Annaly Capital Management Preferred Stock Market Value
| NLY-PI Preferred Stock | USD 25.21 0.01 0.04% |
| Symbol | Annaly |
Annaly Capital '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 Annaly Capital's preferred 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 Annaly Capital.
| 03/04/2024 |
| 05/03/2024 |
If you would invest 0.00 in Annaly Capital on March 4, 2024 and sell it all today you would earn a total of 0.00 from holding Annaly Capital Management or generate 0.0% return on investment in Annaly Capital over 60 days. Annaly Capital is related to or competes with AG Mortgage, AG Mortgage, Invesco Mortgage, and Invesco Mortgage. Annaly Capital Management, Inc., a diversified capital manager, invests in and finances residential and commercial asset... More
Annaly Capital 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 Annaly Capital's preferred 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 Annaly Capital Management upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4451 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 1.68 | |||
| Value At Risk | (0.64) | |||
| Potential Upside | 0.5238 |
Annaly Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Annaly Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Annaly Capital's standard deviation. In reality, there are many statistical measures that can use Annaly Capital historical prices to predict the future Annaly Capital's volatility.| Risk Adjusted Performance | 0.0674 | |||
| Jensen Alpha | 0.0263 | |||
| Total Risk Alpha | 0.0064 | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.3572 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Annaly Capital'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.
Annaly Capital Management Backtested Returns
We consider Annaly Capital very steady. Annaly Capital Management secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Annaly Capital Management, which you can use to evaluate the volatility of the firm. Please confirm Annaly Capital's Downside Deviation of 0.4451, risk adjusted performance of 0.0674, and Mean Deviation of 0.2427 to double-check if the risk estimate we provide is consistent with the expected return of 0.0447%. Annaly Capital has a performance score of 10 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0844, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Annaly Capital's returns are expected to increase less than the market. However, during the bear market, the loss of holding Annaly Capital is expected to be smaller as well. Annaly Capital Management right now shows a risk of 0.35%. Please confirm Annaly Capital Management treynor ratio, kurtosis, relative strength index, as well as the relationship between the downside variance and day median price , to decide if Annaly Capital Management will be following its price patterns.
Auto-correlation | 0.46 |
Average predictability
Annaly Capital Management has average predictability. Overlapping area represents the amount of predictability between Annaly Capital time series from 4th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 3rd of May 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 Annaly Capital Management price movement. The serial correlation of 0.46 indicates that about 46.0% of current Annaly Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.46 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Annaly Capital Management lagged returns against current returns
Autocorrelation, which is Annaly Capital preferred 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 Annaly Capital's preferred stock expected returns. We can calculate the autocorrelation of Annaly Capital returns to help us make a trade decision. For example, suppose you find that Annaly Capital has exhibited high autocorrelation historically, and you observe that the preferred 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 |
Annaly Capital 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 Annaly Capital preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Annaly Capital preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Annaly Capital preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Annaly Capital Lagged Returns
When evaluating Annaly Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Annaly Capital preferred stock have on its future price. Annaly Capital 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, Annaly Capital autocorrelation shows the relationship between Annaly Capital preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Annaly Capital Management.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Annaly Capital Correlation, Annaly Capital Volatility and Annaly Capital Alpha and Beta module to complement your research on Annaly Capital. You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Annaly Preferred Stock analysis
When running Annaly Capital's price analysis, check to measure Annaly Capital'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 Annaly Capital is operating at the current time. Most of Annaly Capital's value examination focuses on studying past and present price action to predict the probability of Annaly Capital's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Annaly Capital's price. Additionally, you may evaluate how the addition of Annaly Capital to your portfolios can decrease your overall portfolio volatility.
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Annaly Capital technical preferred 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, preferred stock market cycles, or different charting patterns.