AdvanSix (Germany) Market Value
| 960 Stock | EUR 29.60 0.20 0.68% |
| Symbol | AdvanSix |
AdvanSix '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 AdvanSix'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 AdvanSix.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in AdvanSix on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding AdvanSix or generate 0.0% return on investment in AdvanSix over 90 days. AdvanSix is related to or competes with Global Ship, Titan Machinery, QBE Insurance, AGRICULTBK HADR25, ALBIS LEASING, and Goosehead Insurance. It offers Nylon 6, a polymer resin, which is a synthetic material used to produce engineered plastics, fibers, filaments... More
AdvanSix 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 AdvanSix'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 AdvanSix upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.9 | |||
| Information Ratio | 0.0816 | |||
| Maximum Drawdown | 16.35 | |||
| Value At Risk | (2.75) | |||
| Potential Upside | 3.09 |
AdvanSix Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AdvanSix's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AdvanSix's standard deviation. In reality, there are many statistical measures that can use AdvanSix historical prices to predict the future AdvanSix's volatility.| Risk Adjusted Performance | 0.1038 | |||
| Jensen Alpha | 0.2639 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.1018 | |||
| Treynor Ratio | 0.7934 |
AdvanSix Backtested Returns
AdvanSix appears to be very steady, given 3 months investment horizon. AdvanSix secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had a 0.14% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for AdvanSix, which you can use to evaluate the volatility of the firm. Please makes use of AdvanSix's Downside Deviation of 1.9, mean deviation of 1.64, and Risk Adjusted Performance of 0.1038 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AdvanSix holds a performance score of 11. The firm shows a Beta (market volatility) of 0.39, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, AdvanSix's returns are expected to increase less than the market. However, during the bear market, the loss of holding AdvanSix is expected to be smaller as well. Please check AdvanSix's jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to make a quick decision on whether AdvanSix's price patterns will revert.
Auto-correlation | 0.59 |
Modest predictability
AdvanSix has modest predictability. Overlapping area represents the amount of predictability between AdvanSix time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 to 11th 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 AdvanSix price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current AdvanSix price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 2.56 |
AdvanSix lagged returns against current returns
Autocorrelation, which is AdvanSix 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 AdvanSix's stock expected returns. We can calculate the autocorrelation of AdvanSix returns to help us make a trade decision. For example, suppose you find that AdvanSix 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 |
AdvanSix 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 AdvanSix stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AdvanSix stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AdvanSix stock over time.
Current vs Lagged Prices |
| Timeline |
AdvanSix Lagged Returns
When evaluating AdvanSix's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AdvanSix stock have on its future price. AdvanSix 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, AdvanSix autocorrelation shows the relationship between AdvanSix stock current value and its past values and can show if there is a momentum factor associated with investing in AdvanSix.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in AdvanSix Stock
When determining whether AdvanSix offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of AdvanSix's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Advansix Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Advansix Stock:Check out AdvanSix Correlation, AdvanSix Volatility and AdvanSix Alpha and Beta module to complement your research on AdvanSix. For more detail on how to invest in AdvanSix Stock please use our How to Invest in AdvanSix guide.You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
AdvanSix 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.