Alfa SAB (Mexico) Market Value
| ALFAA Stock | MXN 15.06 0.07 0.47% |
| Symbol | Alfa |
Alfa SAB '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 Alfa SAB'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 Alfa SAB.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Alfa SAB on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Alfa SAB de or generate 0.0% return on investment in Alfa SAB over 30 days. Alfa SAB is related to or competes with Grupo Mxico, Grupo Financiero, Fomento Econmico, CEMEX SAB, and Gruma SAB. Alfa, S.A.B. de C.V. engages in the petrochemicals and synthetic fibers, refrigerated foods, telecommunications, and nat... More
Alfa SAB 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 Alfa SAB'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 Alfa SAB de upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.72 | |||
| Information Ratio | 0.1086 | |||
| Maximum Drawdown | 22.91 | |||
| Value At Risk | (3.69) | |||
| Potential Upside | 4.37 |
Alfa SAB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alfa SAB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alfa SAB's standard deviation. In reality, there are many statistical measures that can use Alfa SAB historical prices to predict the future Alfa SAB's volatility.| Risk Adjusted Performance | 0.1223 | |||
| Jensen Alpha | 0.4054 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.2019 | |||
| Treynor Ratio | 0.9123 |
Alfa SAB de Backtested Returns
Alfa SAB appears to be not too volatile, given 3 months investment horizon. Alfa SAB de 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 Alfa SAB's technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please makes use of Alfa SAB's risk adjusted performance of 0.1223, and Mean Deviation of 2.05 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alfa SAB holds a performance score of 13. The firm shows a Beta (market volatility) of 0.51, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Alfa SAB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alfa SAB is expected to be smaller as well. Please check Alfa SAB's jensen alpha, maximum drawdown, and the relationship between the coefficient of variation and sortino ratio , to make a quick decision on whether Alfa SAB's price patterns will revert.
Auto-correlation | -0.08 |
Very weak reverse predictability
Alfa SAB de has very weak reverse predictability. Overlapping area represents the amount of predictability between Alfa SAB time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Alfa SAB de price movement. The serial correlation of -0.08 indicates that barely 8.0% of current Alfa SAB price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.08 | |
| Spearman Rank Test | -0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Alfa SAB de lagged returns against current returns
Autocorrelation, which is Alfa SAB 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 Alfa SAB's stock expected returns. We can calculate the autocorrelation of Alfa SAB returns to help us make a trade decision. For example, suppose you find that Alfa SAB 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 |
Alfa SAB 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 Alfa SAB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alfa SAB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alfa SAB stock over time.
Current vs Lagged Prices |
| Timeline |
Alfa SAB Lagged Returns
When evaluating Alfa SAB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alfa SAB stock have on its future price. Alfa SAB 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, Alfa SAB autocorrelation shows the relationship between Alfa SAB stock current value and its past values and can show if there is a momentum factor associated with investing in Alfa SAB de.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Alfa Stock
Alfa SAB financial ratios help investors to determine whether Alfa Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Alfa with respect to the benefits of owning Alfa SAB security.