DIAGEO CAPITAL PLC Market Value
| 25243YBB4 | 83.77 4.86 5.48% |
| 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.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in DIAGEO on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding DIAGEO CAPITAL PLC or generate 0.0% return on investment in DIAGEO over 30 days. DIAGEO is related to or competes with National CineMedia, Where Food, Townsquare Media, Software Acquisition, NH Foods, Asure Software, and 51Talk Online. 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 CAPITAL PLC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 9.81 | |||
| Value At Risk | (0.73) | |||
| Potential Upside | 0.4911 |
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 | (0.08) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.29) | |||
| Treynor Ratio | 1.9 |
DIAGEO CAPITAL PLC Backtested Returns
DIAGEO CAPITAL PLC retains Efficiency (Sharpe Ratio) of -0.18, which denotes the bond had a -0.18% return per unit of risk over the last 3 months. DIAGEO exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm DIAGEO's Standard Deviation of 1.09, market risk adjusted performance of 1.91, and Variance of 1.18 to check the risk estimate we provide. The bond owns a Beta (Systematic Risk) of -0.0676, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning DIAGEO are expected to decrease at a much lower rate. During the bear market, DIAGEO is likely to outperform the market.
Auto-correlation | 0.08 |
Virtually no predictability
DIAGEO CAPITAL PLC has virtually no predictability. Overlapping area represents the amount of predictability between DIAGEO time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 CAPITAL PLC price movement. The serial correlation of 0.08 indicates that barely 8.0% of current DIAGEO price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 3.51 |
DIAGEO CAPITAL 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 CAPITAL PLC.
Regressed Prices |
| Timeline |
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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.