Allegion Plc (Germany) Market Value
| 60A Stock | EUR 126.00 1.00 0.79% |
| Symbol | Allegion |
Allegion Plc '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 Allegion Plc'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 Allegion Plc.
| 01/07/2023 |
| 12/27/2024 |
If you would invest 0.00 in Allegion Plc on January 7, 2023 and sell it all today you would earn a total of 0.00 from holding Allegion plc or generate 0.0% return on investment in Allegion Plc over 720 days. Allegion Plc is related to or competes with ABB PAR, ASSA ABLOY, SECOM CO, Halma Plc, ADT, and MSA Safety. Allegion plc manufactures and sells mechanical and electronic security products and solutions worldwide More
Allegion Plc 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 Allegion Plc'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 Allegion plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 6.23 | |||
| Value At Risk | (2.29) | |||
| Potential Upside | 2.34 |
Allegion Plc Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allegion Plc's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allegion Plc's standard deviation. In reality, there are many statistical measures that can use Allegion Plc historical prices to predict the future Allegion Plc's volatility.| Risk Adjusted Performance | 0.0265 | |||
| Jensen Alpha | 0.0292 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 5.35 |
Allegion plc Backtested Returns
Allegion plc secures Sharpe Ratio (or Efficiency) of -0.0066, which signifies that the company had a -0.0066% return per unit of risk over the last 3 months. Allegion plc exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Allegion Plc's Downside Deviation of 1.7, mean deviation of 1.08, and Risk Adjusted Performance of 0.0265 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0055, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Allegion Plc's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allegion Plc is expected to be smaller as well. At this point, Allegion plc has a negative expected return of -0.0094%. Please make sure to confirm Allegion Plc's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Allegion plc performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.4 |
Poor reverse predictability
Allegion plc has poor reverse predictability. Overlapping area represents the amount of predictability between Allegion Plc time series from 7th of January 2023 to 2nd of January 2024 and 2nd of January 2024 to 27th 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 Allegion plc price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Allegion Plc price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 79.17 |
Allegion plc lagged returns against current returns
Autocorrelation, which is Allegion Plc 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 Allegion Plc's stock expected returns. We can calculate the autocorrelation of Allegion Plc returns to help us make a trade decision. For example, suppose you find that Allegion Plc 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 |
Allegion Plc 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 Allegion Plc stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allegion Plc stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allegion Plc stock over time.
Current vs Lagged Prices |
| Timeline |
Allegion Plc Lagged Returns
When evaluating Allegion Plc's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allegion Plc stock have on its future price. Allegion Plc 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, Allegion Plc autocorrelation shows the relationship between Allegion Plc stock current value and its past values and can show if there is a momentum factor associated with investing in Allegion plc.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Allegion Stock
When determining whether Allegion plc is a strong investment it is important to analyze Allegion Plc's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Allegion Plc's future performance. For an informed investment choice regarding Allegion Stock, refer to the following important reports:Check out Allegion Plc Correlation, Allegion Plc Volatility and Allegion Plc Alpha and Beta module to complement your research on Allegion Plc. For more detail on how to invest in Allegion Stock please use our How to Invest in Allegion Plc guide.You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Allegion Plc technical 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, stock market cycles, or different charting patterns.