Vale SA (Brazil) Market Value
| VALE3 Stock | BRL 58.17 0.01 0.02% |
| Symbol | Vale |
Vale 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 Vale 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 Vale SA.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Vale SA on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vale SA or generate 0.0% return on investment in Vale SA over 30 days. Vale SA is related to or competes with Petrleo Brasileiro, Banco Do, Ita Unibanco, Banco Bradesco, and Magazine Luiza. Vale S.A., together with its subsidiaries, produces and sells iron ore and iron ore pellets for use as raw materials in ... More
Vale 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 Vale 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 Vale SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.67 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 10.62 | |||
| Value At Risk | (3.03) | |||
| Potential Upside | 3.4 |
Vale SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vale SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vale SA's standard deviation. In reality, there are many statistical measures that can use Vale SA historical prices to predict the future Vale SA's volatility.| Risk Adjusted Performance | 0.0112 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.28) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | 0.0059 |
Vale SA Backtested Returns
Vale SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0157, which indicates the firm had a -0.0157% return per unit of risk over the last 3 months. Vale SA exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vale SA's Risk Adjusted Performance of 0.0112, semi deviation of 1.59, and Coefficient Of Variation of 14016.63 to confirm the risk estimate we provide. The entity has a beta of 0.5, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vale SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vale SA is expected to be smaller as well. At this point, Vale SA has a negative expected return of -0.0281%. Please make sure to validate Vale SA's sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to decide if Vale SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.28 |
Poor predictability
Vale SA has poor predictability. Overlapping area represents the amount of predictability between Vale SA time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Vale SA price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Vale SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Vale SA lagged returns against current returns
Autocorrelation, which is Vale 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 Vale SA's stock expected returns. We can calculate the autocorrelation of Vale SA returns to help us make a trade decision. For example, suppose you find that Vale 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 |
Vale 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 Vale SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vale SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vale SA stock over time.
Current vs Lagged Prices |
| Timeline |
Vale SA Lagged Returns
When evaluating Vale SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vale SA stock have on its future price. Vale 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, Vale SA autocorrelation shows the relationship between Vale SA stock current value and its past values and can show if there is a momentum factor associated with investing in Vale 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.Additional Tools for Vale Stock Analysis
When running Vale SA's price analysis, check to measure Vale 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 Vale SA is operating at the current time. Most of Vale SA's value examination focuses on studying past and present price action to predict the probability of Vale 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 Vale SA's price. Additionally, you may evaluate how the addition of Vale SA to your portfolios can decrease your overall portfolio volatility.