UniCredit SpA (Poland) Market Value
| UCG Stock | 155.42 1.16 0.75% |
| Symbol | UniCredit |
UniCredit SpA '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 UniCredit SpA'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 UniCredit SpA.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in UniCredit SpA on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding UniCredit SpA or generate 0.0% return on investment in UniCredit SpA over 30 days. UniCredit SpA is related to or competes with Santander Bank, Bank Handlowy, BNP Paribas, Bank Millennium, and Bank Ochrony. More
UniCredit SpA 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 UniCredit SpA'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 UniCredit SpA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.18 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 9.81 | |||
| Value At Risk | (4.30) | |||
| Potential Upside | 2.84 |
UniCredit SpA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for UniCredit SpA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as UniCredit SpA's standard deviation. In reality, there are many statistical measures that can use UniCredit SpA historical prices to predict the future UniCredit SpA's volatility.| Risk Adjusted Performance | 0.0314 | |||
| Jensen Alpha | 0.1108 | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0.11) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of UniCredit SpA'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.
UniCredit SpA Backtested Returns
UniCredit SpA owns Efficiency Ratio (i.e., Sharpe Ratio) of -8.0E-4, which indicates the firm had a -8.0E-4% return per unit of risk over the last 3 months. UniCredit SpA exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate UniCredit SpA's Semi Deviation of 1.77, risk adjusted performance of 0.0314, and Coefficient Of Variation of 3027.91 to confirm the risk estimate we provide. The entity has a beta of -0.48, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning UniCredit SpA are expected to decrease at a much lower rate. During the bear market, UniCredit SpA is likely to outperform the market. At this point, UniCredit SpA has a negative expected return of -0.0017%. Please make sure to validate UniCredit SpA's potential upside, and the relationship between the sortino ratio and skewness , to decide if UniCredit SpA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.50 |
Modest predictability
UniCredit SpA has modest predictability. Overlapping area represents the amount of predictability between UniCredit SpA time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 UniCredit SpA price movement. The serial correlation of 0.5 indicates that about 50.0% of current UniCredit SpA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 73.49 |
UniCredit SpA lagged returns against current returns
Autocorrelation, which is UniCredit SpA 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 UniCredit SpA's stock expected returns. We can calculate the autocorrelation of UniCredit SpA returns to help us make a trade decision. For example, suppose you find that UniCredit SpA 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 |
UniCredit SpA 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 UniCredit SpA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if UniCredit SpA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in UniCredit SpA stock over time.
Current vs Lagged Prices |
| Timeline |
UniCredit SpA Lagged Returns
When evaluating UniCredit SpA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of UniCredit SpA stock have on its future price. UniCredit SpA 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, UniCredit SpA autocorrelation shows the relationship between UniCredit SpA stock current value and its past values and can show if there is a momentum factor associated with investing in UniCredit SpA.
Regressed Prices |
| Timeline |
Pair Trading with UniCredit SpA
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 UniCredit SpA 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 UniCredit SpA will appreciate offsetting losses from the drop in the long position's value.Moving against UniCredit Stock
| 0.79 | CDR | CD PROJEKT SA | PairCorr |
| 0.69 | NVG | Novavis Group SA | PairCorr |
| 0.56 | MBK | mBank SA | PairCorr |
| 0.55 | GIG | GI Group Poland | PairCorr |
| 0.53 | BNP | BNP Paribas Bank | PairCorr |
The ability to find closely correlated positions to UniCredit SpA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace UniCredit SpA 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 UniCredit SpA - 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 UniCredit SpA to buy it.
The correlation of UniCredit SpA 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 UniCredit SpA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if UniCredit SpA 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 UniCredit SpA 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 UniCredit Stock Analysis
When running UniCredit SpA's price analysis, check to measure UniCredit SpA'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 UniCredit SpA is operating at the current time. Most of UniCredit SpA's value examination focuses on studying past and present price action to predict the probability of UniCredit SpA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move UniCredit SpA's price. Additionally, you may evaluate how the addition of UniCredit SpA to your portfolios can decrease your overall portfolio volatility.