AlzChem Group (Germany) Market Value
| ACT Stock | 20.40 36.80 64.34% |
| Symbol | AlzChem |
AlzChem Group '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 AlzChem Group'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 AlzChem Group.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in AlzChem Group on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding AlzChem Group AG or generate 0.0% return on investment in AlzChem Group over 30 days. AlzChem Group is related to or competes with Perseus Mining, GungHo Online, SLR Investment, and Lamar Advertising. More
AlzChem Group 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 AlzChem Group'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 AlzChem Group AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.7 | |||
| Information Ratio | (0.0007) | |||
| Maximum Drawdown | 12.86 | |||
| Value At Risk | (4.19) | |||
| Potential Upside | 3.72 |
AlzChem Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AlzChem Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AlzChem Group's standard deviation. In reality, there are many statistical measures that can use AlzChem Group historical prices to predict the future AlzChem Group's volatility.| Risk Adjusted Performance | 0.0441 | |||
| Jensen Alpha | 0.1619 | |||
| Total Risk Alpha | (0.27) | |||
| Sortino Ratio | (0.0007) | |||
| Treynor Ratio | (0.27) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AlzChem Group'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.
AlzChem Group AG Backtested Returns
AlzChem Group AG secures Sharpe Ratio (or Efficiency) of -0.0857, which signifies that the company had a -0.0857% return per unit of risk over the last 3 months. AlzChem Group AG exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AlzChem Group's Risk Adjusted Performance of 0.0441, mean deviation of 1.78, and Downside Deviation of 2.7 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.42, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning AlzChem Group are expected to decrease at a much lower rate. During the bear market, AlzChem Group is likely to outperform the market. At this point, AlzChem Group AG has a negative expected return of -0.73%. Please make sure to confirm AlzChem Group's skewness, and the relationship between the potential upside and rate of daily change , to decide if AlzChem Group AG performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.69 |
Very good reverse predictability
AlzChem Group AG has very good reverse predictability. Overlapping area represents the amount of predictability between AlzChem Group 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 AlzChem Group AG price movement. The serial correlation of -0.69 indicates that around 69.0% of current AlzChem Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 112.84 |
AlzChem Group AG lagged returns against current returns
Autocorrelation, which is AlzChem Group 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 AlzChem Group's stock expected returns. We can calculate the autocorrelation of AlzChem Group returns to help us make a trade decision. For example, suppose you find that AlzChem Group 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 |
AlzChem Group 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 AlzChem Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AlzChem Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AlzChem Group stock over time.
Current vs Lagged Prices |
| Timeline |
AlzChem Group Lagged Returns
When evaluating AlzChem Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AlzChem Group stock have on its future price. AlzChem Group 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, AlzChem Group autocorrelation shows the relationship between AlzChem Group stock current value and its past values and can show if there is a momentum factor associated with investing in AlzChem Group AG.
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 AlzChem Stock Analysis
When running AlzChem Group's price analysis, check to measure AlzChem Group'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 AlzChem Group is operating at the current time. Most of AlzChem Group's value examination focuses on studying past and present price action to predict the probability of AlzChem Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AlzChem Group's price. Additionally, you may evaluate how the addition of AlzChem Group to your portfolios can decrease your overall portfolio volatility.