Audacia SAS (France) Market Value
| ALAUD Stock | 5.90 0.20 3.51% |
| Symbol | Audacia |
Audacia SAS '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 Audacia SAS'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 Audacia SAS.
| 01/24/2024 |
| 01/13/2026 |
If you would invest 0.00 in Audacia SAS on January 24, 2024 and sell it all today you would earn a total of 0.00 from holding Audacia SAS or generate 0.0% return on investment in Audacia SAS over 720 days.
Audacia SAS 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 Audacia SAS'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 Audacia SAS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 6.46 | |||
| Information Ratio | 0.1635 | |||
| Maximum Drawdown | 38.72 | |||
| Value At Risk | (5.00) | |||
| Potential Upside | 9.5 |
Audacia SAS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Audacia SAS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Audacia SAS's standard deviation. In reality, there are many statistical measures that can use Audacia SAS historical prices to predict the future Audacia SAS's volatility.| Risk Adjusted Performance | 0.1449 | |||
| Jensen Alpha | 0.8481 | |||
| Total Risk Alpha | 0.314 | |||
| Sortino Ratio | 0.1232 | |||
| Treynor Ratio | 2.17 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Audacia SAS'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.
Audacia SAS Backtested Returns
Audacia SAS appears to be unstable, given 3 months investment horizon. Audacia SAS secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the company had a 0.18 % return per unit of standard deviation over the last 3 months. By analyzing Audacia SAS's technical indicators, you can evaluate if the expected return of 0.89% is justified by implied risk. Please makes use of Audacia SAS's risk adjusted performance of 0.1449, and Mean Deviation of 2.8 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Audacia SAS holds a performance score of 14. The firm shows a Beta (market volatility) of 0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Audacia SAS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Audacia SAS is expected to be smaller as well. Please check Audacia SAS's potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether Audacia SAS's price patterns will revert.
Auto-correlation | -0.32 |
Poor reverse predictability
Audacia SAS has poor reverse predictability. Overlapping area represents the amount of predictability between Audacia SAS time series from 24th of January 2024 to 18th of January 2025 and 18th of January 2025 to 13th of January 2026. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Audacia SAS price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Audacia SAS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.42 |
Audacia SAS lagged returns against current returns
Autocorrelation, which is Audacia SAS 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 Audacia SAS's stock expected returns. We can calculate the autocorrelation of Audacia SAS returns to help us make a trade decision. For example, suppose you find that Audacia SAS 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 |
Audacia SAS 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 Audacia SAS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Audacia SAS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Audacia SAS stock over time.
Current vs Lagged Prices |
| Timeline |
Audacia SAS Lagged Returns
When evaluating Audacia SAS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Audacia SAS stock have on its future price. Audacia SAS 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, Audacia SAS autocorrelation shows the relationship between Audacia SAS stock current value and its past values and can show if there is a momentum factor associated with investing in Audacia SAS.
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 Audacia Stock Analysis
When running Audacia SAS's price analysis, check to measure Audacia SAS'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 Audacia SAS is operating at the current time. Most of Audacia SAS's value examination focuses on studying past and present price action to predict the probability of Audacia SAS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Audacia SAS's price. Additionally, you may evaluate how the addition of Audacia SAS to your portfolios can decrease your overall portfolio volatility.