EDP Energias (Portugal) Market Value
| EDP Stock | EUR 3.53 0.04 1.12% |
| Symbol | EDP |
EDP Energias '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 EDP Energias' 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 EDP Energias.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in EDP Energias on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding EDP Energias or generate 0.0% return on investment in EDP Energias over 720 days. EDP Energias is related to or competes with Galp Energia, Sonae SGPS, and Banco Comercial. EDP - Energias de Portugal, S.A. engages in the generation, transportation, distribution, and supply of electricity in P... More
EDP Energias 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 EDP Energias' 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 EDP Energias upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 7.38 | |||
| Value At Risk | (2.56) | |||
| Potential Upside | 2.55 |
EDP Energias Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EDP Energias' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EDP Energias' standard deviation. In reality, there are many statistical measures that can use EDP Energias historical prices to predict the future EDP Energias' volatility.| Risk Adjusted Performance | (0.10) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | 0.8437 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of EDP Energias' 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.
EDP Energias Backtested Returns
EDP Energias secures Sharpe Ratio (or Efficiency) of -0.14, which denotes the company had a -0.14% return per unit of risk over the last 3 months. EDP Energias exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm EDP Energias' Mean Deviation of 1.17, standard deviation of 1.57, and Coefficient Of Variation of (570.79) to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.34, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning EDP Energias are expected to decrease at a much lower rate. During the bear market, EDP Energias is likely to outperform the market. EDP Energias has an expected return of -0.21%. Please make sure to confirm EDP Energias maximum drawdown, kurtosis, day median price, as well as the relationship between the potential upside and daily balance of power , to decide if EDP Energias performance from the past will be repeated in the future.
Auto-correlation | -0.18 |
Insignificant reverse predictability
EDP Energias has insignificant reverse predictability. Overlapping area represents the amount of predictability between EDP Energias time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th 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 EDP Energias price movement. The serial correlation of -0.18 indicates that over 18.0% of current EDP Energias price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
EDP Energias lagged returns against current returns
Autocorrelation, which is EDP Energias 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 EDP Energias' stock expected returns. We can calculate the autocorrelation of EDP Energias returns to help us make a trade decision. For example, suppose you find that EDP Energias 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 |
EDP Energias 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 EDP Energias stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EDP Energias stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EDP Energias stock over time.
Current vs Lagged Prices |
| Timeline |
EDP Energias Lagged Returns
When evaluating EDP Energias' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EDP Energias stock have on its future price. EDP Energias 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, EDP Energias autocorrelation shows the relationship between EDP Energias stock current value and its past values and can show if there is a momentum factor associated with investing in EDP Energias.
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 EDP Energias 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, EDP Energias' short interest history, or implied volatility extrapolated from EDP Energias options trading.
Pair Trading with EDP Energias
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 EDP Energias 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 EDP Energias will appreciate offsetting losses from the drop in the long position's value.Moving against EDP Stock
| 0.45 | GVOLT | Greenvolt Energias | PairCorr |
The ability to find closely correlated positions to EDP Energias could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace EDP Energias 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 EDP Energias - 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 EDP Energias to buy it.
The correlation of EDP Energias 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 EDP Energias moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if EDP Energias 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 EDP Energias 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 EDP Energias Correlation, EDP Energias Volatility and EDP Energias Alpha and Beta module to complement your research on EDP Energias. You can also try the Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Complementary Tools for EDP Stock analysis
When running EDP Energias' price analysis, check to measure EDP Energias' 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 EDP Energias is operating at the current time. Most of EDP Energias' value examination focuses on studying past and present price action to predict the probability of EDP Energias' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move EDP Energias' price. Additionally, you may evaluate how the addition of EDP Energias to your portfolios can decrease your overall portfolio volatility.
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EDP Energias 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.