Engie SA (France) Market Value
| ENGI Stock | EUR 15.74 0.14 0.88% |
| Symbol | Engie |
Engie 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 Engie 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 Engie SA.
| 04/27/2022 |
| 04/16/2024 |
If you would invest 0.00 in Engie SA on April 27, 2022 and sell it all today you would earn a total of 0.00 from holding Engie SA or generate 0.0% return on investment in Engie SA over 720 days. Engie SA is related to or competes with Orange SA, Veolia Environnement, AXA SA, and TotalEnergies. ENGIE SA engages in the power, natural gas, and energy services businesses More
Engie 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 Engie 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 Engie SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 3.81 | |||
| Value At Risk | (1.93) | |||
| Potential Upside | 1.28 |
Engie SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Engie SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Engie SA's standard deviation. In reality, there are many statistical measures that can use Engie SA historical prices to predict the future Engie SA's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.17) | |||
| Treynor Ratio | (1.46) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Engie 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.
Engie SA Backtested Returns
We consider Engie SA very steady. Engie SA secures Sharpe Ratio (or Efficiency) of 0.0278, which denotes the company had a 0.0278% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Engie SA, which you can use to evaluate the volatility of the firm. Please confirm Engie SA's Mean Deviation of 0.7341, standard deviation of 0.9665, and Variance of 0.9341 to check if the risk estimate we provide is consistent with the expected return of 0.026%. Engie SA has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0434, which means not very significant fluctuations relative to the market. As returns on the market increase, Engie SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Engie SA is expected to be smaller as well. Engie SA right now shows a risk of 0.93%. Please confirm Engie SA coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if Engie SA will be following its price patterns.
Auto-correlation | 0.53 |
Modest predictability
Engie SA has modest predictability. Overlapping area represents the amount of predictability between Engie SA time series from 27th of April 2022 to 22nd of April 2023 and 22nd of April 2023 to 16th 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 Engie SA price movement. The serial correlation of 0.53 indicates that about 53.0% of current Engie SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.39 |
Engie SA lagged returns against current returns
Autocorrelation, which is Engie 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 Engie SA's stock expected returns. We can calculate the autocorrelation of Engie SA returns to help us make a trade decision. For example, suppose you find that Engie 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 |
Engie 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 Engie SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Engie SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Engie SA stock over time.
Current vs Lagged Prices |
| Timeline |
Engie SA Lagged Returns
When evaluating Engie SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Engie SA stock have on its future price. Engie 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, Engie SA autocorrelation shows the relationship between Engie SA stock current value and its past values and can show if there is a momentum factor associated with investing in Engie SA.
Regressed Prices |
| Timeline |
Pair Trading with Engie 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 Engie 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 Engie SA will appreciate offsetting losses from the drop in the long position's value.Moving against Engie Stock
| 0.44 | LOCAL | Solocal Group SA | PairCorr |
The ability to find closely correlated positions to Engie 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 Engie 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 Engie 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 Engie SA to buy it.
The correlation of Engie 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 Engie SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Engie 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 Engie 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.Check out Engie SA Correlation, Engie SA Volatility and Engie SA Alpha and Beta module to complement your research on Engie SA. You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Complementary Tools for Engie Stock analysis
When running Engie SA's price analysis, check to measure Engie 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 Engie SA is operating at the current time. Most of Engie SA's value examination focuses on studying past and present price action to predict the probability of Engie 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 Engie SA's price. Additionally, you may evaluate how the addition of Engie SA to your portfolios can decrease your overall portfolio volatility.
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Engie SA 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.