Grupe SAB (Mexico) Market Value
| CIDMEGA Stock | MXN 34.80 0.04 0.11% |
| Symbol | Grupe |
Grupe SAB '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 Grupe SAB'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 Grupe SAB.
| 03/27/2024 |
| 04/26/2024 |
If you would invest 0.00 in Grupe SAB on March 27, 2024 and sell it all today you would earn a total of 0.00 from holding Grupe SAB de or generate 0.0% return on investment in Grupe SAB over 30 days. Grupe SAB is related to or competes with Samsung Electronics, Taiwan Semiconductor, Alibaba Group, and Petrleo Brasileiro. Grupe, S.A.B. de C.V. operates in the hospitality sector in Mexico More
Grupe SAB 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 Grupe SAB'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 Grupe SAB de upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.35) | |||
| Maximum Drawdown | 3.17 |
Grupe SAB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupe SAB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupe SAB's standard deviation. In reality, there are many statistical measures that can use Grupe SAB historical prices to predict the future Grupe SAB's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | 2.08 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grupe SAB'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.
Grupe SAB de Backtested Returns
Grupe SAB de holds Efficiency (Sharpe) Ratio of -0.13, which attests that the entity had a -0.13% return per unit of risk over the last 3 months. Grupe SAB de exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grupe SAB's Market Risk Adjusted Performance of 2.09, risk adjusted performance of (0.09), and Standard Deviation of 0.39 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.0287, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Grupe SAB are expected to decrease at a much lower rate. During the bear market, Grupe SAB is likely to outperform the market. Grupe SAB de has an expected return of -0.0547%. Please make sure to check out Grupe SAB kurtosis, as well as the relationship between the rate of daily change and market facilitation index , to decide if Grupe SAB de performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.00 |
No correlation between past and present
Grupe SAB de has no correlation between past and present. Overlapping area represents the amount of predictability between Grupe SAB time series from 27th of March 2024 to 11th of April 2024 and 11th of April 2024 to 26th 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 Grupe SAB de price movement. The serial correlation of 0.0 indicates that just 0.0% of current Grupe SAB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Grupe SAB de lagged returns against current returns
Autocorrelation, which is Grupe SAB 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 Grupe SAB's stock expected returns. We can calculate the autocorrelation of Grupe SAB returns to help us make a trade decision. For example, suppose you find that Grupe SAB 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 |
Grupe SAB 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 Grupe SAB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupe SAB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupe SAB stock over time.
Current vs Lagged Prices |
| Timeline |
Grupe SAB Lagged Returns
When evaluating Grupe SAB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupe SAB stock have on its future price. Grupe SAB 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, Grupe SAB autocorrelation shows the relationship between Grupe SAB stock current value and its past values and can show if there is a momentum factor associated with investing in Grupe SAB de.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Grupe SAB in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Grupe SAB's short interest history, or implied volatility extrapolated from Grupe SAB options trading.
Pair Trading with Grupe SAB
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 Grupe SAB 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 Grupe SAB will appreciate offsetting losses from the drop in the long position's value.Moving against Grupe Stock
| 0.81 | NVDA | NVIDIA | PairCorr |
| 0.69 | FGEN | FibroGen | PairCorr |
| 0.64 | FINDEP | Financiera Independencia | PairCorr |
| 0.63 | PINFRA | Promotora y Operadora Earnings Call Today | PairCorr |
| 0.51 | LEN | Lennar | PairCorr |
The ability to find closely correlated positions to Grupe SAB could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Grupe SAB 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 Grupe SAB - 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 Grupe SAB de to buy it.
The correlation of Grupe SAB 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 Grupe SAB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Grupe SAB de 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 Grupe SAB 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.Check out Grupe SAB Correlation, Grupe SAB Volatility and Grupe SAB Alpha and Beta module to complement your research on Grupe SAB. Note that the Grupe SAB de information on this page should be used as a complementary analysis to other Grupe SAB's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Complementary Tools for Grupe Stock analysis
When running Grupe SAB's price analysis, check to measure Grupe SAB'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 Grupe SAB is operating at the current time. Most of Grupe SAB's value examination focuses on studying past and present price action to predict the probability of Grupe SAB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupe SAB's price. Additionally, you may evaluate how the addition of Grupe SAB to your portfolios can decrease your overall portfolio volatility.
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Grupe SAB 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.