Value Grupo (Mexico) Market Value
| VALUEGFO | MXN 93.04 0.00 0.00% |
| Symbol | Value |
Value Grupo '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 Value Grupo'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 Value Grupo.
| 10/17/2024 |
| 12/16/2024 |
If you would invest 0.00 in Value Grupo on October 17, 2024 and sell it all today you would earn a total of 0.00 from holding Value Grupo Financiero or generate 0.0% return on investment in Value Grupo over 60 days. Value Grupo is related to or competes with Samsung Electronics, Sony, Taiwan Semiconductor, and Alibaba Group. Value Grupo Financiero SAB de CV, through its subsidiaries, provides various financial services in Mexico More
Value Grupo 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 Value Grupo'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 Value Grupo Financiero upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.94 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 19.54 | |||
| Value At Risk | (5.26) | |||
| Potential Upside | 4.51 |
Value Grupo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Value Grupo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Value Grupo's standard deviation. In reality, there are many statistical measures that can use Value Grupo historical prices to predict the future Value Grupo's volatility.| Risk Adjusted Performance | 0.0281 | |||
| Jensen Alpha | 0.0562 | |||
| Total Risk Alpha | (0.31) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.3349 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Value Grupo's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Value Grupo Financiero Backtested Returns
At this point, Value Grupo is very steady. Value Grupo Financiero owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0269, which indicates the firm had a 0.0269% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Value Grupo Financiero, which you can use to evaluate the volatility of the company. Please validate Value Grupo's Coefficient Of Variation of 3540.99, semi deviation of 1.77, and Risk Adjusted Performance of 0.0281 to confirm if the risk estimate we provide is consistent with the expected return of 0.0815%. Value Grupo has a performance score of 2 on a scale of 0 to 100. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Value Grupo's returns are expected to increase less than the market. However, during the bear market, the loss of holding Value Grupo is expected to be smaller as well. Value Grupo Financiero right now has a risk of 3.03%. Please validate Value Grupo treynor ratio, as well as the relationship between the downside variance and kurtosis , to decide if Value Grupo will be following its existing price patterns.
Auto-correlation | 0.89 |
Very good predictability
Value Grupo Financiero has very good predictability. Overlapping area represents the amount of predictability between Value Grupo time series from 17th of October 2024 to 16th of November 2024 and 16th of November 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 Value Grupo Financiero price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Value Grupo price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 36.39 |
Value Grupo Financiero lagged returns against current returns
Autocorrelation, which is Value Grupo 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 Value Grupo's stock expected returns. We can calculate the autocorrelation of Value Grupo returns to help us make a trade decision. For example, suppose you find that Value Grupo 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 |
Value Grupo 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 Value Grupo stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Value Grupo stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Value Grupo stock over time.
Current vs Lagged Prices |
| Timeline |
Value Grupo Lagged Returns
When evaluating Value Grupo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Value Grupo stock have on its future price. Value Grupo 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, Value Grupo autocorrelation shows the relationship between Value Grupo stock current value and its past values and can show if there is a momentum factor associated with investing in Value Grupo Financiero.
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.Other Information on Investing in Value Stock
Value Grupo financial ratios help investors to determine whether Value 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 Value with respect to the benefits of owning Value Grupo security.