Engro Poly (Pakistan) Market Value
| EPCLPS Stock | 11.11 0.61 5.20% |
| Symbol | Engro |
Engro Poly '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 Poly'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 Poly.
| 12/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Engro Poly on December 5, 2024 and sell it all today you would earn a total of 0.00 from holding Engro Poly or generate 0.0% return on investment in Engro Poly over 30 days.
Engro Poly 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 Poly'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 Poly upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.17 | |||
| Information Ratio | 0.0154 | |||
| Maximum Drawdown | 18.59 | |||
| Value At Risk | (5.83) | |||
| Potential Upside | 7.23 |
Engro Poly Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engro Poly's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engro Poly's standard deviation. In reality, there are many statistical measures that can use Engro Poly historical prices to predict the future Engro Poly's volatility.| Risk Adjusted Performance | 0.0253 | |||
| Jensen Alpha | 0.0814 | |||
| Total Risk Alpha | 0.0129 | |||
| Sortino Ratio | 0.0131 | |||
| Treynor Ratio | (0.06) |
Engro Poly Backtested Returns
At this point, Engro Poly is somewhat reliable. Engro Poly secures Sharpe Ratio (or Efficiency) of 0.0278, which denotes the company had a 0.0278% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Engro Poly, which you can use to evaluate the volatility of the firm. Please confirm Engro Poly's Mean Deviation of 2.28, coefficient of variation of 4618.14, and Downside Deviation of 4.17 to check if the risk estimate we provide is consistent with the expected return of 0.0919%. Engro Poly has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -1.17, which means a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Engro Poly are expected to decrease by larger amounts. On the other hand, during market turmoil, Engro Poly is expected to outperform it. Engro Poly right now shows a risk of 3.3%. Please confirm Engro Poly value at risk, and the relationship between the jensen alpha and skewness , to decide if Engro Poly will be following its price patterns.
Auto-correlation | 0.16 |
Very weak predictability
Engro Poly has very weak predictability. Overlapping area represents the amount of predictability between Engro Poly time series from 5th of December 2024 to 20th of December 2024 and 20th of December 2024 to 4th of January 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 Poly price movement. The serial correlation of 0.16 indicates that over 16.0% of current Engro Poly price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Engro Poly lagged returns against current returns
Autocorrelation, which is Engro Poly 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 Poly's stock expected returns. We can calculate the autocorrelation of Engro Poly returns to help us make a trade decision. For example, suppose you find that Engro Poly 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 Poly 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 Poly stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engro Poly stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engro Poly stock over time.
Current vs Lagged Prices |
| Timeline |
Engro Poly Lagged Returns
When evaluating Engro Poly's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engro Poly stock have on its future price. Engro Poly 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 Poly autocorrelation shows the relationship between Engro Poly stock current value and its past values and can show if there is a momentum factor associated with investing in Engro Poly.
Regressed Prices |
| Timeline |
Pair Trading with Engro Poly
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 Poly 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 Poly will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Engro Poly 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 Poly 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 Poly - 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 Poly to buy it.
The correlation of Engro Poly 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 Poly moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engro Poly 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 Poly 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.