Grifols SA (Spain) Market Value
| GRF Stock | EUR 8.23 0.12 1.44% |
| Symbol | Grifols |
Grifols 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 Grifols 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 Grifols SA.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in Grifols SA on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding Grifols SA or generate 0.0% return on investment in Grifols SA over 720 days. Grifols SA is related to or competes with ACS Actividades, Acerinox, Ferrovial, International Consolidated, and Cellnex Telecom. Grifols, S.A. engages in the procurement, manufacture, preparation, and sale of therapeutic products primarily hemoderiv... More
Grifols 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 Grifols 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 Grifols SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 8.23 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 39.81 | |||
| Value At Risk | (9.43) | |||
| Potential Upside | 4.58 |
Grifols SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grifols SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grifols SA's standard deviation. In reality, there are many statistical measures that can use Grifols SA historical prices to predict the future Grifols SA's volatility.| Risk Adjusted Performance | 0.0101 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.85) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0022 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grifols 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.
Grifols SA Backtested Returns
We consider Grifols SA relatively risky. Grifols SA holds Efficiency (Sharpe) Ratio of 0.0017, which attests that the entity had a 0.0017% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Grifols SA, which you can use to evaluate the volatility of the firm. Please check out Grifols SA's Downside Deviation of 8.23, risk adjusted performance of 0.0101, and Market Risk Adjusted Performance of 0.0122 to validate if the risk estimate we provide is consistent with the expected return of 0.0113%. The company retains a Market Volatility (i.e., Beta) of 0.57, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Grifols SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grifols SA is expected to be smaller as well. Grifols SA right now retains a risk of 6.58%. Please check out Grifols SA coefficient of variation, sortino ratio, potential upside, as well as the relationship between the jensen alpha and maximum drawdown , to decide if Grifols SA will be following its current trending patterns.
Auto-correlation | 0.12 |
Insignificant predictability
Grifols SA has insignificant predictability. Overlapping area represents the amount of predictability between Grifols SA time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd 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 Grifols SA price movement. The serial correlation of 0.12 indicates that less than 12.0% of current Grifols SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.12 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 3.46 |
Grifols SA lagged returns against current returns
Autocorrelation, which is Grifols 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 Grifols SA's stock expected returns. We can calculate the autocorrelation of Grifols SA returns to help us make a trade decision. For example, suppose you find that Grifols 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 |
Grifols 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 Grifols SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grifols SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grifols SA stock over time.
Current vs Lagged Prices |
| Timeline |
Grifols SA Lagged Returns
When evaluating Grifols SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grifols SA stock have on its future price. Grifols 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, Grifols SA autocorrelation shows the relationship between Grifols SA stock current value and its past values and can show if there is a momentum factor associated with investing in Grifols SA.
Regressed Prices |
| Timeline |
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Complementary Tools for Grifols Stock analysis
When running Grifols SA's price analysis, check to measure Grifols 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 Grifols SA is operating at the current time. Most of Grifols SA's value examination focuses on studying past and present price action to predict the probability of Grifols 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 Grifols SA's price. Additionally, you may evaluate how the addition of Grifols SA to your portfolios can decrease your overall portfolio volatility.
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Grifols 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.