Endesa SA (Germany) Market Value
| ENA Stock | EUR 20.54 0.02 0.1% |
| Symbol | Endesa |
Endesa SA '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 Endesa SA'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 Endesa SA.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Endesa SA on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Endesa SA or generate 0.0% return on investment in Endesa SA over 30 days. Endesa SA is related to or competes with Insteel Industries, Ultra Clean, Commonwealth Bank, and NIPPON STEEL. ENDESA, S.A. engages in the generation, transmission, distribution, and supply of electricity in Spain, Latin America, Europe, and Africa. More
Endesa SA 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 Endesa SA'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 Endesa SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.93 | |||
| Value At Risk | (1.53) | |||
| Potential Upside | 1.78 |
Endesa SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Endesa SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Endesa SA's standard deviation. In reality, there are many statistical measures that can use Endesa SA historical prices to predict the future Endesa SA's volatility.| Risk Adjusted Performance | 0.0461 | |||
| Jensen Alpha | 0.0693 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0.40) |
Endesa SA Backtested Returns
Currently, Endesa SA is very steady. Endesa SA secures Sharpe Ratio (or Efficiency) of 0.0524, which denotes the company had a 0.0524% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Endesa SA, which you can use to evaluate the volatility of the firm. Please confirm Endesa SA's Semi Deviation of 1.14, mean deviation of 0.8432, and Downside Deviation of 1.27 to check if the risk estimate we provide is consistent with the expected return of 0.0598%. Endesa SA has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Endesa SA are expected to decrease at a much lower rate. During the bear market, Endesa SA is likely to outperform the market. Endesa SA right now shows a risk of 1.14%. Please confirm Endesa SA mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to decide if Endesa SA will be following its price patterns.
Auto-correlation | -0.84 |
Excellent reverse predictability
Endesa SA has excellent reverse predictability. Overlapping area represents the amount of predictability between Endesa SA time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Endesa SA price movement. The serial correlation of -0.84 indicates that around 84.0% of current Endesa SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.84 | |
| Spearman Rank Test | -0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Endesa SA lagged returns against current returns
Autocorrelation, which is Endesa SA 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 Endesa SA's stock expected returns. We can calculate the autocorrelation of Endesa SA returns to help us make a trade decision. For example, suppose you find that Endesa SA 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 |
Endesa SA 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 Endesa SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Endesa SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Endesa SA stock over time.
Current vs Lagged Prices |
| Timeline |
Endesa SA Lagged Returns
When evaluating Endesa SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Endesa SA stock have on its future price. Endesa SA 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, Endesa SA autocorrelation shows the relationship between Endesa SA stock current value and its past values and can show if there is a momentum factor associated with investing in Endesa SA.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Endesa Stock Analysis
When running Endesa SA's price analysis, check to measure Endesa SA'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 Endesa SA is operating at the current time. Most of Endesa SA's value examination focuses on studying past and present price action to predict the probability of Endesa SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Endesa SA's price. Additionally, you may evaluate how the addition of Endesa SA to your portfolios can decrease your overall portfolio volatility.