Great Portland (Germany) Market Value
| G9KB Stock | EUR 3.42 0.04 1.18% |
| Symbol | Great |
Great Portland '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 Great Portland'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 Great Portland.
| 11/27/2024 |
| 12/27/2024 |
If you would invest 0.00 in Great Portland on November 27, 2024 and sell it all today you would earn a total of 0.00 from holding Great Portland Estates or generate 0.0% return on investment in Great Portland over 30 days. Great Portland is related to or competes with Easterly Government, Office Properties, CITY OFFICE, ARIMA REAL, and CREMECOMTRSBI. We are a FTSE 250 property investment and development company owning 2.6 billion of real estate in central London More
Great Portland 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 Great Portland'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 Great Portland Estates upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 9.58 | |||
| Value At Risk | (2.46) | |||
| Potential Upside | 1.74 |
Great Portland Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great Portland's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great Portland's standard deviation. In reality, there are many statistical measures that can use Great Portland historical prices to predict the future Great Portland's volatility.| Risk Adjusted Performance | (0.16) | |||
| Jensen Alpha | (0.34) | |||
| Total Risk Alpha | (0.41) | |||
| Treynor Ratio | (1.55) |
Great Portland Estates Backtested Returns
Great Portland Estates holds Efficiency (Sharpe) Ratio of -0.19, which attests that the entity had a -0.19% return per unit of risk over the last 3 months. Great Portland Estates exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Great Portland's Standard Deviation of 1.53, risk adjusted performance of (0.16), and Market Risk Adjusted Performance of (1.54) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.21, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Great Portland's returns are expected to increase less than the market. However, during the bear market, the loss of holding Great Portland is expected to be smaller as well. At this point, Great Portland Estates has a negative expected return of -0.3%. Please make sure to check out Great Portland's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Great Portland Estates performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.57 |
Good reverse predictability
Great Portland Estates has good reverse predictability. Overlapping area represents the amount of predictability between Great Portland time series from 27th of November 2024 to 12th of December 2024 and 12th of December 2024 to 27th 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 Great Portland Estates price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Great Portland price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Great Portland Estates lagged returns against current returns
Autocorrelation, which is Great Portland 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 Great Portland's stock expected returns. We can calculate the autocorrelation of Great Portland returns to help us make a trade decision. For example, suppose you find that Great Portland 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 |
Great Portland 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 Great Portland stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great Portland stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Great Portland stock over time.
Current vs Lagged Prices |
| Timeline |
Great Portland Lagged Returns
When evaluating Great Portland's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great Portland stock have on its future price. Great Portland 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, Great Portland autocorrelation shows the relationship between Great Portland stock current value and its past values and can show if there is a momentum factor associated with investing in Great Portland Estates.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Great Stock
Great Portland financial ratios help investors to determine whether Great Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Great with respect to the benefits of owning Great Portland security.