Glencore PLC (Germany) Market Value
| 8GC Stock | EUR 5.48 0.02 0.36% |
| Symbol | Glencore |
Glencore PLC '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 Glencore PLC'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 Glencore PLC.
| 05/05/2022 |
| 04/24/2024 |
If you would invest 0.00 in Glencore PLC on May 5, 2022 and sell it all today you would earn a total of 0.00 from holding Glencore PLC or generate 0.0% return on investment in Glencore PLC over 720 days. Glencore PLC is related to or competes with Japan Medical, MeVis Medical, Warner Music, XTANT MEDICAL, and Tencent Music. Glencore plc engages in the production, refinement, processing, storage, transport, and marketing of metals and minerals... More
Glencore PLC 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 Glencore PLC'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 Glencore PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.63 | |||
| Information Ratio | 0.0578 | |||
| Maximum Drawdown | 7.01 | |||
| Value At Risk | (2.25) | |||
| Potential Upside | 2.95 |
Glencore PLC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Glencore PLC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Glencore PLC's standard deviation. In reality, there are many statistical measures that can use Glencore PLC historical prices to predict the future Glencore PLC's volatility.| Risk Adjusted Performance | 0.0748 | |||
| Jensen Alpha | 0.2178 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0591 | |||
| Treynor Ratio | (0.33) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Glencore PLC'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.
Glencore PLC Backtested Returns
We consider Glencore PLC somewhat reliable. Glencore PLC holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Glencore PLC, which you can use to evaluate the volatility of the firm. Please check out Glencore PLC's Downside Deviation of 1.63, market risk adjusted performance of (0.32), and Risk Adjusted Performance of 0.0748 to validate if the risk estimate we provide is consistent with the expected return of 0.19%. Glencore PLC has a performance score of 9 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.53, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Glencore PLC are expected to decrease at a much lower rate. During the bear market, Glencore PLC is likely to outperform the market. Glencore PLC right now retains a risk of 1.62%. Please check out Glencore PLC market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to decide if Glencore PLC will be following its current trending patterns.
Auto-correlation | -0.02 |
Very weak reverse predictability
Glencore PLC has very weak reverse predictability. Overlapping area represents the amount of predictability between Glencore PLC time series from 5th of May 2022 to 30th of April 2023 and 30th of April 2023 to 24th of April 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 Glencore PLC price movement. The serial correlation of -0.02 indicates that only 2.0% of current Glencore PLC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Glencore PLC lagged returns against current returns
Autocorrelation, which is Glencore PLC 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 Glencore PLC's stock expected returns. We can calculate the autocorrelation of Glencore PLC returns to help us make a trade decision. For example, suppose you find that Glencore PLC 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 |
Glencore PLC 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 Glencore PLC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Glencore PLC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Glencore PLC stock over time.
Current vs Lagged Prices |
| Timeline |
Glencore PLC Lagged Returns
When evaluating Glencore PLC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Glencore PLC stock have on its future price. Glencore PLC 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, Glencore PLC autocorrelation shows the relationship between Glencore PLC stock current value and its past values and can show if there is a momentum factor associated with investing in Glencore PLC.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Check out Glencore PLC Correlation, Glencore PLC Volatility and Glencore PLC Alpha and Beta module to complement your research on Glencore PLC. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Complementary Tools for Glencore Stock analysis
When running Glencore PLC's price analysis, check to measure Glencore PLC'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 Glencore PLC is operating at the current time. Most of Glencore PLC's value examination focuses on studying past and present price action to predict the probability of Glencore PLC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Glencore PLC's price. Additionally, you may evaluate how the addition of Glencore PLC to your portfolios can decrease your overall portfolio volatility.
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Glencore PLC technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.