ELLINGTON RESIDMTG (Germany) Market Value
| 73Z Stock | EUR 6.50 0.15 2.36% |
| Symbol | ELLINGTON |
ELLINGTON RESIDMTG '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 ELLINGTON RESIDMTG'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 ELLINGTON RESIDMTG.
| 07/01/2023 |
| 01/21/2025 |
If you would invest 0.00 in ELLINGTON RESIDMTG on July 1, 2023 and sell it all today you would earn a total of 0.00 from holding ELLINGTON RESIDMTG SBI or generate 0.0% return on investment in ELLINGTON RESIDMTG over 570 days. ELLINGTON RESIDMTG is related to or competes with Cleanaway Waste, New Residential, FIRST SAVINGS, MidCap Financial, Jupiter Fund, SEI INVESTMENTS, and PRECISION DRILLING. Ellington Residential Mortgage REIT, a real estate investment trust, specializes in acquiring, investing in, and managin... More
ELLINGTON RESIDMTG 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 ELLINGTON RESIDMTG'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 ELLINGTON RESIDMTG SBI upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.74 | |||
| Information Ratio | 0.0766 | |||
| Maximum Drawdown | 7.82 | |||
| Value At Risk | (2.35) | |||
| Potential Upside | 2.43 |
ELLINGTON RESIDMTG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ELLINGTON RESIDMTG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ELLINGTON RESIDMTG's standard deviation. In reality, there are many statistical measures that can use ELLINGTON RESIDMTG historical prices to predict the future ELLINGTON RESIDMTG's volatility.| Risk Adjusted Performance | 0.0851 | |||
| Jensen Alpha | 0.1337 | |||
| Total Risk Alpha | 0.0981 | |||
| Sortino Ratio | 0.065 | |||
| Treynor Ratio | (3.29) |
ELLINGTON RESIDMTG SBI Backtested Returns
At this point, ELLINGTON RESIDMTG is somewhat reliable. ELLINGTON RESIDMTG SBI secures Sharpe Ratio (or Efficiency) of 0.0926, which denotes the company had a 0.0926 % return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for ELLINGTON RESIDMTG SBI, which you can use to evaluate the volatility of the firm. Please confirm ELLINGTON RESIDMTG's Semi Deviation of 1.33, mean deviation of 1.15, and Downside Deviation of 1.74 to check if the risk estimate we provide is consistent with the expected return of 0.14%. ELLINGTON RESIDMTG has a performance score of 7 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0404, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ELLINGTON RESIDMTG are expected to decrease at a much lower rate. During the bear market, ELLINGTON RESIDMTG is likely to outperform the market. ELLINGTON RESIDMTG SBI now shows a risk of 1.57%. Please confirm ELLINGTON RESIDMTG SBI coefficient of variation, jensen alpha, and the relationship between the downside deviation and information ratio , to decide if ELLINGTON RESIDMTG SBI will be following its price patterns.
Auto-correlation | 0.35 |
Below average predictability
ELLINGTON RESIDMTG SBI has below average predictability. Overlapping area represents the amount of predictability between ELLINGTON RESIDMTG time series from 1st of July 2023 to 11th of April 2024 and 11th of April 2024 to 21st of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ELLINGTON RESIDMTG SBI price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current ELLINGTON RESIDMTG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
ELLINGTON RESIDMTG SBI lagged returns against current returns
Autocorrelation, which is ELLINGTON RESIDMTG 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 ELLINGTON RESIDMTG's stock expected returns. We can calculate the autocorrelation of ELLINGTON RESIDMTG returns to help us make a trade decision. For example, suppose you find that ELLINGTON RESIDMTG 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 |
ELLINGTON RESIDMTG 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 ELLINGTON RESIDMTG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ELLINGTON RESIDMTG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ELLINGTON RESIDMTG stock over time.
Current vs Lagged Prices |
| Timeline |
ELLINGTON RESIDMTG Lagged Returns
When evaluating ELLINGTON RESIDMTG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ELLINGTON RESIDMTG stock have on its future price. ELLINGTON RESIDMTG 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, ELLINGTON RESIDMTG autocorrelation shows the relationship between ELLINGTON RESIDMTG stock current value and its past values and can show if there is a momentum factor associated with investing in ELLINGTON RESIDMTG SBI.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ELLINGTON Stock
ELLINGTON RESIDMTG financial ratios help investors to determine whether ELLINGTON 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 ELLINGTON with respect to the benefits of owning ELLINGTON RESIDMTG security.