CEZ As (Poland) Market Value
| CEZ Stock | 164.50 8.30 5.31% |
| Symbol | CEZ |
CEZ As '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 CEZ As' 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 CEZ As.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in CEZ As on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding CEZ as or generate 0.0% return on investment in CEZ As over 540 days. CEZ As is related to or competes with Asseco Business, Movie Games, and Igoria Trade. More
CEZ As 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 CEZ As' 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 CEZ as upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.43 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 8.74 | |||
| Value At Risk | (2.09) | |||
| Potential Upside | 1.96 |
CEZ As Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CEZ As' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CEZ As' standard deviation. In reality, there are many statistical measures that can use CEZ As historical prices to predict the future CEZ As' volatility.| Risk Adjusted Performance | 0.0433 | |||
| Jensen Alpha | 0.0388 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.266 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CEZ As' 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.
CEZ as Backtested Returns
CEZ As appears to be very steady, given 3 months investment horizon. CEZ as secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for CEZ as, which you can use to evaluate the volatility of the firm. Please makes use of CEZ As' mean deviation of 1.02, and Risk Adjusted Performance of 0.0433 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, CEZ As holds a performance score of 9. The firm shows a Beta (market volatility) of 0.26, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CEZ As' returns are expected to increase less than the market. However, during the bear market, the loss of holding CEZ As is expected to be smaller as well. Please check CEZ As' skewness, and the relationship between the potential upside and rate of daily change , to make a quick decision on whether CEZ As' price patterns will revert.
Auto-correlation | -0.22 |
Weak reverse predictability
CEZ as has weak reverse predictability. Overlapping area represents the amount of predictability between CEZ As time series from 8th of June 2023 to 4th of March 2024 and 4th of March 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 CEZ as price movement. The serial correlation of -0.22 indicates that over 22.0% of current CEZ As price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 53.85 |
CEZ as lagged returns against current returns
Autocorrelation, which is CEZ As 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 CEZ As' stock expected returns. We can calculate the autocorrelation of CEZ As returns to help us make a trade decision. For example, suppose you find that CEZ As 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 |
CEZ As 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 CEZ As stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CEZ As stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CEZ As stock over time.
Current vs Lagged Prices |
| Timeline |
CEZ As Lagged Returns
When evaluating CEZ As' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CEZ As stock have on its future price. CEZ As 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, CEZ As autocorrelation shows the relationship between CEZ As stock current value and its past values and can show if there is a momentum factor associated with investing in CEZ as.
Regressed Prices |
| Timeline |
Pair Trading with CEZ As
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 CEZ As 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 CEZ As will appreciate offsetting losses from the drop in the long position's value.Moving against CEZ Stock
| 0.73 | ING | ING Bank lski | PairCorr |
| 0.71 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.53 | PEO | Bank Polska Kasa | PairCorr |
| 0.37 | KGH | KGHM Polska Miedz | PairCorr |
The ability to find closely correlated positions to CEZ As could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CEZ As 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 CEZ As - 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 CEZ as to buy it.
The correlation of CEZ As 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 CEZ As moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CEZ as 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 CEZ As 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 CEZ Stock Analysis
When running CEZ As' price analysis, check to measure CEZ As' 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 CEZ As is operating at the current time. Most of CEZ As' value examination focuses on studying past and present price action to predict the probability of CEZ As' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CEZ As' price. Additionally, you may evaluate how the addition of CEZ As to your portfolios can decrease your overall portfolio volatility.