Empresa Nacional (Chile) Market Value
| ENTEL Stock | CLP 2,908 26.50 0.90% |
| Symbol | Empresa |
Empresa Nacional '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 Empresa Nacional'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 Empresa Nacional.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in Empresa Nacional on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding Empresa Nacional de or generate 0.0% return on investment in Empresa Nacional over 90 days. Empresa Nacional is related to or competes with Cencosud, Empresas Copec, Falabella, Empresas CMPC, and CAP SA. Empresa Nacional de Telecomunicaciones S.A More
Empresa Nacional 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 Empresa Nacional'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 Empresa Nacional de upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.13 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 5.97 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 2.56 |
Empresa Nacional Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Empresa Nacional's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Empresa Nacional's standard deviation. In reality, there are many statistical measures that can use Empresa Nacional historical prices to predict the future Empresa Nacional's volatility.| Risk Adjusted Performance | 0.0336 | |||
| Jensen Alpha | 0.0825 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | (0.12) |
Empresa Nacional Backtested Returns
Currently, Empresa Nacional de is very steady. Empresa Nacional secures Sharpe Ratio (or Efficiency) of 0.0404, which denotes the company had a 0.0404% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Empresa Nacional de, which you can use to evaluate the volatility of the firm. Please confirm Empresa Nacional's Coefficient Of Variation of 2595.18, downside deviation of 1.13, and Mean Deviation of 0.9942 to check if the risk estimate we provide is consistent with the expected return of 0.0549%. Empresa Nacional has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.33, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Empresa Nacional are expected to decrease at a much lower rate. During the bear market, Empresa Nacional is likely to outperform the market. Empresa Nacional right now shows a risk of 1.36%. Please confirm Empresa Nacional treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to decide if Empresa Nacional will be following its price patterns.
Auto-correlation | -0.48 |
Modest reverse predictability
Empresa Nacional de has modest reverse predictability. Overlapping area represents the amount of predictability between Empresa Nacional time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 2024 to 2nd 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 Empresa Nacional price movement. The serial correlation of -0.48 indicates that about 48.0% of current Empresa Nacional price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 7017.21 |
Empresa Nacional lagged returns against current returns
Autocorrelation, which is Empresa Nacional 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 Empresa Nacional's stock expected returns. We can calculate the autocorrelation of Empresa Nacional returns to help us make a trade decision. For example, suppose you find that Empresa Nacional 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 |
Empresa Nacional 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 Empresa Nacional stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Empresa Nacional stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Empresa Nacional stock over time.
Current vs Lagged Prices |
| Timeline |
Empresa Nacional Lagged Returns
When evaluating Empresa Nacional's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Empresa Nacional stock have on its future price. Empresa Nacional 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, Empresa Nacional autocorrelation shows the relationship between Empresa Nacional stock current value and its past values and can show if there is a momentum factor associated with investing in Empresa Nacional de.
Regressed Prices |
| Timeline |
Pair Trading with Empresa Nacional
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 Empresa Nacional 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 Empresa Nacional will appreciate offsetting losses from the drop in the long position's value.Moving against Empresa Stock
The ability to find closely correlated positions to Empresa Nacional could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Empresa Nacional 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 Empresa Nacional - 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 Empresa Nacional de to buy it.
The correlation of Empresa Nacional 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 Empresa Nacional moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Empresa Nacional 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 Empresa Nacional 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 Empresa Stock Analysis
When running Empresa Nacional's price analysis, check to measure Empresa Nacional'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 Empresa Nacional is operating at the current time. Most of Empresa Nacional's value examination focuses on studying past and present price action to predict the probability of Empresa Nacional's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Empresa Nacional's price. Additionally, you may evaluate how the addition of Empresa Nacional to your portfolios can decrease your overall portfolio volatility.