ALGOMA STEEL (Germany) Market Value
| 9ZY Stock | 10.60 0.20 1.85% |
| Symbol | ALGOMA |
ALGOMA STEEL '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 ALGOMA STEEL'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 ALGOMA STEEL.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in ALGOMA STEEL on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding ALGOMA STEEL GROUP or generate 0.0% return on investment in ALGOMA STEEL over 30 days. ALGOMA STEEL is related to or competes with Nippon Steel, and Reliance Steel. More
ALGOMA STEEL 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 ALGOMA STEEL'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 ALGOMA STEEL GROUP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.05 | |||
| Information Ratio | 0.0953 | |||
| Maximum Drawdown | 12.32 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 4.49 |
ALGOMA STEEL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ALGOMA STEEL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ALGOMA STEEL's standard deviation. In reality, there are many statistical measures that can use ALGOMA STEEL historical prices to predict the future ALGOMA STEEL's volatility.| Risk Adjusted Performance | 0.1224 | |||
| Jensen Alpha | 0.3467 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.1096 | |||
| Treynor Ratio | (25.01) |
ALGOMA STEEL GROUP Backtested Returns
ALGOMA STEEL appears to be somewhat reliable, given 3 months investment horizon. ALGOMA STEEL GROUP secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for ALGOMA STEEL GROUP, which you can use to evaluate the volatility of the firm. Please makes use of ALGOMA STEEL's Downside Deviation of 2.05, mean deviation of 1.78, and Risk Adjusted Performance of 0.1224 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ALGOMA STEEL holds a performance score of 9. The firm shows a Beta (market volatility) of -0.0138, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ALGOMA STEEL are expected to decrease at a much lower rate. During the bear market, ALGOMA STEEL is likely to outperform the market. Please check ALGOMA STEEL's jensen alpha, maximum drawdown, and the relationship between the coefficient of variation and sortino ratio , to make a quick decision on whether ALGOMA STEEL's price patterns will revert.
Auto-correlation | 0.25 |
Poor predictability
ALGOMA STEEL GROUP has poor predictability. Overlapping area represents the amount of predictability between ALGOMA STEEL time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 ALGOMA STEEL GROUP price movement. The serial correlation of 0.25 indicates that over 25.0% of current ALGOMA STEEL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
ALGOMA STEEL GROUP lagged returns against current returns
Autocorrelation, which is ALGOMA STEEL 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 ALGOMA STEEL's stock expected returns. We can calculate the autocorrelation of ALGOMA STEEL returns to help us make a trade decision. For example, suppose you find that ALGOMA STEEL 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 |
ALGOMA STEEL 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 ALGOMA STEEL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ALGOMA STEEL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ALGOMA STEEL stock over time.
Current vs Lagged Prices |
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ALGOMA STEEL Lagged Returns
When evaluating ALGOMA STEEL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ALGOMA STEEL stock have on its future price. ALGOMA STEEL 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, ALGOMA STEEL autocorrelation shows the relationship between ALGOMA STEEL stock current value and its past values and can show if there is a momentum factor associated with investing in ALGOMA STEEL GROUP.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in ALGOMA Stock
When determining whether ALGOMA STEEL GROUP is a strong investment it is important to analyze ALGOMA STEEL'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 ALGOMA STEEL's future performance. For an informed investment choice regarding ALGOMA Stock, refer to the following important reports:Check out ALGOMA STEEL Correlation, ALGOMA STEEL Volatility and ALGOMA STEEL Alpha and Beta module to complement your research on ALGOMA STEEL. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
ALGOMA STEEL 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.