ALPEK SAB (Mexico) Market Value
| ALPEKA Stock | MXN 14.14 0.50 3.67% |
| Symbol | ALPEK |
ALPEK 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 ALPEK 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 ALPEK SAB.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in ALPEK SAB on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding ALPEK SAB de or generate 0.0% return on investment in ALPEK SAB over 720 days. ALPEK SAB is related to or competes with Southern Copper, McEwen Mining, First Majestic, United States, Monster Beverage, Costco Wholesale, and Lloyds Banking. Alpek, S.A.B. de C.V., together with its subsidiaries, operates as a petrochemical company in Mexico, the United States,... More
ALPEK 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 ALPEK 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 ALPEK SAB de upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.76 | |||
| Information Ratio | 0.1691 | |||
| Maximum Drawdown | 8.4 | |||
| Value At Risk | (2.91) | |||
| Potential Upside | 3.64 |
ALPEK SAB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ALPEK SAB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ALPEK SAB's standard deviation. In reality, there are many statistical measures that can use ALPEK SAB historical prices to predict the future ALPEK SAB's volatility.| Risk Adjusted Performance | 0.1773 | |||
| Jensen Alpha | 0.3817 | |||
| Total Risk Alpha | 0.1761 | |||
| Sortino Ratio | 0.1907 | |||
| Treynor Ratio | 0.8215 |
ALPEK SAB de Backtested Returns
ALPEK SAB appears to be not too volatile, given 3 months investment horizon. ALPEK SAB de secures Sharpe Ratio (or Efficiency) of 0.21, which signifies that the company had a 0.21% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for ALPEK SAB de, which you can use to evaluate the volatility of the firm. Please makes use of ALPEK SAB's risk adjusted performance of 0.1773, and Mean Deviation of 1.52 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ALPEK SAB holds a performance score of 16. The firm shows a Beta (market volatility) of 0.53, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ALPEK SAB's returns are expected to increase less than the market. However, during the bear market, the loss of holding ALPEK SAB is expected to be smaller as well. Please check ALPEK SAB's sortino ratio, skewness, period momentum indicator, as well as the relationship between the potential upside and rate of daily change , to make a quick decision on whether ALPEK SAB's price patterns will revert.
Auto-correlation | -0.57 |
Good reverse predictability
ALPEK SAB de has good reverse predictability. Overlapping area represents the amount of predictability between ALPEK SAB time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 ALPEK SAB de price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current ALPEK SAB price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 |
ALPEK SAB de lagged returns against current returns
Autocorrelation, which is ALPEK 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 ALPEK SAB's stock expected returns. We can calculate the autocorrelation of ALPEK SAB returns to help us make a trade decision. For example, suppose you find that ALPEK 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 |
ALPEK 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 ALPEK SAB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ALPEK SAB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ALPEK SAB stock over time.
Current vs Lagged Prices |
| Timeline |
ALPEK SAB Lagged Returns
When evaluating ALPEK SAB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ALPEK SAB stock have on its future price. ALPEK 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, ALPEK SAB autocorrelation shows the relationship between ALPEK SAB stock current value and its past values and can show if there is a momentum factor associated with investing in ALPEK 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 ALPEK Stock
ALPEK SAB financial ratios help investors to determine whether ALPEK 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 ALPEK with respect to the benefits of owning ALPEK SAB security.