DIAGEO CAP PLC Market Value
| 25243YAV1 | 84.26 1.76 2.13% |
| Symbol | DIAGEO |
DIAGEO '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 DIAGEO's bond 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 DIAGEO.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in DIAGEO on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding DIAGEO CAP PLC or generate 0.0% return on investment in DIAGEO over 90 days. DIAGEO is related to or competes with Coca Cola, JPMorgan Chase, Dupont De, Alcoa Corp, Boeing, Microsoft, and Procter Gamble. More
DIAGEO 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 DIAGEO's bond 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 DIAGEO CAP PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9726 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.56 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.25 |
DIAGEO Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for DIAGEO's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as DIAGEO's standard deviation. In reality, there are many statistical measures that can use DIAGEO historical prices to predict the future DIAGEO's volatility.| Risk Adjusted Performance | 0.0609 | |||
| Jensen Alpha | 0.0712 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.9082 |
DIAGEO CAP PLC Backtested Returns
At this point, DIAGEO is very steady. DIAGEO CAP PLC retains Efficiency (Sharpe Ratio) of 0.0182, which denotes the bond had a 0.0182% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for DIAGEO, which you can use to evaluate the volatility of the entity. Please confirm DIAGEO's Downside Deviation of 0.9726, market risk adjusted performance of 0.9182, and Coefficient Of Variation of 1342.53 to check if the risk estimate we provide is consistent with the expected return of 0.0183%. The bond owns a Beta (Systematic Risk) of 0.0904, which means not very significant fluctuations relative to the market. As returns on the market increase, DIAGEO's returns are expected to increase less than the market. However, during the bear market, the loss of holding DIAGEO is expected to be smaller as well.
Auto-correlation | -0.43 |
Modest reverse predictability
DIAGEO CAP PLC has modest reverse predictability. Overlapping area represents the amount of predictability between DIAGEO 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 DIAGEO CAP PLC price movement. The serial correlation of -0.43 indicates that just about 43.0% of current DIAGEO price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.43 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 1.53 |
DIAGEO CAP PLC lagged returns against current returns
Autocorrelation, which is DIAGEO bond'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 DIAGEO's bond expected returns. We can calculate the autocorrelation of DIAGEO returns to help us make a trade decision. For example, suppose you find that DIAGEO has exhibited high autocorrelation historically, and you observe that the bond 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 |
DIAGEO 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 DIAGEO bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if DIAGEO bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in DIAGEO bond over time.
Current vs Lagged Prices |
| Timeline |
DIAGEO Lagged Returns
When evaluating DIAGEO's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of DIAGEO bond have on its future price. DIAGEO 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, DIAGEO autocorrelation shows the relationship between DIAGEO bond current value and its past values and can show if there is a momentum factor associated with investing in DIAGEO CAP PLC.
Regressed Prices |
| Timeline |
Also Currently Popular
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 DIAGEO Bond
DIAGEO financial ratios help investors to determine whether DIAGEO Bond 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 DIAGEO with respect to the benefits of owning DIAGEO security.