Energisa (Brazil) Market Value
| ENGI3 Stock | BRL 11.18 0.03 0.27% |
| Symbol | Energisa |
Energisa '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 Energisa'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 Energisa.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Energisa on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Energisa SA or generate 0.0% return on investment in Energisa over 30 days. Energisa is related to or competes with Energisa, Equatorial Energia, Energisa, Transmissora Aliana, and CTEEP Companhia. Energisa S.A., through its subsidiaries, operates as an energy distribution company in Brazil More
Energisa 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 Energisa'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 Energisa SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 8.01 | |||
| Value At Risk | (3.82) | |||
| Potential Upside | 2.43 |
Energisa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Energisa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Energisa's standard deviation. In reality, there are many statistical measures that can use Energisa historical prices to predict the future Energisa's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.33) | |||
| Total Risk Alpha | (0.64) | |||
| Treynor Ratio | 1.87 |
Energisa SA Backtested Returns
Energisa SA secures Sharpe Ratio (or Efficiency) of -0.22, which denotes the company had a -0.22% return per unit of risk over the last 3 months. Energisa SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Energisa's Mean Deviation of 1.41, variance of 3.24, and Standard Deviation of 1.8 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.19, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Energisa are expected to decrease at a much lower rate. During the bear market, Energisa is likely to outperform the market. At this point, Energisa SA has a negative expected return of -0.39%. Please make sure to confirm Energisa's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Energisa SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.09 |
Very weak reverse predictability
Energisa SA has very weak reverse predictability. Overlapping area represents the amount of predictability between Energisa time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Energisa SA price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Energisa price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Energisa SA lagged returns against current returns
Autocorrelation, which is Energisa 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 Energisa's stock expected returns. We can calculate the autocorrelation of Energisa returns to help us make a trade decision. For example, suppose you find that Energisa 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 |
Energisa 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 Energisa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Energisa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Energisa stock over time.
Current vs Lagged Prices |
| Timeline |
Energisa Lagged Returns
When evaluating Energisa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Energisa stock have on its future price. Energisa 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, Energisa autocorrelation shows the relationship between Energisa stock current value and its past values and can show if there is a momentum factor associated with investing in Energisa SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Energisa Stock Analysis
When running Energisa's price analysis, check to measure Energisa'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 Energisa is operating at the current time. Most of Energisa's value examination focuses on studying past and present price action to predict the probability of Energisa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Energisa's price. Additionally, you may evaluate how the addition of Energisa to your portfolios can decrease your overall portfolio volatility.