UCB SA (Belgium) Market Value
| UCB Stock | EUR 180.00 5.85 3.36% |
| Symbol | UCB |
UCB 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 UCB 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 UCB SA.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in UCB SA on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding UCB SA or generate 0.0% return on investment in UCB SA over 360 days. UCB SA is related to or competes with Solvay SA, KBC Groep, Groep Brussel, Ageas SANV, and Ackermans Van. UCB SA, a biopharmaceutical company, researches, develops, manufactures, sells, and distributes biopharmaceutical soluti... More
UCB 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 UCB 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 UCB SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.01 | |||
| Information Ratio | 0.0315 | |||
| Maximum Drawdown | 9.25 | |||
| Value At Risk | (2.82) | |||
| Potential Upside | 2.82 |
UCB SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for UCB SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as UCB SA's standard deviation. In reality, there are many statistical measures that can use UCB SA historical prices to predict the future UCB SA's volatility.| Risk Adjusted Performance | 0.0895 | |||
| Jensen Alpha | 0.0858 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0262 | |||
| Treynor Ratio | 0.2388 |
UCB SA Backtested Returns
Currently, UCB SA is very steady. UCB SA retains Efficiency (Sharpe Ratio) of 0.1, which indicates the company had a 0.1% return per unit of volatility over the last 3 months. We have found thirty technical indicators for UCB SA, which you can use to evaluate the volatility of the entity. Please validate UCB SA's Standard Deviation of 1.67, mean deviation of 1.24, and Market Risk Adjusted Performance of 0.2488 to confirm if the risk estimate we provide is consistent with the expected return of 0.18%. UCB SA has a performance score of 8 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.73, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, UCB SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding UCB SA is expected to be smaller as well. UCB SA now owns a risk of 1.67%. Please validate UCB SA semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to decide if UCB SA will be following its current price history.
Auto-correlation | 0.96 |
Excellent predictability
UCB SA has excellent predictability. Overlapping area represents the amount of predictability between UCB SA time series from 30th of November 2023 to 28th of May 2024 and 28th of May 2024 to 24th 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 UCB SA price movement. The serial correlation of 0.96 indicates that 96.0% of current UCB SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.96 | |
| Spearman Rank Test | 0.97 | |
| Residual Average | 0.0 | |
| Price Variance | 247.59 |
UCB SA lagged returns against current returns
Autocorrelation, which is UCB 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 UCB SA's stock expected returns. We can calculate the autocorrelation of UCB SA returns to help us make a trade decision. For example, suppose you find that UCB 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 |
UCB 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 UCB SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if UCB SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in UCB SA stock over time.
Current vs Lagged Prices |
| Timeline |
UCB SA Lagged Returns
When evaluating UCB SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of UCB SA stock have on its future price. UCB 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, UCB SA autocorrelation shows the relationship between UCB SA stock current value and its past values and can show if there is a momentum factor associated with investing in UCB SA.
Regressed Prices |
| Timeline |
Pair Trading with UCB SA
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 UCB SA 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 UCB SA will appreciate offsetting losses from the drop in the long position's value.Moving against UCB Stock
| 0.67 | CFEB | Compagnie d Entreprises | PairCorr |
| 0.63 | BEKB | NV Bekaert SA | PairCorr |
| 0.62 | BNB | Banque nationale | PairCorr |
The ability to find closely correlated positions to UCB SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace UCB SA 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 UCB SA - 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 UCB SA to buy it.
The correlation of UCB SA 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 UCB SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if UCB SA 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 UCB SA 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.Additional Tools for UCB Stock Analysis
When running UCB SA's price analysis, check to measure UCB SA's 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 UCB SA is operating at the current time. Most of UCB SA's value examination focuses on studying past and present price action to predict the probability of UCB SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move UCB SA's price. Additionally, you may evaluate how the addition of UCB SA to your portfolios can decrease your overall portfolio volatility.