Agl Energy Stock Market Value
| AGLXY Stock | USD 7.53 0.30 4.15% |
| Symbol | AGL |
AGL Energy '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 AGL Energy's pink sheet 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 AGL Energy.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in AGL Energy on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding AGL Energy or generate 0.0% return on investment in AGL Energy over 30 days. AGL Energy is related to or competes with Maxim Power, Pampa Energia, NRG Energy, Vistra Energy, TransAlta Corp, and Kenon Holdings. AGL Energy Limited supplies energy and other services to residential, small and large businesses, and wholesale customer... More
AGL Energy 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 AGL Energy's pink sheet 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 AGL Energy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.19 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 16.34 | |||
| Value At Risk | (5.33) | |||
| Potential Upside | 5.91 |
AGL Energy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGL Energy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGL Energy's standard deviation. In reality, there are many statistical measures that can use AGL Energy historical prices to predict the future AGL Energy's volatility.| Risk Adjusted Performance | 0.0323 | |||
| Jensen Alpha | 0.0877 | |||
| Total Risk Alpha | (0.37) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 12.13 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGL Energy'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.
AGL Energy Backtested Returns
At this stage we consider AGL Pink Sheet to be somewhat reliable. AGL Energy secures Sharpe Ratio (or Efficiency) of 0.0031, which signifies that the company had a 0.0031% return per unit of return volatility over the last 3 months. We have found thirty technical indicators for AGL Energy, which you can use to evaluate the volatility of the firm. Please confirm AGL Energy's Semi Deviation of 2.36, risk adjusted performance of 0.0323, and Mean Deviation of 1.95 to double-check if the risk estimate we provide is consistent with the expected return of 0.0093%. The firm shows a Beta (market volatility) of 0.0073, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGL Energy's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGL Energy is expected to be smaller as well. AGL Energy at this time shows a risk of 3.02%. Please confirm AGL Energy treynor ratio, as well as the relationship between the expected short fall and day median price , to decide if AGL Energy will be following its price patterns.
Auto-correlation | -0.52 |
Good reverse predictability
AGL Energy has good reverse predictability. Overlapping area represents the amount of predictability between AGL Energy time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 AGL Energy price movement. The serial correlation of -0.52 indicates that about 52.0% of current AGL Energy price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
AGL Energy lagged returns against current returns
Autocorrelation, which is AGL Energy pink sheet'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 AGL Energy's pink sheet expected returns. We can calculate the autocorrelation of AGL Energy returns to help us make a trade decision. For example, suppose you find that AGL Energy has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
AGL Energy 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 AGL Energy pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGL Energy pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGL Energy pink sheet over time.
Current vs Lagged Prices |
| Timeline |
AGL Energy Lagged Returns
When evaluating AGL Energy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGL Energy pink sheet have on its future price. AGL Energy 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, AGL Energy autocorrelation shows the relationship between AGL Energy pink sheet current value and its past values and can show if there is a momentum factor associated with investing in AGL Energy.
Regressed Prices |
| Timeline |
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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.Additional Tools for AGL Pink Sheet Analysis
When running AGL Energy's price analysis, check to measure AGL Energy'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 AGL Energy is operating at the current time. Most of AGL Energy's value examination focuses on studying past and present price action to predict the probability of AGL Energy's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGL Energy's price. Additionally, you may evaluate how the addition of AGL Energy to your portfolios can decrease your overall portfolio volatility.