Value Grupo (Mexico) Market Value
| VALUEGFO | MXN 80.90 0.00 0.00% |
| Symbol | Value |
Value Grupo '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 Value Grupo'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 Value Grupo.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in Value Grupo on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding Value Grupo Financiero or generate 0.0% return on investment in Value Grupo over 360 days. Value Grupo is related to or competes with Monster Beverage, First Majestic, Grupo Sports, GMxico Transportes, Burlington Stores, and Grupo Hotelero. Value Grupo Financiero SAB de CV, through its subsidiaries, provides various financial services in Mexico More
Value Grupo 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 Value Grupo'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 Value Grupo Financiero upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 19.54 | |||
| Value At Risk | (5.31) | |||
| Potential Upside | 4.51 |
Value Grupo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Value Grupo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Value Grupo's standard deviation. In reality, there are many statistical measures that can use Value Grupo historical prices to predict the future Value Grupo's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.25) | |||
| Total Risk Alpha | (0.71) | |||
| Treynor Ratio | 5.95 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Value Grupo'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.
Value Grupo Financiero Backtested Returns
Value Grupo Financiero owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0822, which indicates the firm had a -0.0822% return per unit of risk over the last 3 months. Value Grupo Financiero exposes nineteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Value Grupo's Risk Adjusted Performance of (0.06), variance of 8.2, and Coefficient Of Variation of (1,148) to confirm the risk estimate we provide. The entity has a beta of -0.0436, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Value Grupo are expected to decrease at a much lower rate. During the bear market, Value Grupo is likely to outperform the market. At this point, Value Grupo Financiero has a negative expected return of -0.24%. Please make sure to validate Value Grupo's information ratio, potential upside, as well as the relationship between the Potential Upside and day median price , to decide if Value Grupo Financiero performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.24 |
Weak predictability
Value Grupo Financiero has weak predictability. Overlapping area represents the amount of predictability between Value Grupo time series from 30th of November 2023 to 28th of May 2024 and 28th of May 2024 to 24th 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 Value Grupo Financiero price movement. The serial correlation of 0.24 indicates that over 24.0% of current Value Grupo price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 19.0 |
Value Grupo Financiero lagged returns against current returns
Autocorrelation, which is Value Grupo 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 Value Grupo's stock expected returns. We can calculate the autocorrelation of Value Grupo returns to help us make a trade decision. For example, suppose you find that Value Grupo 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 |
Value Grupo 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 Value Grupo stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Value Grupo stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Value Grupo stock over time.
Current vs Lagged Prices |
| Timeline |
Value Grupo Lagged Returns
When evaluating Value Grupo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Value Grupo stock have on its future price. Value Grupo 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, Value Grupo autocorrelation shows the relationship between Value Grupo stock current value and its past values and can show if there is a momentum factor associated with investing in Value Grupo Financiero.
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 Value Stock
Value Grupo financial ratios help investors to determine whether Value Stock 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 Value with respect to the benefits of owning Value Grupo security.