ELLINGTON FINL (Germany) Market Value
| 1EL Stock | EUR 11.60 0.10 0.85% |
| Symbol | ELLINGTON |
ELLINGTON FINL '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 ELLINGTON FINL'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 ELLINGTON FINL.
| 11/25/2024 |
| 12/25/2024 |
If you would invest 0.00 in ELLINGTON FINL on November 25, 2024 and sell it all today you would earn a total of 0.00 from holding ELLINGTON FINL INC or generate 0.0% return on investment in ELLINGTON FINL over 30 days. ELLINGTON FINL is related to or competes with Mr Cooper, OSB GROUP, FIRST NATIONAL, Deutsche Pfandbriefbank, TIMBERCREEK FINL, and ATRIUM MORTGAGE. Ellington Financial Inc., through its subsidiary, Ellington Financial Operating Partnership LLC, acquires and manages mo... More
ELLINGTON FINL 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 ELLINGTON FINL'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 ELLINGTON FINL INC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | 0.0122 | |||
| Maximum Drawdown | 4.38 | |||
| Value At Risk | (1.71) | |||
| Potential Upside | 1.76 |
ELLINGTON FINL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ELLINGTON FINL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ELLINGTON FINL's standard deviation. In reality, there are many statistical measures that can use ELLINGTON FINL historical prices to predict the future ELLINGTON FINL's volatility.| Risk Adjusted Performance | 0.05 | |||
| Jensen Alpha | 0.0341 | |||
| Total Risk Alpha | 0.0061 | |||
| Sortino Ratio | 0.0092 | |||
| Treynor Ratio | 0.1349 |
ELLINGTON FINL INC Backtested Returns
At this point, ELLINGTON FINL is very steady. ELLINGTON FINL INC secures Sharpe Ratio (or Efficiency) of 0.0775, which denotes the company had a 0.0775% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for ELLINGTON FINL INC, which you can use to evaluate the volatility of the firm. Please confirm ELLINGTON FINL's Downside Deviation of 1.22, semi deviation of 0.6846, and Mean Deviation of 0.6524 to check if the risk estimate we provide is consistent with the expected return of 0.0717%. ELLINGTON FINL has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.34, which means possible diversification benefits within a given portfolio. As returns on the market increase, ELLINGTON FINL's returns are expected to increase less than the market. However, during the bear market, the loss of holding ELLINGTON FINL is expected to be smaller as well. ELLINGTON FINL INC now shows a risk of 0.92%. Please confirm ELLINGTON FINL INC semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to decide if ELLINGTON FINL INC will be following its price patterns.
Auto-correlation | -0.03 |
Very weak reverse predictability
ELLINGTON FINL INC has very weak reverse predictability. Overlapping area represents the amount of predictability between ELLINGTON FINL time series from 25th of November 2024 to 10th of December 2024 and 10th of December 2024 to 25th of December 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 ELLINGTON FINL INC price movement. The serial correlation of -0.03 indicates that only 3.0% of current ELLINGTON FINL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
ELLINGTON FINL INC lagged returns against current returns
Autocorrelation, which is ELLINGTON FINL 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 ELLINGTON FINL's stock expected returns. We can calculate the autocorrelation of ELLINGTON FINL returns to help us make a trade decision. For example, suppose you find that ELLINGTON FINL 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 |
ELLINGTON FINL 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 ELLINGTON FINL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ELLINGTON FINL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ELLINGTON FINL stock over time.
Current vs Lagged Prices |
| Timeline |
ELLINGTON FINL Lagged Returns
When evaluating ELLINGTON FINL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ELLINGTON FINL stock have on its future price. ELLINGTON FINL 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, ELLINGTON FINL autocorrelation shows the relationship between ELLINGTON FINL stock current value and its past values and can show if there is a momentum factor associated with investing in ELLINGTON FINL INC.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ELLINGTON Stock
ELLINGTON FINL financial ratios help investors to determine whether ELLINGTON 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 ELLINGTON with respect to the benefits of owning ELLINGTON FINL security.