EVN AG (Austria) Market Value
| EVN Stock | EUR 29.30 0.20 0.69% |
| Symbol | EVN |
EVN AG '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 EVN AG'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 EVN AG.
| 03/16/2024 |
| 06/14/2024 |
If you would invest 0.00 in EVN AG on March 16, 2024 and sell it all today you would earn a total of 0.00 from holding EVN AG or generate 0.0% return on investment in EVN AG over 90 days. EVN AG is related to or competes with VERBUND AG, Voestalpine, Wienerberger, Oesterr Post, and OMV Aktiengesellscha. More
EVN AG 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 EVN AG'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 EVN AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7896 | |||
| Information Ratio | 0.3477 | |||
| Maximum Drawdown | 3.14 | |||
| Value At Risk | (0.87) | |||
| Potential Upside | 1.64 |
EVN AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EVN AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EVN AG's standard deviation. In reality, there are many statistical measures that can use EVN AG historical prices to predict the future EVN AG's volatility.| Risk Adjusted Performance | 0.2161 | |||
| Jensen Alpha | 0.2454 | |||
| Total Risk Alpha | 0.2604 | |||
| Sortino Ratio | 0.3268 | |||
| Treynor Ratio | (12.47) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of EVN AG'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.
EVN AG Backtested Returns
EVN AG appears to be very steady, given 3 months investment horizon. EVN AG secures Sharpe Ratio (or Efficiency) of 0.42, which denotes the company had a 0.42% return per unit of risk over the last 3 months. We have found thirty technical indicators for EVN AG, which you can use to evaluate the volatility of the firm. Please utilize EVN AG's Mean Deviation of 0.5271, semi deviation of 0.1182, and Downside Deviation of 0.7896 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, EVN AG holds a performance score of 33. The firm shows a Beta (market volatility) of -0.0197, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning EVN AG are expected to decrease at a much lower rate. During the bear market, EVN AG is likely to outperform the market. Please check EVN AG's sortino ratio, skewness, price action indicator, as well as the relationship between the potential upside and rate of daily change , to make a quick decision on whether EVN AG's price patterns will revert.
Auto-correlation | 0.07 |
Virtually no predictability
EVN AG has virtually no predictability. Overlapping area represents the amount of predictability between EVN AG time series from 16th of March 2024 to 30th of April 2024 and 30th of April 2024 to 14th of June 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 EVN AG price movement. The serial correlation of 0.07 indicates that barely 7.0% of current EVN AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
EVN AG lagged returns against current returns
Autocorrelation, which is EVN AG 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 EVN AG's stock expected returns. We can calculate the autocorrelation of EVN AG returns to help us make a trade decision. For example, suppose you find that EVN AG 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 |
EVN AG 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 EVN AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EVN AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EVN AG stock over time.
Current vs Lagged Prices |
| Timeline |
EVN AG Lagged Returns
When evaluating EVN AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EVN AG stock have on its future price. EVN AG 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, EVN AG autocorrelation shows the relationship between EVN AG stock current value and its past values and can show if there is a momentum factor associated with investing in EVN AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
| WMT | Walmart | |
| MIDNX | Matthews India Fund | |
| QCOM | Qualcomm Incorporated | |
| SLG | SL Green Realty | |
| MMM | 3M Company |
Other Information on Investing in EVN Stock
EVN AG financial ratios help investors to determine whether EVN Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in EVN with respect to the benefits of owning EVN AG security.