Vercom SA (Poland) Market Value
| VRC Stock | 110.00 1.00 0.90% |
| Symbol | Vercom |
Vercom SA '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 Vercom SA'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 Vercom SA.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Vercom SA on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding Vercom SA or generate 0.0% return on investment in Vercom SA over 90 days.
Vercom SA 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 Vercom SA'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 Vercom SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.94 | |||
| Value At Risk | (2.59) | |||
| Potential Upside | 3.13 |
Vercom SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vercom SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vercom SA's standard deviation. In reality, there are many statistical measures that can use Vercom SA historical prices to predict the future Vercom SA's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | 0.0826 | |||
| Treynor Ratio | (2.67) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vercom SA'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.
Vercom SA Backtested Returns
Vercom SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.063, which indicates the firm had a -0.063 % return per unit of risk over the last 3 months. Vercom SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vercom SA's Coefficient Of Variation of (1,398), variance of 2.97, and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The entity has a beta of 0.05, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vercom SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vercom SA is expected to be smaller as well. At this point, Vercom SA has a negative expected return of -0.11%. Please make sure to validate Vercom SA's value at risk, accumulation distribution, as well as the relationship between the Accumulation Distribution and day typical price , to decide if Vercom SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.03 |
Very weak reverse predictability
Vercom SA has very weak reverse predictability. Overlapping area represents the amount of predictability between Vercom SA 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 Vercom SA price movement. The serial correlation of -0.03 indicates that only 3.0% of current Vercom SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 8.67 |
Vercom SA lagged returns against current returns
Autocorrelation, which is Vercom SA 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 Vercom SA's stock expected returns. We can calculate the autocorrelation of Vercom SA returns to help us make a trade decision. For example, suppose you find that Vercom SA 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 |
Vercom SA 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 Vercom SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vercom SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vercom SA stock over time.
Current vs Lagged Prices |
| Timeline |
Vercom SA Lagged Returns
When evaluating Vercom SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vercom SA stock have on its future price. Vercom SA 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, Vercom SA autocorrelation shows the relationship between Vercom SA stock current value and its past values and can show if there is a momentum factor associated with investing in Vercom SA.
Regressed Prices |
| Timeline |
Pair Trading with Vercom SA
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 Vercom SA 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 Vercom SA will appreciate offsetting losses from the drop in the long position's value.Moving against Vercom Stock
| 0.62 | SPL | Santander Bank Polska | PairCorr |
| 0.62 | PEO | Bank Polska Kasa | PairCorr |
| 0.59 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.58 | UCG | UniCredit SpA | PairCorr |
| 0.58 | KGH | KGHM Polska Miedz | PairCorr |
The ability to find closely correlated positions to Vercom SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vercom SA 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 Vercom SA - 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 Vercom SA to buy it.
The correlation of Vercom SA 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 Vercom SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vercom SA 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 Vercom SA 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 Vercom Stock Analysis
When running Vercom SA's price analysis, check to measure Vercom SA'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 Vercom SA is operating at the current time. Most of Vercom SA's value examination focuses on studying past and present price action to predict the probability of Vercom SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vercom SA's price. Additionally, you may evaluate how the addition of Vercom SA to your portfolios can decrease your overall portfolio volatility.