Algoma Steel Group Stock Market Value
| ASTL Stock | 14.95 0.16 1.06% |
| Symbol | Algoma |
Algoma Steel Group Price To Book Ratio
Algoma Steel '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 Algoma Steel'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 Algoma Steel.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in Algoma Steel on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding Algoma Steel Group or generate 0.0% return on investment in Algoma Steel over 180 days. Algoma Steel is related to or competes with First Majestic, Ivanhoe Energy, Orezone Gold, and Faraday Copper. Algoma Steel is entity of Canada. It is traded as Stock on TO exchange. More
Algoma Steel 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 Algoma Steel'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 Algoma Steel Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.85 | |||
| Information Ratio | 0.0471 | |||
| Maximum Drawdown | 12.07 | |||
| Value At Risk | (2.45) | |||
| Potential Upside | 4.09 |
Algoma Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Algoma Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Algoma Steel's standard deviation. In reality, there are many statistical measures that can use Algoma Steel historical prices to predict the future Algoma Steel's volatility.| Risk Adjusted Performance | 0.086 | |||
| Jensen Alpha | 0.1332 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | 0.0586 | |||
| Treynor Ratio | 0.2885 |
Algoma Steel Group Backtested Returns
As of now, Algoma Stock is not too volatile. Algoma Steel Group secures Sharpe Ratio (or Efficiency) of 0.0567, which signifies that the company had a 0.0567% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Algoma Steel Group, which you can use to evaluate the volatility of the firm. Please confirm Algoma Steel's risk adjusted performance of 0.086, and Mean Deviation of 1.7 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. Algoma Steel has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.79, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Algoma Steel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Algoma Steel is expected to be smaller as well. Algoma Steel Group right now shows a risk of 2.28%. Please confirm Algoma Steel Group coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Algoma Steel Group will be following its price patterns.
Auto-correlation | 0.73 |
Good predictability
Algoma Steel Group has good predictability. Overlapping area represents the amount of predictability between Algoma Steel time series from 31st of May 2024 to 29th of August 2024 and 29th of August 2024 to 27th 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 Algoma Steel Group price movement. The serial correlation of 0.73 indicates that around 73.0% of current Algoma Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.8 |
Algoma Steel Group lagged returns against current returns
Autocorrelation, which is Algoma Steel 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 Algoma Steel's stock expected returns. We can calculate the autocorrelation of Algoma Steel returns to help us make a trade decision. For example, suppose you find that Algoma Steel 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 |
Algoma Steel 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 Algoma Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Algoma Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Algoma Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Algoma Steel Lagged Returns
When evaluating Algoma Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Algoma Steel stock have on its future price. Algoma Steel 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, Algoma Steel autocorrelation shows the relationship between Algoma Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Algoma Steel Group.
Regressed Prices |
| Timeline |
Pair Trading with Algoma Steel
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 Algoma Steel 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 Algoma Steel will appreciate offsetting losses from the drop in the long position's value.Moving against Algoma Stock
| 0.82 | PFE | Pfizer Inc CDR | PairCorr |
| 0.59 | ORE | Orezone Gold Corp | PairCorr |
| 0.55 | INFM | Infinico Metals Corp | PairCorr |
The ability to find closely correlated positions to Algoma Steel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Algoma Steel 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 Algoma Steel - 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 Algoma Steel Group to buy it.
The correlation of Algoma Steel 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 Algoma Steel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Algoma Steel Group 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 Algoma Steel 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.Check out Algoma Steel Correlation, Algoma Steel Volatility and Algoma Steel Alpha and Beta module to complement your research on Algoma Steel. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Algoma Steel technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.