STMicroelectronics (France) Market Value
| STMPA Stock | 23.87 0.58 2.37% |
| Symbol | STMicroelectronics |
STMicroelectronics '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 STMicroelectronics' 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 STMicroelectronics.
| 12/08/2022 |
| 11/27/2024 |
If you would invest 0.00 in STMicroelectronics on December 8, 2022 and sell it all today you would earn a total of 0.00 from holding STMicroelectronics NV or generate 0.0% return on investment in STMicroelectronics over 720 days.
STMicroelectronics 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 STMicroelectronics' 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 STMicroelectronics NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 10.29 | |||
| Value At Risk | (3.90) | |||
| Potential Upside | 2.93 |
STMicroelectronics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for STMicroelectronics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as STMicroelectronics' standard deviation. In reality, there are many statistical measures that can use STMicroelectronics historical prices to predict the future STMicroelectronics' volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.33) | |||
| Total Risk Alpha | (0.54) | |||
| Treynor Ratio | (0.16) |
STMicroelectronics Backtested Returns
STMicroelectronics owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0928, which indicates the firm had a -0.0928% return per unit of standard deviation over the last 3 months. STMicroelectronics NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate STMicroelectronics' risk adjusted performance of (0.05), and Variance of 5.15 to confirm the risk estimate we provide. The entity has a beta of 1.18, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, STMicroelectronics will likely underperform. At this point, STMicroelectronics has a negative expected return of -0.21%. Please make sure to validate STMicroelectronics' potential upside, as well as the relationship between the daily balance of power and price action indicator , to decide if STMicroelectronics performance from the past will be repeated at some future point.
Auto-correlation | 0.04 |
Virtually no predictability
STMicroelectronics NV has virtually no predictability. Overlapping area represents the amount of predictability between STMicroelectronics time series from 8th of December 2022 to 3rd of December 2023 and 3rd of December 2023 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 STMicroelectronics price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current STMicroelectronics price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 49.45 |
STMicroelectronics lagged returns against current returns
Autocorrelation, which is STMicroelectronics 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 STMicroelectronics' stock expected returns. We can calculate the autocorrelation of STMicroelectronics returns to help us make a trade decision. For example, suppose you find that STMicroelectronics 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 |
STMicroelectronics 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 STMicroelectronics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if STMicroelectronics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in STMicroelectronics stock over time.
Current vs Lagged Prices |
| Timeline |
STMicroelectronics Lagged Returns
When evaluating STMicroelectronics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of STMicroelectronics stock have on its future price. STMicroelectronics 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, STMicroelectronics autocorrelation shows the relationship between STMicroelectronics stock current value and its past values and can show if there is a momentum factor associated with investing in STMicroelectronics NV.
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.Additional Tools for STMicroelectronics Stock Analysis
When running STMicroelectronics' price analysis, check to measure STMicroelectronics' 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 STMicroelectronics is operating at the current time. Most of STMicroelectronics' value examination focuses on studying past and present price action to predict the probability of STMicroelectronics' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move STMicroelectronics' price. Additionally, you may evaluate how the addition of STMicroelectronics to your portfolios can decrease your overall portfolio volatility.