Grupo Profuturo (Mexico) Market Value
GPROFUT Stock | MXN 99.00 0.00 0.00% |
Symbol | Grupo |
Grupo Profuturo '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 Grupo Profuturo'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 Grupo Profuturo.
04/08/2022 |
| 03/28/2024 |
If you would invest 0.00 in Grupo Profuturo on April 8, 2022 and sell it all today you would earn a total of 0.00 from holding Grupo Profuturo SAB or generate 0.0% return on investment in Grupo Profuturo over 720 days. Grupo Profuturo is related to or competes with GMxico Transportes, Ameriprise Financial, Grupo Hotelero, Deutsche Bank, Capital One, Hoteles City, and FibraHotel. Grupo Profuturo, S.A.B. de C.V. manages the retirement funds of workers affiliated to the IMSS and ISSSTE in Mexico More
Grupo Profuturo 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 Grupo Profuturo'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 Grupo Profuturo SAB upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | 0.032 | |||
Maximum Drawdown | 15.12 |
Grupo Profuturo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupo Profuturo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupo Profuturo's standard deviation. In reality, there are many statistical measures that can use Grupo Profuturo historical prices to predict the future Grupo Profuturo's volatility.Risk Adjusted Performance | 0.0644 | |||
Jensen Alpha | 0.2882 | |||
Total Risk Alpha | (0.24) | |||
Treynor Ratio | (0.22) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grupo Profuturo'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.
Grupo Profuturo SAB Backtested Returns
Grupo Profuturo appears to be very steady, given 3 months investment horizon. Grupo Profuturo SAB holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We have found seventeen technical indicators for Grupo Profuturo SAB, which you can use to evaluate the volatility of the firm. Please utilize Grupo Profuturo's Risk Adjusted Performance of 0.0644, standard deviation of 1.89, and Market Risk Adjusted Performance of (0.21) to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Grupo Profuturo holds a performance score of 8. The company retains a Market Volatility (i.e., Beta) of -0.83, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Grupo Profuturo are expected to decrease at a much lower rate. During the bear market, Grupo Profuturo is likely to outperform the market. Please check Grupo Profuturo's standard deviation, as well as the relationship between the maximum drawdown and day median price , to make a quick decision on whether Grupo Profuturo's current trending patterns will revert.
Auto-correlation | -0.02 |
Very weak reverse predictability
Grupo Profuturo SAB has very weak reverse predictability. Overlapping area represents the amount of predictability between Grupo Profuturo time series from 8th of April 2022 to 3rd of April 2023 and 3rd of April 2023 to 28th of March 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 Grupo Profuturo SAB price movement. The serial correlation of -0.02 indicates that only 2.0% of current Grupo Profuturo price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.02 | |
Spearman Rank Test | -0.1 | |
Residual Average | 0.0 | |
Price Variance | 37.41 |
Grupo Profuturo SAB lagged returns against current returns
Autocorrelation, which is Grupo Profuturo 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 Grupo Profuturo's stock expected returns. We can calculate the autocorrelation of Grupo Profuturo returns to help us make a trade decision. For example, suppose you find that Grupo Profuturo 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 |
Grupo Profuturo 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 Grupo Profuturo stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupo Profuturo stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupo Profuturo stock over time.
Current vs Lagged Prices |
Timeline |
Grupo Profuturo Lagged Returns
When evaluating Grupo Profuturo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupo Profuturo stock have on its future price. Grupo Profuturo 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, Grupo Profuturo autocorrelation shows the relationship between Grupo Profuturo stock current value and its past values and can show if there is a momentum factor associated with investing in Grupo Profuturo SAB.
Regressed Prices |
Timeline |
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Try AI Portfolio ArchitectCheck out Grupo Profuturo Correlation, Grupo Profuturo Volatility and Grupo Profuturo Alpha and Beta module to complement your research on Grupo Profuturo. Note that the Grupo Profuturo SAB information on this page should be used as a complementary analysis to other Grupo Profuturo'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 CEOs Directory module to screen CEOs from public companies around the world.
Complementary Tools for Grupo Stock analysis
When running Grupo Profuturo's price analysis, check to measure Grupo Profuturo'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 Grupo Profuturo is operating at the current time. Most of Grupo Profuturo's value examination focuses on studying past and present price action to predict the probability of Grupo Profuturo's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupo Profuturo's price. Additionally, you may evaluate how the addition of Grupo Profuturo to your portfolios can decrease your overall portfolio volatility.
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