Enea SA (Poland) Market Value
| ENA Stock | 11.49 0.10 0.88% |
| Symbol | Enea |
Enea SA '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 Enea SA'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 Enea SA.
| 12/24/2022 |
| 12/13/2024 |
If you would invest 0.00 in Enea SA on December 24, 2022 and sell it all today you would earn a total of 0.00 from holding Enea SA or generate 0.0% return on investment in Enea SA over 720 days. Enea SA is related to or competes with Quantum Software, PLAYWAY SA, LSI Software, True Games, Kool2play, and Pyramid Games. More
Enea SA 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 Enea SA'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 Enea SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.76 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 10.99 | |||
| Value At Risk | (2.31) | |||
| Potential Upside | 3.28 |
Enea SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Enea SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Enea SA's standard deviation. In reality, there are many statistical measures that can use Enea SA historical prices to predict the future Enea SA's volatility.| Risk Adjusted Performance | 0.0466 | |||
| Jensen Alpha | 0.054 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.2258 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Enea SA'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.
Enea SA Backtested Returns
Currently, Enea SA is not too volatile. Enea SA secures Sharpe Ratio (or Efficiency) of 0.0597, which denotes the company had a 0.0597% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Enea SA, which you can use to evaluate the volatility of the firm. Please confirm Enea SA's Coefficient Of Variation of 1803.5, mean deviation of 1.46, and Downside Deviation of 1.76 to check if the risk estimate we provide is consistent with the expected return of 0.12%. Enea SA has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.44, which means possible diversification benefits within a given portfolio. As returns on the market increase, Enea SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Enea SA is expected to be smaller as well. Enea SA right now shows a risk of 2.0%. Please confirm Enea SA information ratio, downside variance, day median price, as well as the relationship between the treynor ratio and kurtosis , to decide if Enea SA will be following its price patterns.
Auto-correlation | 0.63 |
Good predictability
Enea SA has good predictability. Overlapping area represents the amount of predictability between Enea SA time series from 24th of December 2022 to 19th of December 2023 and 19th of December 2023 to 13th 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 Enea SA price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Enea SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.91 |
Enea SA lagged returns against current returns
Autocorrelation, which is Enea SA 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 Enea SA's stock expected returns. We can calculate the autocorrelation of Enea SA returns to help us make a trade decision. For example, suppose you find that Enea SA 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 |
Enea SA 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 Enea SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Enea SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Enea SA stock over time.
Current vs Lagged Prices |
| Timeline |
Enea SA Lagged Returns
When evaluating Enea SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Enea SA stock have on its future price. Enea SA 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, Enea SA autocorrelation shows the relationship between Enea SA stock current value and its past values and can show if there is a momentum factor associated with investing in Enea SA.
Regressed Prices |
| Timeline |
Pair Trading with Enea SA
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 Enea SA 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 Enea SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Enea Stock
Moving against Enea Stock
| 0.52 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.42 | PCO | Pepco Group BV | PairCorr |
| 0.4 | KGH | KGHM Polska Miedz | PairCorr |
The ability to find closely correlated positions to Enea SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Enea SA 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 Enea SA - 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 Enea SA to buy it.
The correlation of Enea SA 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 Enea SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Enea 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 Enea SA 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 Enea Stock Analysis
When running Enea SA's price analysis, check to measure Enea SA'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 Enea SA is operating at the current time. Most of Enea SA's value examination focuses on studying past and present price action to predict the probability of Enea SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Enea SA's price. Additionally, you may evaluate how the addition of Enea SA to your portfolios can decrease your overall portfolio volatility.