupo Security'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 Grupo Security.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Grupo Security on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Grupo Security or generate 0.0% return on investment in Grupo Security over 180 days. Grupo Security is related to or competes with Banco De, Multiexport Foods, and LATAM Airlines. Grupo Security S.A., a diversified financial holding company, provides financing, insurance, investment, asset managemen... More
Grupo Security 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 Grupo Security'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 Grupo Security upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.943 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.84 | |||
| Value At Risk | (1.27) | |||
| Potential Upside | 1.12 |
Grupo Security Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupo Security's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupo Security's standard deviation. In reality, there are many statistical measures that can use Grupo Security historical prices to predict the future Grupo Security's volatility.| Risk Adjusted Performance | 0.0722 | |||
| Jensen Alpha | 0.075 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (3.84) |
Grupo Security Backtested Returns
Currently, Grupo Security is very steady. Grupo Security holds Efficiency (Sharpe) Ratio of 0.0691, which attests that the entity had a 0.0691% return per unit of risk over the last 3 months. We have found thirty technical indicators for Grupo Security, which you can use to evaluate the volatility of the firm. Please check out Grupo Security's Market Risk Adjusted Performance of (3.83), risk adjusted performance of 0.0722, and Downside Deviation of 0.943 to validate if the risk estimate we provide is consistent with the expected return of 0.0613%. Grupo Security has a performance score of 5 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.0189, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Grupo Security are expected to decrease at a much lower rate. During the bear market, Grupo Security is likely to outperform the market. Grupo Security right now retains a risk of 0.89%. Please check out Grupo Security semi variance, as well as the relationship between the rate of daily change and relative strength index , to decide if Grupo Security will be following its current trending patterns.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
Grupo Security has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Grupo Security time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th 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 Grupo Security price movement. The serial correlation of -0.71 indicates that around 71.0% of current Grupo Security price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 37.73 |
Grupo Security lagged returns against current returns
Autocorrelation, which is Grupo Security 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 Grupo Security's stock expected returns. We can calculate the autocorrelation of Grupo Security returns to help us make a trade decision. For example, suppose you find that Grupo Security 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 |
Grupo Security 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 Grupo Security stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupo Security stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupo Security stock over time.
Current vs Lagged Prices |
| Timeline |
Grupo Security Lagged Returns
When evaluating Grupo Security's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupo Security stock have on its future price. Grupo Security 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, Grupo Security autocorrelation shows the relationship between Grupo Security stock current value and its past values and can show if there is a momentum factor associated with investing in Grupo Security.
Regressed Prices |
| Timeline |
Pair Trading with Grupo Security
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 Grupo Security 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 Grupo Security will appreciate offsetting losses from the drop in the long position's value.Moving together with Grupo Stock
| 0.85 | AFPCAPITAL | AFP Capital SA | PairCorr |
| 0.61 | AAISA | Administradora Americana | PairCorr |
| 0.89 | ENLASA | Energia Latina SA | PairCorr |
Moving against Grupo Stock
The ability to find closely correlated positions to Grupo Security could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Grupo Security 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 Grupo Security - 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 Grupo Security to buy it.
The correlation of Grupo Security 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 Grupo Security moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Grupo Security 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 Grupo Security 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 Grupo Stock Analysis
When running Grupo Security's price analysis, check to measure Grupo Security'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 Grupo Security is operating at the current time. Most of Grupo Security's value examination focuses on studying past and present price action to predict the probability of Grupo Security's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupo Security's price. Additionally, you may evaluate how the addition of Grupo Security to your portfolios can decrease your overall portfolio volatility.