Engro Polymer (Pakistan) Market Value
| EPCL Stock | 36.97 0.42 1.15% |
| Symbol | Engro |
Engro Polymer '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 Polymer'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 Engro Polymer.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Engro Polymer on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding Engro Polymer Chemicals or generate 0.0% return on investment in Engro Polymer over 90 days. Engro Polymer is related to or competes with Aisha Steel, International Steels, JS Investments, and Pakistan Tobacco. More
Engro Polymer 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 Polymer'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 Engro Polymer Chemicals upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0119 | |||
| Maximum Drawdown | 12.03 | |||
| Value At Risk | (2.32) | |||
| Potential Upside | 2.89 |
Engro Polymer Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engro Polymer's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engro Polymer's standard deviation. In reality, there are many statistical measures that can use Engro Polymer historical prices to predict the future Engro Polymer's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | 0.158 | |||
| Treynor Ratio | (0.45) |
Engro Polymer Chemicals Backtested Returns
Engro Polymer Chemicals secures Sharpe Ratio (or Efficiency) of -0.052, which denotes the company had a -0.052 % return per unit of risk over the last 3 months. Engro Polymer Chemicals exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Engro Polymer's Variance of 3.79, standard deviation of 1.95, and Mean Deviation of 1.3 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, Engro Polymer's returns are expected to increase less than the market. However, during the bear market, the loss of holding Engro Polymer is expected to be smaller as well. At this point, Engro Polymer Chemicals has a negative expected return of -0.1%. Please make sure to confirm Engro Polymer's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Engro Polymer Chemicals performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.64 |
Very good reverse predictability
Engro Polymer Chemicals has very good reverse predictability. Overlapping area represents the amount of predictability between Engro Polymer time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th 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 Engro Polymer Chemicals price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current Engro Polymer price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.64 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 1.58 |
Engro Polymer Chemicals lagged returns against current returns
Autocorrelation, which is Engro Polymer 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 Polymer's stock expected returns. We can calculate the autocorrelation of Engro Polymer returns to help us make a trade decision. For example, suppose you find that Engro Polymer 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 Polymer 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 Polymer stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engro Polymer stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engro Polymer stock over time.
Current vs Lagged Prices |
| Timeline |
Engro Polymer Lagged Returns
When evaluating Engro Polymer's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engro Polymer stock have on its future price. Engro Polymer 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 Polymer autocorrelation shows the relationship between Engro Polymer stock current value and its past values and can show if there is a momentum factor associated with investing in Engro Polymer Chemicals.
Regressed Prices |
| Timeline |
Pair Trading with Engro Polymer
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 Polymer 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 Polymer will appreciate offsetting losses from the drop in the long position's value.Moving together with Engro Stock
The ability to find closely correlated positions to Engro Polymer 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 Polymer 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 Polymer - 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 Polymer Chemicals to buy it.
The correlation of Engro Polymer 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 Polymer moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engro Polymer Chemicals 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 Polymer 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 Polymer 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 Polymer security.