AB SA (Poland) Market Value
| ABE Stock | 92.00 0.80 0.88% |
| Symbol | ABE |
AB 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 AB 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 AB SA.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in AB SA on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding AB SA or generate 0.0% return on investment in AB SA over 720 days. More
AB 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 AB 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 AB SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 14.51 | |||
| Value At Risk | (3.68) | |||
| Potential Upside | 3.7 |
AB SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AB SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AB SA's standard deviation. In reality, there are many statistical measures that can use AB SA historical prices to predict the future AB SA's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | 0.4657 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AB SA'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.
AB SA Backtested Returns
Currently, AB SA is very steady. AB SA retains Efficiency (Sharpe Ratio) of 0.0041, which signifies that the company had a 0.0041% return per unit of price deviation over the last 3 months. We have found twenty-four technical indicators for AB SA, which you can use to evaluate the volatility of the entity. Please confirm AB SA's Market Risk Adjusted Performance of 0.4757, information ratio of (0.09), and Variance of 6.38 to double-check if the risk estimate we provide is consistent with the expected return of 0.0104%. The firm owns a Beta (Systematic Risk) of -0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning AB SA are expected to decrease at a much lower rate. During the bear market, AB SA is likely to outperform the market. AB SA today owns a risk of 2.5%. Please confirm AB SA coefficient of variation, value at risk, rate of daily change, as well as the relationship between the total risk alpha and kurtosis , to decide if AB SA will be following its current price history.
Auto-correlation | 0.49 |
Average predictability
AB SA has average predictability. Overlapping area represents the amount of predictability between AB SA time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 AB SA price movement. The serial correlation of 0.49 indicates that about 49.0% of current AB SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 154.25 |
AB SA lagged returns against current returns
Autocorrelation, which is AB 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 AB SA's stock expected returns. We can calculate the autocorrelation of AB SA returns to help us make a trade decision. For example, suppose you find that AB 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 |
AB 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 AB SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AB SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AB SA stock over time.
Current vs Lagged Prices |
| Timeline |
AB SA Lagged Returns
When evaluating AB SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AB SA stock have on its future price. AB 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, AB SA autocorrelation shows the relationship between AB SA stock current value and its past values and can show if there is a momentum factor associated with investing in AB SA.
Regressed Prices |
| Timeline |
Pair Trading with AB SA
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if AB SA position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AB SA will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to AB SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AB SA when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back AB SA - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling AB SA to buy it.
The correlation of AB SA is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AB SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AB SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for AB SA can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for ABE Stock Analysis
When running AB SA's price analysis, check to measure AB 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 AB SA is operating at the current time. Most of AB SA's value examination focuses on studying past and present price action to predict the probability of AB 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 AB SA's price. Additionally, you may evaluate how the addition of AB SA to your portfolios can decrease your overall portfolio volatility.