ArcelorMittal (Spain) Market Value
| MTS Stock | EUR 23.85 0.21 0.89% |
| Symbol | ArcelorMittal |
ArcelorMittal '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 ArcelorMittal'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 ArcelorMittal.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in ArcelorMittal on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding ArcelorMittal SA or generate 0.0% return on investment in ArcelorMittal over 540 days. ArcelorMittal is related to or competes with Acerinox, ACS Actividades, International Consolidated, Mapfre, and Grifols SA. ArcelorMittal, together with its subsidiaries, owns and operates steel manufacturing and mining facilities in Europe, No... More
ArcelorMittal 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 ArcelorMittal'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 ArcelorMittal SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.99 | |||
| Information Ratio | 0.0386 | |||
| Maximum Drawdown | 11.03 | |||
| Value At Risk | (3.52) | |||
| Potential Upside | 3.98 |
ArcelorMittal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ArcelorMittal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ArcelorMittal's standard deviation. In reality, there are many statistical measures that can use ArcelorMittal historical prices to predict the future ArcelorMittal's volatility.| Risk Adjusted Performance | 0.0845 | |||
| Jensen Alpha | 0.1723 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0382 | |||
| Treynor Ratio | 1.15 |
ArcelorMittal SA Backtested Returns
ArcelorMittal appears to be very steady, given 3 months investment horizon. ArcelorMittal SA secures Sharpe Ratio (or Efficiency) of 0.0994, which signifies that the company had a 0.0994% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for ArcelorMittal SA, which you can use to evaluate the volatility of the firm. Please makes use of ArcelorMittal's risk adjusted performance of 0.0845, and Mean Deviation of 1.31 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ArcelorMittal holds a performance score of 7. The firm shows a Beta (market volatility) of 0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ArcelorMittal's returns are expected to increase less than the market. However, during the bear market, the loss of holding ArcelorMittal is expected to be smaller as well. Please check ArcelorMittal's coefficient of variation, maximum drawdown, skewness, as well as the relationship between the total risk alpha and downside variance , to make a quick decision on whether ArcelorMittal's price patterns will revert.
Auto-correlation | 0.59 |
Modest predictability
ArcelorMittal SA has modest predictability. Overlapping area represents the amount of predictability between ArcelorMittal time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 ArcelorMittal SA price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current ArcelorMittal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 2.5 |
ArcelorMittal SA lagged returns against current returns
Autocorrelation, which is ArcelorMittal 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 ArcelorMittal's stock expected returns. We can calculate the autocorrelation of ArcelorMittal returns to help us make a trade decision. For example, suppose you find that ArcelorMittal 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 |
ArcelorMittal 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 ArcelorMittal stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ArcelorMittal stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ArcelorMittal stock over time.
Current vs Lagged Prices |
| Timeline |
ArcelorMittal Lagged Returns
When evaluating ArcelorMittal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ArcelorMittal stock have on its future price. ArcelorMittal 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, ArcelorMittal autocorrelation shows the relationship between ArcelorMittal stock current value and its past values and can show if there is a momentum factor associated with investing in ArcelorMittal SA.
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 ArcelorMittal Stock
ArcelorMittal financial ratios help investors to determine whether ArcelorMittal 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 ArcelorMittal with respect to the benefits of owning ArcelorMittal security.