Ailleron (Poland) Market Value
| ALL Stock | 21.50 0.20 0.94% |
| Symbol | Ailleron |
Ailleron '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 Ailleron'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 Ailleron.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Ailleron on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Ailleron SA or generate 0.0% return on investment in Ailleron over 30 days. Ailleron is related to or competes with LSI Software, BNP Paribas, Echo Investment, Centrum Finansowe, Bank Millennium, and UniCredit SpA. More
Ailleron 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 Ailleron'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 Ailleron SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.54 | |||
| Information Ratio | 0.0186 | |||
| Maximum Drawdown | 9.87 | |||
| Value At Risk | (2.41) | |||
| Potential Upside | 3.0 |
Ailleron Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ailleron's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ailleron's standard deviation. In reality, there are many statistical measures that can use Ailleron historical prices to predict the future Ailleron's volatility.| Risk Adjusted Performance | 0.0741 | |||
| Jensen Alpha | 0.1439 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0211 | |||
| Treynor Ratio | 5.71 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ailleron'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.
Ailleron SA Backtested Returns
Currently, Ailleron SA is very steady. Ailleron SA secures Sharpe Ratio (or Efficiency) of 0.079, which signifies that the company had a 0.079% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Ailleron SA, which you can use to evaluate the volatility of the firm. Please confirm Ailleron's Downside Deviation of 1.54, risk adjusted performance of 0.0741, and Mean Deviation of 1.34 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. Ailleron has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0257, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Ailleron's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ailleron is expected to be smaller as well. Ailleron SA right now shows a risk of 1.74%. Please confirm Ailleron SA total risk alpha, expected short fall, market facilitation index, as well as the relationship between the value at risk and daily balance of power , to decide if Ailleron SA will be following its price patterns.
Auto-correlation | 0.49 |
Average predictability
Ailleron SA has average predictability. Overlapping area represents the amount of predictability between Ailleron time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd of December 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 Ailleron SA price movement. The serial correlation of 0.49 indicates that about 49.0% of current Ailleron price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Ailleron SA lagged returns against current returns
Autocorrelation, which is Ailleron 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 Ailleron's stock expected returns. We can calculate the autocorrelation of Ailleron returns to help us make a trade decision. For example, suppose you find that Ailleron 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 |
Ailleron 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 Ailleron stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ailleron stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ailleron stock over time.
Current vs Lagged Prices |
| Timeline |
Ailleron Lagged Returns
When evaluating Ailleron's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ailleron stock have on its future price. Ailleron 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, Ailleron autocorrelation shows the relationship between Ailleron stock current value and its past values and can show if there is a momentum factor associated with investing in Ailleron SA.
Regressed Prices |
| Timeline |
Pair Trading with Ailleron
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 Ailleron 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 Ailleron will appreciate offsetting losses from the drop in the long position's value.Moving against Ailleron Stock
| 0.69 | MBK | mBank SA | PairCorr |
| 0.67 | BNP | BNP Paribas Bank | PairCorr |
| 0.63 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.43 | SPL | Santander Bank Polska | PairCorr |
| 0.42 | PEO | Bank Polska Kasa | PairCorr |
The ability to find closely correlated positions to Ailleron could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ailleron 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 Ailleron - 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 Ailleron SA to buy it.
The correlation of Ailleron 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 Ailleron moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ailleron 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 Ailleron 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 Ailleron Stock Analysis
When running Ailleron's price analysis, check to measure Ailleron'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 Ailleron is operating at the current time. Most of Ailleron's value examination focuses on studying past and present price action to predict the probability of Ailleron's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ailleron's price. Additionally, you may evaluate how the addition of Ailleron to your portfolios can decrease your overall portfolio volatility.