LOreal SA (UK) Market Value
| 0NZM Stock | 328.98 2.12 0.64% |
| Symbol | LOreal |
LOreal 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 LOreal 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 LOreal SA.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in LOreal SA on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding LOreal SA or generate 0.0% return on investment in LOreal SA over 30 days. LOreal SA is related to or competes with Alfa Financial, Sabien Technology, Axway Software, Pfeiffer Vacuum, Associated British, Molson Coors, and Fevertree Drinks. LOreal SA is entity of United Kingdom. It is traded as Stock on LSE exchange. More
LOreal 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 LOreal 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 LOreal SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 11.49 | |||
| Value At Risk | (3.33) | |||
| Potential Upside | 1.89 |
LOreal SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LOreal SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LOreal SA's standard deviation. In reality, there are many statistical measures that can use LOreal SA historical prices to predict the future LOreal SA's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.32) | |||
| Total Risk Alpha | (0.55) | |||
| Treynor Ratio | (0.91) |
LOreal SA Backtested Returns
LOreal SA has Sharpe Ratio of -0.15, which conveys that the firm had a -0.15% return per unit of risk over the last 3 months. LOreal SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify LOreal SA's Risk Adjusted Performance of (0.11), mean deviation of 1.28, and Standard Deviation of 1.78 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.31, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, LOreal SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding LOreal SA is expected to be smaller as well. At this point, LOreal SA has a negative expected return of -0.27%. Please make sure to verify LOreal SA's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if LOreal SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.53 |
Good reverse predictability
LOreal SA has good reverse predictability. Overlapping area represents the amount of predictability between LOreal SA time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 LOreal SA price movement. The serial correlation of -0.53 indicates that about 53.0% of current LOreal SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 18.48 |
LOreal SA lagged returns against current returns
Autocorrelation, which is LOreal 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 LOreal SA's stock expected returns. We can calculate the autocorrelation of LOreal SA returns to help us make a trade decision. For example, suppose you find that LOreal 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 |
LOreal 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 LOreal SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LOreal SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LOreal SA stock over time.
Current vs Lagged Prices |
| Timeline |
LOreal SA Lagged Returns
When evaluating LOreal SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LOreal SA stock have on its future price. LOreal 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, LOreal SA autocorrelation shows the relationship between LOreal SA stock current value and its past values and can show if there is a momentum factor associated with investing in LOreal SA.
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 LOreal Stock Analysis
When running LOreal SA's price analysis, check to measure LOreal 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 LOreal SA is operating at the current time. Most of LOreal SA's value examination focuses on studying past and present price action to predict the probability of LOreal 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 LOreal SA's price. Additionally, you may evaluate how the addition of LOreal SA to your portfolios can decrease your overall portfolio volatility.