EFG International (Switzerland) Market Value
| EFGN Stock | CHF 16.08 0.06 0.37% |
| Symbol | EFG |
EFG International '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 EFG International'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 EFG International.
| 04/23/2025 |
| 07/22/2025 |
If you would invest 0.00 in EFG International on April 23, 2025 and sell it all today you would earn a total of 0.00 from holding EFG International AG or generate 0.0% return on investment in EFG International over 90 days. EFG International is related to or competes with Vontobel Holding, Julius Baer, Helvetia Holding, Cembra Money, and Leonteq AG. EFG International AG, together with its subsidiaries, provides private banking, wealth management, and asset management ... More
EFG International 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 EFG International'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 EFG International AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | 0.2684 | |||
| Maximum Drawdown | 9.13 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 2.26 |
EFG International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EFG International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EFG International's standard deviation. In reality, there are many statistical measures that can use EFG International historical prices to predict the future EFG International's volatility.| Risk Adjusted Performance | 0.35 | |||
| Jensen Alpha | 0.5222 | |||
| Total Risk Alpha | 0.3086 | |||
| Sortino Ratio | 0.2809 | |||
| Treynor Ratio | (8.73) |
EFG International Backtested Returns
EFG International appears to be not too volatile, given 3 months investment horizon. EFG International secures Sharpe Ratio (or Efficiency) of 0.38, which denotes the company had a 0.38 % return per unit of return volatility over the last 3 months. By analyzing EFG International's technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please utilize EFG International's downside deviation of 1.35, and Mean Deviation of 0.9851 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, EFG International holds a performance score of 29. The firm shows a Beta (market volatility) of -0.0589, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning EFG International are expected to decrease at a much lower rate. During the bear market, EFG International is likely to outperform the market. Please check EFG International's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to make a quick decision on whether EFG International's price patterns will revert.
Auto-correlation | 0.88 |
Very good predictability
EFG International AG has very good predictability. Overlapping area represents the amount of predictability between EFG International time series from 23rd of April 2025 to 7th of June 2025 and 7th of June 2025 to 22nd of July 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of EFG International price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current EFG International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.89 | |
| Residual Average | 0.0 | |
| Price Variance | 0.41 |
EFG International lagged returns against current returns
Autocorrelation, which is EFG International 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 EFG International's stock expected returns. We can calculate the autocorrelation of EFG International returns to help us make a trade decision. For example, suppose you find that EFG International 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 |
EFG International 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 EFG International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EFG International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EFG International stock over time.
Current vs Lagged Prices |
| Timeline |
EFG International Lagged Returns
When evaluating EFG International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EFG International stock have on its future price. EFG International 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, EFG International autocorrelation shows the relationship between EFG International stock current value and its past values and can show if there is a momentum factor associated with investing in EFG International AG.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for EFG Stock Analysis
When running EFG International's price analysis, check to measure EFG International'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 EFG International is operating at the current time. Most of EFG International's value examination focuses on studying past and present price action to predict the probability of EFG International's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move EFG International's price. Additionally, you may evaluate how the addition of EFG International to your portfolios can decrease your overall portfolio volatility.