Algonquin Power Utilities Stock Market Value
| AQN Stock | CAD 8.02 0.16 1.96% |
| Symbol | Algonquin |
Algonquin Power Utilities Price To Book Ratio
Algonquin Power '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 Algonquin Power'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 Algonquin Power.
| 03/16/2024 |
| 04/15/2024 |
If you would invest 0.00 in Algonquin Power on March 16, 2024 and sell it all today you would earn a total of 0.00 from holding Algonquin Power Utilities or generate 0.0% return on investment in Algonquin Power over 30 days. Algonquin Power is related to or competes with Fortis, Enbridge, Telus Corp, and Brookfield Renewable. Algonquin Power Utilities Corp., through its subsidiaries, owns and operates a portfolio of regulated and non-regulated ... More
Algonquin Power 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 Algonquin Power'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 Algonquin Power Utilities upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 8.85 | |||
| Value At Risk | (2.91) | |||
| Potential Upside | 3.3 |
Algonquin Power Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Algonquin Power's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Algonquin Power's standard deviation. In reality, there are many statistical measures that can use Algonquin Power historical prices to predict the future Algonquin Power's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.29) | |||
| Treynor Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Algonquin Power'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.
Algonquin Power Utilities Backtested Returns
Algonquin Power Utilities secures Sharpe Ratio (or Efficiency) of -0.0253, which signifies that the company had a -0.0253% return per unit of standard deviation over the last 3 months. Algonquin Power Utilities exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Algonquin Power's mean deviation of 1.45, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.57, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Algonquin Power will likely underperform. Algonquin Power Utilities has an expected return of -0.0482%. Please make sure to confirm Algonquin Power Utilities potential upside, and the relationship between the total risk alpha and daily balance of power , to decide if Algonquin Power Utilities performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.58 |
Good reverse predictability
Algonquin Power Utilities has good reverse predictability. Overlapping area represents the amount of predictability between Algonquin Power time series from 16th of March 2024 to 31st of March 2024 and 31st of March 2024 to 15th 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 Algonquin Power Utilities price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Algonquin Power price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Algonquin Power Utilities lagged returns against current returns
Autocorrelation, which is Algonquin Power 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 Algonquin Power's stock expected returns. We can calculate the autocorrelation of Algonquin Power returns to help us make a trade decision. For example, suppose you find that Algonquin Power 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 |
Algonquin Power 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 Algonquin Power stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Algonquin Power stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Algonquin Power stock over time.
Current vs Lagged Prices |
| Timeline |
Algonquin Power Lagged Returns
When evaluating Algonquin Power's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Algonquin Power stock have on its future price. Algonquin Power 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, Algonquin Power autocorrelation shows the relationship between Algonquin Power stock current value and its past values and can show if there is a momentum factor associated with investing in Algonquin Power Utilities.
Regressed Prices |
| Timeline |
Pair Trading with Algonquin Power
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 Algonquin Power 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 Algonquin Power will appreciate offsetting losses from the drop in the long position's value.Moving against Algonquin Stock
| 0.62 | SBUX | Starbucks CDR | PairCorr |
| 0.41 | UNH | UnitedHealth Group CDR | PairCorr |
The ability to find closely correlated positions to Algonquin Power could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Algonquin Power 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 Algonquin Power - 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 Algonquin Power Utilities to buy it.
The correlation of Algonquin Power 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 Algonquin Power moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Algonquin Power Utilities 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 Algonquin Power 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 Algonquin Power Correlation, Algonquin Power Volatility and Algonquin Power Alpha and Beta module to complement your research on Algonquin Power. You can also try the Global Correlations module to find global opportunities by holding instruments from different markets.
Complementary Tools for Algonquin Stock analysis
When running Algonquin Power's price analysis, check to measure Algonquin Power'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 Algonquin Power is operating at the current time. Most of Algonquin Power's value examination focuses on studying past and present price action to predict the probability of Algonquin Power's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Algonquin Power's price. Additionally, you may evaluate how the addition of Algonquin Power to your portfolios can decrease your overall portfolio volatility.
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Algonquin Power 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.