Vigo System (Poland) Market Value
| VGO Stock | 419.00 21.00 4.77% |
| Symbol | Vigo |
Vigo System '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 Vigo System'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 Vigo System.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Vigo System on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Vigo System SA or generate 0.0% return on investment in Vigo System over 30 days.
Vigo System 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 Vigo System'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 Vigo System SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 10.22 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 2.2 |
Vigo System Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vigo System's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vigo System's standard deviation. In reality, there are many statistical measures that can use Vigo System historical prices to predict the future Vigo System's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.28) | |||
| Total Risk Alpha | (0.66) | |||
| Treynor Ratio | 0.688 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vigo System'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.
Vigo System SA Backtested Returns
Vigo System SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.15, which indicates the firm had a -0.15% return per unit of risk over the last 3 months. Vigo System SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vigo System's Risk Adjusted Performance of (0.13), variance of 3.41, and Coefficient Of Variation of (545.60) to confirm the risk estimate we provide. The entity has a beta of -0.51, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Vigo System are expected to decrease at a much lower rate. During the bear market, Vigo System is likely to outperform the market. At this point, Vigo System SA has a negative expected return of -0.29%. Please make sure to validate Vigo System's kurtosis, and the relationship between the maximum drawdown and day median price , to decide if Vigo System SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.42 |
Average predictability
Vigo System SA has average predictability. Overlapping area represents the amount of predictability between Vigo System time series from 31st of October 2024 to 15th of November 2024 and 15th of November 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 Vigo System SA price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Vigo System price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 131.64 |
Vigo System SA lagged returns against current returns
Autocorrelation, which is Vigo System 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 Vigo System's stock expected returns. We can calculate the autocorrelation of Vigo System returns to help us make a trade decision. For example, suppose you find that Vigo System 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 |
Vigo System 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 Vigo System stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vigo System stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vigo System stock over time.
Current vs Lagged Prices |
| Timeline |
Vigo System Lagged Returns
When evaluating Vigo System's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vigo System stock have on its future price. Vigo System 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, Vigo System autocorrelation shows the relationship between Vigo System stock current value and its past values and can show if there is a momentum factor associated with investing in Vigo System SA.
Regressed Prices |
| Timeline |
Pair Trading with Vigo System
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 Vigo System 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 Vigo System will appreciate offsetting losses from the drop in the long position's value.Moving together with Vigo Stock
Moving against Vigo Stock
| 0.71 | DNP | Dino Polska SA | PairCorr |
| 0.66 | CEZ | CEZ as | PairCorr |
| 0.52 | SAN | Banco Santander SA | PairCorr |
| 0.49 | UCG | UniCredit SpA | PairCorr |
The ability to find closely correlated positions to Vigo System could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vigo System 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 Vigo System - 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 Vigo System SA to buy it.
The correlation of Vigo System 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 Vigo System moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vigo System SA 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 Vigo System 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 Vigo Stock Analysis
When running Vigo System's price analysis, check to measure Vigo System'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 Vigo System is operating at the current time. Most of Vigo System's value examination focuses on studying past and present price action to predict the probability of Vigo System's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vigo System's price. Additionally, you may evaluate how the addition of Vigo System to your portfolios can decrease your overall portfolio volatility.