Agl Energy Limited Stock Market Value
| AGLNF Stock | USD 6.76 0.38 5.96% |
| Symbol | AGL |
AGL Energy '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 AGL Energy's pink sheet 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 AGL Energy.
| 02/11/2024 |
| 05/11/2024 |
If you would invest 0.00 in AGL Energy on February 11, 2024 and sell it all today you would earn a total of 0.00 from holding AGL Energy Limited or generate 0.0% return on investment in AGL Energy over 90 days. AGL Energy is related to or competes with MGP Ingredients, Vita Coco, Aduro Clean, Evertz Technologies, Celsius Holdings, Duckhorn Portfolio, and Usio. AGL Energy Limited supplies energy and other services to residential, small and large businesses, and wholesale customer... More
AGL Energy 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 AGL Energy's pink sheet 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 AGL Energy Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.1069 | |||
| Maximum Drawdown | 18.54 | |||
| Potential Upside | 5.96 |
AGL Energy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGL Energy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGL Energy's standard deviation. In reality, there are many statistical measures that can use AGL Energy historical prices to predict the future AGL Energy's volatility.| Risk Adjusted Performance | 0.0931 | |||
| Jensen Alpha | 0.3509 | |||
| Total Risk Alpha | 0.042 | |||
| Treynor Ratio | 7.28 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGL Energy'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.
AGL Energy Limited Backtested Returns
AGL Energy appears to be slightly risky, given 3 months investment horizon. AGL Energy Limited secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had a 0.14% return per unit of return volatility over the last 3 months. We have found twenty-one technical indicators for AGL Energy Limited, which you can use to evaluate the volatility of the firm. Please makes use of AGL Energy's Coefficient Of Variation of 721.8, mean deviation of 1.16, and Risk Adjusted Performance of 0.0931 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AGL Energy holds a performance score of 10. The firm shows a Beta (market volatility) of 0.0487, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGL Energy's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGL Energy is expected to be smaller as well. Please check AGL Energy's total risk alpha, as well as the relationship between the daily balance of power and price action indicator , to make a quick decision on whether AGL Energy's price patterns will revert.
Auto-correlation | -0.41 |
Modest reverse predictability
AGL Energy Limited has modest reverse predictability. Overlapping area represents the amount of predictability between AGL Energy time series from 11th of February 2024 to 27th of March 2024 and 27th of March 2024 to 11th of May 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 AGL Energy Limited price movement. The serial correlation of -0.41 indicates that just about 41.0% of current AGL Energy price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
AGL Energy Limited lagged returns against current returns
Autocorrelation, which is AGL Energy pink sheet'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 AGL Energy's pink sheet expected returns. We can calculate the autocorrelation of AGL Energy returns to help us make a trade decision. For example, suppose you find that AGL Energy has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
AGL Energy 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 AGL Energy pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGL Energy pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGL Energy pink sheet over time.
Current vs Lagged Prices |
| Timeline |
AGL Energy Lagged Returns
When evaluating AGL Energy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGL Energy pink sheet have on its future price. AGL Energy 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, AGL Energy autocorrelation shows the relationship between AGL Energy pink sheet current value and its past values and can show if there is a momentum factor associated with investing in AGL Energy Limited.
Regressed Prices |
| Timeline |
Pair Trading with AGL Energy
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 AGL Energy 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 AGL Energy will appreciate offsetting losses from the drop in the long position's value.Moving against AGL Pink Sheet
| 0.41 | PUTKY | United Tractors Tbk | PairCorr |
The ability to find closely correlated positions to AGL Energy could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGL Energy 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 AGL Energy - 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 AGL Energy Limited to buy it.
The correlation of AGL Energy 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 AGL Energy moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGL Energy Limited 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 AGL Energy 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 AGL Energy Correlation, AGL Energy Volatility and AGL Energy Alpha and Beta module to complement your research on AGL Energy. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
Complementary Tools for AGL Pink Sheet analysis
When running AGL Energy's price analysis, check to measure AGL Energy'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 AGL Energy is operating at the current time. Most of AGL Energy's value examination focuses on studying past and present price action to predict the probability of AGL Energy's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGL Energy's price. Additionally, you may evaluate how the addition of AGL Energy to your portfolios can decrease your overall portfolio volatility.
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AGL Energy technical pink sheet 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, pink sheet market cycles, or different charting patterns.