Engro Fertilizers (Pakistan) Market Value
| EFERT Stock | 201.46 0.31 0.15% |
| Symbol | Engro |
Engro Fertilizers '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 Engro Fertilizers' 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 Engro Fertilizers.
| 02/05/2023 |
| 12/26/2024 |
If you would invest 0.00 in Engro Fertilizers on February 5, 2023 and sell it all today you would earn a total of 0.00 from holding Engro Fertilizers or generate 0.0% return on investment in Engro Fertilizers over 690 days. Engro Fertilizers is related to or competes with National Bank, United Bank, Bank Alfalah, Allied Bank, Meezan Bank, Askari Bank, and Habib Metropolitan. More
Engro Fertilizers 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 Engro Fertilizers' 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 Engro Fertilizers upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.73 | |||
| Information Ratio | 0.0522 | |||
| Maximum Drawdown | 8.51 | |||
| Value At Risk | (2.80) | |||
| Potential Upside | 3.79 |
Engro Fertilizers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engro Fertilizers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engro Fertilizers' standard deviation. In reality, there are many statistical measures that can use Engro Fertilizers historical prices to predict the future Engro Fertilizers' volatility.| Risk Adjusted Performance | 0.0662 | |||
| Total Risk Alpha | 0.0515 | |||
| Sortino Ratio | 0.0577 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Engro Fertilizers' 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.
Engro Fertilizers Backtested Returns
As of now, Engro Stock is very steady. Engro Fertilizers secures Sharpe Ratio (or Efficiency) of 0.0641, which denotes the company had a 0.0641% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Engro Fertilizers, which you can use to evaluate the volatility of the firm. Please confirm Engro Fertilizers' Coefficient Of Variation of 1323.27, semi deviation of 1.61, and Standard Deviation of 1.91 to check if the risk estimate we provide is consistent with the expected return of 0.12%. Engro Fertilizers has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0, which means not very significant fluctuations relative to the market. the returns on MARKET and Engro Fertilizers are completely uncorrelated. Engro Fertilizers right now shows a risk of 1.93%. Please confirm Engro Fertilizers semi variance, and the relationship between the sortino ratio and daily balance of power , to decide if Engro Fertilizers will be following its price patterns.
Auto-correlation | 0.78 |
Good predictability
Engro Fertilizers has good predictability. Overlapping area represents the amount of predictability between Engro Fertilizers time series from 5th of February 2023 to 16th of January 2024 and 16th of January 2024 to 26th 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 Engro Fertilizers price movement. The serial correlation of 0.78 indicates that around 78.0% of current Engro Fertilizers price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 858.31 |
Engro Fertilizers lagged returns against current returns
Autocorrelation, which is Engro Fertilizers 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 Engro Fertilizers' stock expected returns. We can calculate the autocorrelation of Engro Fertilizers returns to help us make a trade decision. For example, suppose you find that Engro Fertilizers 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 |
Engro Fertilizers 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 Engro Fertilizers stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engro Fertilizers stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engro Fertilizers stock over time.
Current vs Lagged Prices |
| Timeline |
Engro Fertilizers Lagged Returns
When evaluating Engro Fertilizers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engro Fertilizers stock have on its future price. Engro Fertilizers 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, Engro Fertilizers autocorrelation shows the relationship between Engro Fertilizers stock current value and its past values and can show if there is a momentum factor associated with investing in Engro Fertilizers.
Regressed Prices |
| Timeline |
Pair Trading with Engro Fertilizers
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 Engro Fertilizers 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 Engro Fertilizers will appreciate offsetting losses from the drop in the long position's value.Moving together with Engro Stock
Moving against Engro Stock
The ability to find closely correlated positions to Engro Fertilizers could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Engro Fertilizers 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 Engro Fertilizers - 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 Engro Fertilizers to buy it.
The correlation of Engro Fertilizers 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 Engro Fertilizers moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engro Fertilizers 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 Engro Fertilizers 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.Other Information on Investing in Engro Stock
Engro Fertilizers financial ratios help investors to determine whether Engro 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 Engro with respect to the benefits of owning Engro Fertilizers security.