ANGLO AMERICAN (Germany) Market Value
| NGLD Stock | EUR 13.50 0.30 2.17% |
| Symbol | ANGLO |
ANGLO AMERICAN '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 ANGLO AMERICAN'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 ANGLO AMERICAN.
| 06/25/2024 |
| 12/22/2024 |
If you would invest 0.00 in ANGLO AMERICAN on June 25, 2024 and sell it all today you would earn a total of 0.00 from holding ANGLO AMERICAN SPADR or generate 0.0% return on investment in ANGLO AMERICAN over 180 days. ANGLO AMERICAN is related to or competes with BHP Group, BHP Group, Rio Tinto, Rio Tinto, Vale SA, Vale SA, and Glencore Plc. Anglo American plc, together with its subsidiaries, engages in exploring, mining, and processing various metals and mine... More
ANGLO AMERICAN 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 ANGLO AMERICAN'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 ANGLO AMERICAN SPADR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.55 | |||
| Information Ratio | 0.0388 | |||
| Maximum Drawdown | 14.42 | |||
| Value At Risk | (3.55) | |||
| Potential Upside | 5.8 |
ANGLO AMERICAN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ANGLO AMERICAN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ANGLO AMERICAN's standard deviation. In reality, there are many statistical measures that can use ANGLO AMERICAN historical prices to predict the future ANGLO AMERICAN's volatility.| Risk Adjusted Performance | 0.0467 | |||
| Jensen Alpha | 0.1343 | |||
| Total Risk Alpha | 0.0542 | |||
| Sortino Ratio | 0.0451 | |||
| Treynor Ratio | 1.09 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ANGLO AMERICAN'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.
ANGLO AMERICAN SPADR Backtested Returns
At this point, ANGLO AMERICAN is not too volatile. ANGLO AMERICAN SPADR secures Sharpe Ratio (or Efficiency) of 0.0622, which signifies that the company had a 0.0622% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for ANGLO AMERICAN SPADR, which you can use to evaluate the volatility of the firm. Please confirm ANGLO AMERICAN's Risk Adjusted Performance of 0.0467, mean deviation of 2.32, and Downside Deviation of 2.55 to double-check if the risk estimate we provide is consistent with the expected return of 0.18%. ANGLO AMERICAN has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ANGLO AMERICAN's returns are expected to increase less than the market. However, during the bear market, the loss of holding ANGLO AMERICAN is expected to be smaller as well. ANGLO AMERICAN SPADR at this time shows a risk of 2.94%. Please confirm ANGLO AMERICAN SPADR downside deviation, information ratio, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if ANGLO AMERICAN SPADR will be following its price patterns.
Auto-correlation | -0.41 |
Modest reverse predictability
ANGLO AMERICAN SPADR has modest reverse predictability. Overlapping area represents the amount of predictability between ANGLO AMERICAN time series from 25th of June 2024 to 23rd of September 2024 and 23rd of September 2024 to 22nd of December 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 ANGLO AMERICAN SPADR price movement. The serial correlation of -0.41 indicates that just about 41.0% of current ANGLO AMERICAN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
ANGLO AMERICAN SPADR lagged returns against current returns
Autocorrelation, which is ANGLO AMERICAN 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 ANGLO AMERICAN's stock expected returns. We can calculate the autocorrelation of ANGLO AMERICAN returns to help us make a trade decision. For example, suppose you find that ANGLO AMERICAN 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 |
ANGLO AMERICAN 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 ANGLO AMERICAN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ANGLO AMERICAN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ANGLO AMERICAN stock over time.
Current vs Lagged Prices |
| Timeline |
ANGLO AMERICAN Lagged Returns
When evaluating ANGLO AMERICAN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ANGLO AMERICAN stock have on its future price. ANGLO AMERICAN 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, ANGLO AMERICAN autocorrelation shows the relationship between ANGLO AMERICAN stock current value and its past values and can show if there is a momentum factor associated with investing in ANGLO AMERICAN SPADR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ANGLO Stock
ANGLO AMERICAN financial ratios help investors to determine whether ANGLO 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 ANGLO with respect to the benefits of owning ANGLO AMERICAN security.