Stef SA (France) Market Value
| STF Stock | EUR 132.00 1.00 0.76% |
| Symbol | Stef |
Stef SA '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 Stef SA'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 Stef SA.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Stef SA on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Stef SA or generate 0.0% return on investment in Stef SA over 30 days. Stef SA is related to or competes with Thermador Groupe, Samse SA, Rubis SCA, Vicat SA, and Trigano SA. STEF SA provides temperature-controlled logistics and transport services for agrifood manufacturers and retailers, and o... More
Stef SA 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 Stef SA'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 Stef SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 6.96 | |||
| Value At Risk | (2.35) | |||
| Potential Upside | 2.27 |
Stef SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Stef SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Stef SA's standard deviation. In reality, there are many statistical measures that can use Stef SA historical prices to predict the future Stef SA's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (0.23) |
Stef SA Backtested Returns
Stef SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0765, which indicates the firm had a -0.0765% return per unit of risk over the last 3 months. Stef SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Stef SA's Coefficient Of Variation of (1,636), variance of 2.25, and Risk Adjusted Performance of (0.04) to confirm the risk estimate we provide. The entity has a beta of 0.44, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Stef SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Stef SA is expected to be smaller as well. At this point, Stef SA has a negative expected return of -0.11%. Please make sure to validate Stef SA's total risk alpha, kurtosis, market facilitation index, as well as the relationship between the value at risk and rate of daily change , to decide if Stef SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.83 |
Excellent reverse predictability
Stef SA has excellent reverse predictability. Overlapping area represents the amount of predictability between Stef SA time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 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 Stef SA price movement. The serial correlation of -0.83 indicates that around 83.0% of current Stef SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.83 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 3.0 |
Stef SA lagged returns against current returns
Autocorrelation, which is Stef SA 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 Stef SA's stock expected returns. We can calculate the autocorrelation of Stef SA returns to help us make a trade decision. For example, suppose you find that Stef SA 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 |
Stef SA 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 Stef SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Stef SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Stef SA stock over time.
Current vs Lagged Prices |
| Timeline |
Stef SA Lagged Returns
When evaluating Stef SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Stef SA stock have on its future price. Stef SA 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, Stef SA autocorrelation shows the relationship between Stef SA stock current value and its past values and can show if there is a momentum factor associated with investing in Stef SA.
Regressed Prices |
| Timeline |
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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 Stef Stock
Stef SA financial ratios help investors to determine whether Stef 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 Stef with respect to the benefits of owning Stef SA security.