GRUPUL INDUSTRIAL (Romania) Market Value
| ECT Stock | 0.06 0.01 10.00% |
| Symbol | GRUPUL |
GRUPUL INDUSTRIAL '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 GRUPUL INDUSTRIAL'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 GRUPUL INDUSTRIAL.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in GRUPUL INDUSTRIAL on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding GRUPUL INDUSTRIAL ELECTROCONTACT or generate 0.0% return on investment in GRUPUL INDUSTRIAL over 90 days.
GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL'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 GRUPUL INDUSTRIAL ELECTROCONTACT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 10.46 | |||
| Information Ratio | 0.0979 | |||
| Maximum Drawdown | 29.1 | |||
| Value At Risk | (11.11) | |||
| Potential Upside | 13.58 |
GRUPUL INDUSTRIAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for GRUPUL INDUSTRIAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as GRUPUL INDUSTRIAL's standard deviation. In reality, there are many statistical measures that can use GRUPUL INDUSTRIAL historical prices to predict the future GRUPUL INDUSTRIAL's volatility.| Risk Adjusted Performance | 0.0789 | |||
| Jensen Alpha | 0.3864 | |||
| Total Risk Alpha | 1.19 | |||
| Sortino Ratio | 0.0543 | |||
| Treynor Ratio | (0.69) |
GRUPUL INDUSTRIAL Backtested Returns
GRUPUL INDUSTRIAL appears to be out of control, given 3 months investment horizon. GRUPUL INDUSTRIAL holds Efficiency (Sharpe) Ratio of 0.0877, which attests that the entity had a 0.0877 % return per unit of volatility over the last 3 months. By analyzing GRUPUL INDUSTRIAL's technical indicators, you can evaluate if the expected return of 0.55% is justified by implied risk. Please utilize GRUPUL INDUSTRIAL's risk adjusted performance of 0.0789, and Market Risk Adjusted Performance of (0.68) to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, GRUPUL INDUSTRIAL holds a performance score of 6. The company retains a Market Volatility (i.e., Beta) of -0.67, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning GRUPUL INDUSTRIAL are expected to decrease at a much lower rate. During the bear market, GRUPUL INDUSTRIAL is likely to outperform the market. Please check GRUPUL INDUSTRIAL's skewness, day typical price, and the relationship between the downside variance and daily balance of power , to make a quick decision on whether GRUPUL INDUSTRIAL's current trending patterns will revert.
Auto-correlation | -0.07 |
Very weak reverse predictability
GRUPUL INDUSTRIAL ELECTROCONTACT has very weak reverse predictability. Overlapping area represents the amount of predictability between GRUPUL INDUSTRIAL time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 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 GRUPUL INDUSTRIAL price movement. The serial correlation of -0.07 indicates that barely 7.0% of current GRUPUL INDUSTRIAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.07 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
GRUPUL INDUSTRIAL lagged returns against current returns
Autocorrelation, which is GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL's stock expected returns. We can calculate the autocorrelation of GRUPUL INDUSTRIAL returns to help us make a trade decision. For example, suppose you find that GRUPUL INDUSTRIAL 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 |
GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if GRUPUL INDUSTRIAL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in GRUPUL INDUSTRIAL stock over time.
Current vs Lagged Prices |
| Timeline |
GRUPUL INDUSTRIAL Lagged Returns
When evaluating GRUPUL INDUSTRIAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of GRUPUL INDUSTRIAL stock have on its future price. GRUPUL INDUSTRIAL 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, GRUPUL INDUSTRIAL autocorrelation shows the relationship between GRUPUL INDUSTRIAL stock current value and its past values and can show if there is a momentum factor associated with investing in GRUPUL INDUSTRIAL ELECTROCONTACT.
Regressed Prices |
| Timeline |
Pair Trading with GRUPUL INDUSTRIAL
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 GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to GRUPUL INDUSTRIAL could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL - 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 GRUPUL INDUSTRIAL ELECTROCONTACT to buy it.
The correlation of GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if GRUPUL INDUSTRIAL 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 GRUPUL INDUSTRIAL 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.