Glencore PLC (South Africa) Market Value
| GLN Stock | 8,616 6.00 0.07% |
| Symbol | Glencore |
Glencore PLC '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 Glencore PLC'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 Glencore PLC.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Glencore PLC on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Glencore PLC or generate 0.0% return on investment in Glencore PLC over 720 days. Glencore PLC is related to or competes with HomeChoice Investments, Trematon Capital, Reinet Investments, Deneb Investments, Afine Investments, and Ascendis Health. More
Glencore PLC 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 Glencore PLC'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 Glencore PLC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 9.25 | |||
| Value At Risk | (3.08) | |||
| Potential Upside | 2.69 |
Glencore PLC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Glencore PLC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Glencore PLC's standard deviation. In reality, there are many statistical measures that can use Glencore PLC historical prices to predict the future Glencore PLC's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.41) | |||
| Treynor Ratio | (0.16) |
Glencore PLC Backtested Returns
Glencore PLC holds Efficiency (Sharpe) Ratio of -0.0311, which attests that the entity had a -0.0311% return per unit of risk over the last 3 months. Glencore PLC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Glencore PLC's Standard Deviation of 1.77, market risk adjusted performance of (0.15), and Risk Adjusted Performance of (0.04) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.74, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Glencore PLC's returns are expected to increase less than the market. However, during the bear market, the loss of holding Glencore PLC is expected to be smaller as well. At this point, Glencore PLC has a negative expected return of -0.0534%. Please make sure to check out Glencore PLC's standard deviation, maximum drawdown, kurtosis, as well as the relationship between the total risk alpha and potential upside , to decide if Glencore PLC performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Glencore PLC has insignificant reverse predictability. Overlapping area represents the amount of predictability between Glencore PLC 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 Glencore PLC price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Glencore PLC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 660.8 K |
Glencore PLC lagged returns against current returns
Autocorrelation, which is Glencore PLC 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 Glencore PLC's stock expected returns. We can calculate the autocorrelation of Glencore PLC returns to help us make a trade decision. For example, suppose you find that Glencore PLC 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 |
Glencore PLC 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 Glencore PLC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Glencore PLC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Glencore PLC stock over time.
Current vs Lagged Prices |
| Timeline |
Glencore PLC Lagged Returns
When evaluating Glencore PLC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Glencore PLC stock have on its future price. Glencore PLC 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, Glencore PLC autocorrelation shows the relationship between Glencore PLC stock current value and its past values and can show if there is a momentum factor associated with investing in Glencore PLC.
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.Other Information on Investing in Glencore Stock
Glencore PLC financial ratios help investors to determine whether Glencore 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 Glencore with respect to the benefits of owning Glencore PLC security.