KGHM Polska (Poland) Market Value
| KGH Stock | 127.25 0.10 0.08% |
| Symbol | KGHM |
KGHM Polska '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 KGHM Polska'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 KGHM Polska.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in KGHM Polska on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding KGHM Polska Miedz or generate 0.0% return on investment in KGHM Polska over 720 days. KGHM Polska is related to or competes with PMPG Polskie, LSI Software, Globe Trade, Echo Investment, Quantum Software, and Immobile. More
KGHM Polska 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 KGHM Polska'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 KGHM Polska Miedz upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 14.11 | |||
| Value At Risk | (3.37) | |||
| Potential Upside | 3.84 |
KGHM Polska Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KGHM Polska's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KGHM Polska's standard deviation. In reality, there are many statistical measures that can use KGHM Polska historical prices to predict the future KGHM Polska's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | 0.0079 | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | 0.1176 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of KGHM Polska'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.
KGHM Polska Miedz Backtested Returns
KGHM Polska Miedz has Sharpe Ratio of -0.0106, which conveys that the firm had a -0.0106% return per unit of risk over the last 3 months. KGHM Polska exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify KGHM Polska's risk adjusted performance of (0.02), and Mean Deviation of 1.67 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.79, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning KGHM Polska are expected to decrease at a much lower rate. During the bear market, KGHM Polska is likely to outperform the market. At this point, KGHM Polska Miedz has a negative expected return of -0.0245%. Please make sure to verify KGHM Polska's skewness, and the relationship between the treynor ratio and rate of daily change , to decide if KGHM Polska Miedz performance from the past will be repeated in the future.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
KGHM Polska Miedz has almost perfect reverse predictability. Overlapping area represents the amount of predictability between KGHM Polska 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 KGHM Polska Miedz price movement. The serial correlation of -0.74 indicates that around 74.0% of current KGHM Polska price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 296.89 |
KGHM Polska Miedz lagged returns against current returns
Autocorrelation, which is KGHM Polska 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 KGHM Polska's stock expected returns. We can calculate the autocorrelation of KGHM Polska returns to help us make a trade decision. For example, suppose you find that KGHM Polska 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 |
KGHM Polska 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 KGHM Polska stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KGHM Polska stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KGHM Polska stock over time.
Current vs Lagged Prices |
| Timeline |
KGHM Polska Lagged Returns
When evaluating KGHM Polska's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KGHM Polska stock have on its future price. KGHM Polska 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, KGHM Polska autocorrelation shows the relationship between KGHM Polska stock current value and its past values and can show if there is a momentum factor associated with investing in KGHM Polska Miedz.
Regressed Prices |
| Timeline |
Pair Trading with KGHM Polska
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 KGHM Polska 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 KGHM Polska will appreciate offsetting losses from the drop in the long position's value.Moving together with KGHM Stock
The ability to find closely correlated positions to KGHM Polska could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace KGHM Polska 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 KGHM Polska - 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 KGHM Polska Miedz to buy it.
The correlation of KGHM Polska 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 KGHM Polska moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if KGHM Polska Miedz 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 KGHM Polska 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 KGHM Stock Analysis
When running KGHM Polska's price analysis, check to measure KGHM Polska'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 KGHM Polska is operating at the current time. Most of KGHM Polska's value examination focuses on studying past and present price action to predict the probability of KGHM Polska's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move KGHM Polska's price. Additionally, you may evaluate how the addition of KGHM Polska to your portfolios can decrease your overall portfolio volatility.