AGNC INVESTMENT (Germany) Market Value
| 4OQ1 Stock | 9.16 0.04 0.44% |
| Symbol | AGNC |
AGNC INVESTMENT '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 AGNC INVESTMENT'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 AGNC INVESTMENT.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in AGNC INVESTMENT on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding AGNC INVESTMENT or generate 0.0% return on investment in AGNC INVESTMENT over 30 days. AGNC INVESTMENT is related to or competes with Apple, Apple, Apple, Apple, Apple, Apple, and Microsoft. More
AGNC INVESTMENT 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 AGNC INVESTMENT'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 AGNC INVESTMENT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.46 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 5.47 | |||
| Value At Risk | (2.10) | |||
| Potential Upside | 1.6 |
AGNC INVESTMENT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGNC INVESTMENT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGNC INVESTMENT's standard deviation. In reality, there are many statistical measures that can use AGNC INVESTMENT historical prices to predict the future AGNC INVESTMENT's volatility.| Risk Adjusted Performance | 0.0351 | |||
| Jensen Alpha | 0.0204 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.2314 |
AGNC INVESTMENT Backtested Returns
Currently, AGNC INVESTMENT is not too volatile. AGNC INVESTMENT secures Sharpe Ratio (or Efficiency) of 0.0531, which signifies that the company had a 0.0531% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for AGNC INVESTMENT, which you can use to evaluate the volatility of the firm. Please confirm AGNC INVESTMENT's Semi Deviation of 1.36, risk adjusted performance of 0.0351, and Mean Deviation of 0.8628 to double-check if the risk estimate we provide is consistent with the expected return of 0.0624%. AGNC INVESTMENT has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGNC INVESTMENT's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGNC INVESTMENT is expected to be smaller as well. AGNC INVESTMENT at this time shows a risk of 1.18%. Please confirm AGNC INVESTMENT downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if AGNC INVESTMENT will be following its price patterns.
Auto-correlation | 0.34 |
Below average predictability
AGNC INVESTMENT has below average predictability. Overlapping area represents the amount of predictability between AGNC INVESTMENT time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 AGNC INVESTMENT price movement. The serial correlation of 0.34 indicates that nearly 34.0% of current AGNC INVESTMENT price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.34 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
AGNC INVESTMENT lagged returns against current returns
Autocorrelation, which is AGNC INVESTMENT 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 AGNC INVESTMENT's stock expected returns. We can calculate the autocorrelation of AGNC INVESTMENT returns to help us make a trade decision. For example, suppose you find that AGNC INVESTMENT 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 |
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AGNC INVESTMENT 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 AGNC INVESTMENT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGNC INVESTMENT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGNC INVESTMENT stock over time.
Current vs Lagged Prices |
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AGNC INVESTMENT Lagged Returns
When evaluating AGNC INVESTMENT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGNC INVESTMENT stock have on its future price. AGNC INVESTMENT 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, AGNC INVESTMENT autocorrelation shows the relationship between AGNC INVESTMENT stock current value and its past values and can show if there is a momentum factor associated with investing in AGNC INVESTMENT.
Regressed Prices |
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Thematic Opportunities
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Additional Tools for AGNC Stock Analysis
When running AGNC INVESTMENT's price analysis, check to measure AGNC INVESTMENT'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 AGNC INVESTMENT is operating at the current time. Most of AGNC INVESTMENT's value examination focuses on studying past and present price action to predict the probability of AGNC INVESTMENT's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGNC INVESTMENT's price. Additionally, you may evaluate how the addition of AGNC INVESTMENT to your portfolios can decrease your overall portfolio volatility.