Ellington Financial Stock Market Value
| EFC-PD Stock | 23.95 0.89 3.86% |
| Symbol | Ellington |
Ellington Financial '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 Financial'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 Financial.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Ellington Financial on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Ellington Financial or generate 0.0% return on investment in Ellington Financial over 360 days. Ellington Financial is related to or competes with Weyco, AerSale Corp, Porvair Plc, Ryanair Holdings, Postal Realty, and Hudson Pacific. More
Ellington Financial 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 Financial'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 Financial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.74 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 6.58 | |||
| Value At Risk | (2.07) | |||
| Potential Upside | 2.66 |
Ellington Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ellington Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ellington Financial's standard deviation. In reality, there are many statistical measures that can use Ellington Financial historical prices to predict the future Ellington Financial's volatility.| Risk Adjusted Performance | 0.0754 | |||
| Jensen Alpha | 0.1158 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | (3.48) |
Ellington Financial Backtested Returns
At this point, Ellington Financial is very steady. Ellington Financial secures Sharpe Ratio (or Efficiency) of 0.0932, which denotes the company had a 0.0932% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Ellington Financial, which you can use to evaluate the volatility of the firm. Please confirm Ellington Financial's Mean Deviation of 0.8009, coefficient of variation of 1073.08, and Downside Deviation of 1.74 to check if the risk estimate we provide is consistent with the expected return of 0.12%. Ellington Financial has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0322, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ellington Financial are expected to decrease at a much lower rate. During the bear market, Ellington Financial is likely to outperform the market. Ellington Financial right now shows a risk of 1.31%. Please confirm Ellington Financial standard deviation, treynor ratio, downside variance, as well as the relationship between the total risk alpha and value at risk , to decide if Ellington Financial will be following its price patterns.
Auto-correlation | 0.33 |
Below average predictability
Ellington Financial has below average predictability. Overlapping area represents the amount of predictability between Ellington Financial time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 Financial price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Ellington Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.46 |
Ellington Financial lagged returns against current returns
Autocorrelation, which is Ellington Financial 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 Financial's stock expected returns. We can calculate the autocorrelation of Ellington Financial returns to help us make a trade decision. For example, suppose you find that Ellington Financial 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 Financial 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 Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ellington Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ellington Financial stock over time.
Current vs Lagged Prices |
| Timeline |
Ellington Financial Lagged Returns
When evaluating Ellington Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ellington Financial stock have on its future price. Ellington Financial 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 Financial autocorrelation shows the relationship between Ellington Financial stock current value and its past values and can show if there is a momentum factor associated with investing in Ellington Financial.
Regressed Prices |
| Timeline |
Also Currently Popular
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.When determining whether Ellington Financial offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Ellington Financial's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Ellington Financial Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Ellington Financial Stock:Check out Ellington Financial Correlation, Ellington Financial Volatility and Ellington Financial Alpha and Beta module to complement your research on Ellington Financial. For information on how to trade Ellington Stock refer to our How to Trade Ellington Stock guide.You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Ellington Financial technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.