WAWEL SA (Poland) Market Value
| WWL Stock | 606.00 2.00 0.33% |
| Symbol | WAWEL |
WAWEL SA '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 WAWEL SA'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 WAWEL SA.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in WAWEL SA on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding WAWEL SA or generate 0.0% return on investment in WAWEL SA over 30 days.
WAWEL SA 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 WAWEL SA'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 WAWEL SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.93 | |||
| Value At Risk | (2.50) | |||
| Potential Upside | 2.4 |
WAWEL SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for WAWEL SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as WAWEL SA's standard deviation. In reality, there are many statistical measures that can use WAWEL SA historical prices to predict the future WAWEL SA's volatility.| Risk Adjusted Performance | 0.0537 | |||
| Jensen Alpha | 0.1044 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0.48) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of WAWEL SA'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.
WAWEL SA Backtested Returns
Currently, WAWEL SA is very steady. WAWEL SA shows Sharpe Ratio of 0.018, which attests that the company had a 0.018% return per unit of risk over the last 3 months. We have found thirty technical indicators for WAWEL SA, which you can use to evaluate the volatility of the entity. Please check out WAWEL SA's Downside Deviation of 1.37, market risk adjusted performance of (0.47), and Mean Deviation of 1.14 to validate if the risk estimate we provide is consistent with the expected return of 0.0253%. WAWEL SA has a performance score of 1 on a scale of 0 to 100. The firm maintains a market beta of -0.17, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning WAWEL SA are expected to decrease at a much lower rate. During the bear market, WAWEL SA is likely to outperform the market. WAWEL SA currently maintains a risk of 1.41%. Please check out WAWEL SA expected short fall, as well as the relationship between the rate of daily change and period momentum indicator , to decide if WAWEL SA will be following its historical returns.
Auto-correlation | -0.36 |
Poor reverse predictability
WAWEL SA has poor reverse predictability. Overlapping area represents the amount of predictability between WAWEL SA 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 WAWEL SA price movement. The serial correlation of -0.36 indicates that just about 36.0% of current WAWEL SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.36 | |
| Spearman Rank Test | -0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 52.84 |
WAWEL SA lagged returns against current returns
Autocorrelation, which is WAWEL SA 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 WAWEL SA's stock expected returns. We can calculate the autocorrelation of WAWEL SA returns to help us make a trade decision. For example, suppose you find that WAWEL SA 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 |
WAWEL SA 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 WAWEL SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if WAWEL SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in WAWEL SA stock over time.
Current vs Lagged Prices |
| Timeline |
WAWEL SA Lagged Returns
When evaluating WAWEL SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of WAWEL SA stock have on its future price. WAWEL SA 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, WAWEL SA autocorrelation shows the relationship between WAWEL SA stock current value and its past values and can show if there is a momentum factor associated with investing in WAWEL SA.
Regressed Prices |
| Timeline |
Pair Trading with WAWEL SA
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 WAWEL SA 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 WAWEL SA will appreciate offsetting losses from the drop in the long position's value.Moving against WAWEL Stock
| 0.6 | CEZ | CEZ as | PairCorr |
| 0.53 | SAN | Banco Santander SA | PairCorr |
| 0.46 | UCG | UniCredit SpA | PairCorr |
| 0.4 | DNP | Dino Polska SA | PairCorr |
The ability to find closely correlated positions to WAWEL SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace WAWEL SA 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 WAWEL SA - 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 WAWEL SA to buy it.
The correlation of WAWEL SA 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 WAWEL SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if WAWEL 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 WAWEL SA 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 WAWEL Stock Analysis
When running WAWEL SA's price analysis, check to measure WAWEL SA'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 WAWEL SA is operating at the current time. Most of WAWEL SA's value examination focuses on studying past and present price action to predict the probability of WAWEL SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move WAWEL SA's price. Additionally, you may evaluate how the addition of WAWEL SA to your portfolios can decrease your overall portfolio volatility.