Grupa Azoty (Poland) Market Value
| ATT Stock | 19.66 0.52 2.72% |
| Symbol | Grupa |
Grupa Azoty '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 Grupa Azoty'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 Grupa Azoty.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Grupa Azoty on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Grupa Azoty SA or generate 0.0% return on investment in Grupa Azoty over 720 days.
Grupa Azoty 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 Grupa Azoty'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 Grupa Azoty SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.57 | |||
| Information Ratio | 0.0168 | |||
| Maximum Drawdown | 25.81 | |||
| Value At Risk | (4.24) | |||
| Potential Upside | 3.99 |
Grupa Azoty Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupa Azoty's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupa Azoty's standard deviation. In reality, there are many statistical measures that can use Grupa Azoty historical prices to predict the future Grupa Azoty's volatility.| Risk Adjusted Performance | 0.0511 | |||
| Jensen Alpha | 0.1917 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | 0.0225 | |||
| Treynor Ratio | (3.71) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grupa Azoty'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.
Grupa Azoty SA Backtested Returns
Grupa Azoty appears to be somewhat reliable, given 3 months investment horizon. Grupa Azoty SA holds Efficiency (Sharpe) Ratio of 0.0598, which attests that the entity had a 0.0598% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Grupa Azoty SA, which you can use to evaluate the volatility of the firm. Please utilize Grupa Azoty's Market Risk Adjusted Performance of (3.70), risk adjusted performance of 0.0511, and Downside Deviation of 2.57 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Grupa Azoty holds a performance score of 4. The company retains a Market Volatility (i.e., Beta) of -0.05, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Grupa Azoty are expected to decrease at a much lower rate. During the bear market, Grupa Azoty is likely to outperform the market. Please check Grupa Azoty's semi variance, and the relationship between the maximum drawdown and accumulation distribution , to make a quick decision on whether Grupa Azoty's current trending patterns will revert.
Auto-correlation | 0.73 |
Good predictability
Grupa Azoty SA has good predictability. Overlapping area represents the amount of predictability between Grupa Azoty time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Grupa Azoty SA price movement. The serial correlation of 0.73 indicates that around 73.0% of current Grupa Azoty price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 4.47 |
Grupa Azoty SA lagged returns against current returns
Autocorrelation, which is Grupa Azoty 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 Grupa Azoty's stock expected returns. We can calculate the autocorrelation of Grupa Azoty returns to help us make a trade decision. For example, suppose you find that Grupa Azoty 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 |
Grupa Azoty 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 Grupa Azoty stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupa Azoty stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupa Azoty stock over time.
Current vs Lagged Prices |
| Timeline |
Grupa Azoty Lagged Returns
When evaluating Grupa Azoty's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupa Azoty stock have on its future price. Grupa Azoty 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, Grupa Azoty autocorrelation shows the relationship between Grupa Azoty stock current value and its past values and can show if there is a momentum factor associated with investing in Grupa Azoty SA.
Regressed Prices |
| Timeline |
Pair Trading with Grupa Azoty
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 Grupa Azoty 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 Grupa Azoty will appreciate offsetting losses from the drop in the long position's value.Moving against Grupa Stock
| 0.6 | SPL | Santander Bank Polska | PairCorr |
| 0.39 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.34 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Grupa Azoty could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Grupa Azoty 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 Grupa Azoty - 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 Grupa Azoty SA to buy it.
The correlation of Grupa Azoty 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 Grupa Azoty moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Grupa Azoty 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 Grupa Azoty 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 Grupa Stock Analysis
When running Grupa Azoty's price analysis, check to measure Grupa Azoty'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 Grupa Azoty is operating at the current time. Most of Grupa Azoty's value examination focuses on studying past and present price action to predict the probability of Grupa Azoty's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupa Azoty's price. Additionally, you may evaluate how the addition of Grupa Azoty to your portfolios can decrease your overall portfolio volatility.