Old Mutual (South Africa) Market Value
| OMU Stock | 1,304 6.00 0.46% |
| Symbol | Old |
Old Mutual '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 Old Mutual'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 Old Mutual.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Old Mutual on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Old Mutual or generate 0.0% return on investment in Old Mutual over 480 days. Old Mutual is related to or competes with E Media, Harmony Gold, Deneb Investments, Trematon Capital, Standard Bank, and Ascendis Health. More
Old Mutual 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 Old Mutual'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 Old Mutual upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 7.21 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 2.05 |
Old Mutual Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Old Mutual's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Old Mutual's standard deviation. In reality, there are many statistical measures that can use Old Mutual historical prices to predict the future Old Mutual's volatility.| Risk Adjusted Performance | 0.0463 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.04) |
Old Mutual Backtested Returns
At this point, Old Mutual is very steady. Old Mutual maintains Sharpe Ratio (i.e., Efficiency) of 0.0874, which implies the firm had a 0.0874% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Old Mutual, which you can use to evaluate the volatility of the company. Please check Old Mutual's Standard Deviation of 1.27, risk adjusted performance of 0.0463, and Downside Deviation of 1.17 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. Old Mutual has a performance score of 6 on a scale of 0 to 100. The company holds a Beta of 0.0, which implies not very significant fluctuations relative to the market. the returns on MARKET and Old Mutual are completely uncorrelated. Old Mutual right now holds a risk of 1.25%. Please check Old Mutual maximum drawdown, semi variance, and the relationship between the total risk alpha and potential upside , to decide if Old Mutual will be following its historical price patterns.
Auto-correlation | -0.3 |
Weak reverse predictability
Old Mutual has weak reverse predictability. Overlapping area represents the amount of predictability between Old Mutual time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 Old Mutual price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Old Mutual price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.3 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 8553.66 |
Old Mutual lagged returns against current returns
Autocorrelation, which is Old Mutual 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 Old Mutual's stock expected returns. We can calculate the autocorrelation of Old Mutual returns to help us make a trade decision. For example, suppose you find that Old Mutual 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 |
Old Mutual 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 Old Mutual stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Old Mutual stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Old Mutual stock over time.
Current vs Lagged Prices |
| Timeline |
Old Mutual Lagged Returns
When evaluating Old Mutual's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Old Mutual stock have on its future price. Old Mutual 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, Old Mutual autocorrelation shows the relationship between Old Mutual stock current value and its past values and can show if there is a momentum factor associated with investing in Old Mutual.
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 Old Stock
Old Mutual financial ratios help investors to determine whether Old 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 Old with respect to the benefits of owning Old Mutual security.