VULCAN MATERIALS (Germany) Market Value
| VMC Stock | 272.00 6.00 2.26% |
| Symbol | VULCAN |
VULCAN MATERIALS '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 VULCAN MATERIALS'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 VULCAN MATERIALS.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in VULCAN MATERIALS on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding VULCAN MATERIALS or generate 0.0% return on investment in VULCAN MATERIALS over 510 days.
VULCAN MATERIALS 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 VULCAN MATERIALS'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 VULCAN MATERIALS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.97 | |||
| Information Ratio | 0.0867 | |||
| Maximum Drawdown | 11.18 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 2.66 |
VULCAN MATERIALS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VULCAN MATERIALS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VULCAN MATERIALS's standard deviation. In reality, there are many statistical measures that can use VULCAN MATERIALS historical prices to predict the future VULCAN MATERIALS's volatility.| Risk Adjusted Performance | 0.1212 | |||
| Jensen Alpha | 0.2702 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0889 | |||
| Treynor Ratio | 1.5 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of VULCAN MATERIALS's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
VULCAN MATERIALS Backtested Returns
VULCAN MATERIALS appears to be very steady, given 3 months investment horizon. VULCAN MATERIALS owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for VULCAN MATERIALS, which you can use to evaluate the volatility of the company. Please review VULCAN MATERIALS's risk adjusted performance of 0.1212, and Coefficient Of Variation of 664.41 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, VULCAN MATERIALS holds a performance score of 16. The entity has a beta of 0.2, which indicates not very significant fluctuations relative to the market. As returns on the market increase, VULCAN MATERIALS's returns are expected to increase less than the market. However, during the bear market, the loss of holding VULCAN MATERIALS is expected to be smaller as well. Please check VULCAN MATERIALS's semi variance, rate of daily change, and the relationship between the value at risk and kurtosis , to make a quick decision on whether VULCAN MATERIALS's existing price patterns will revert.
Auto-correlation | 0.58 |
Modest predictability
VULCAN MATERIALS has modest predictability. Overlapping area represents the amount of predictability between VULCAN MATERIALS time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 VULCAN MATERIALS price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current VULCAN MATERIALS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 220.47 |
VULCAN MATERIALS lagged returns against current returns
Autocorrelation, which is VULCAN MATERIALS 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 VULCAN MATERIALS's stock expected returns. We can calculate the autocorrelation of VULCAN MATERIALS returns to help us make a trade decision. For example, suppose you find that VULCAN MATERIALS 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 |
VULCAN MATERIALS 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 VULCAN MATERIALS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VULCAN MATERIALS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VULCAN MATERIALS stock over time.
Current vs Lagged Prices |
| Timeline |
VULCAN MATERIALS Lagged Returns
When evaluating VULCAN MATERIALS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VULCAN MATERIALS stock have on its future price. VULCAN MATERIALS 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, VULCAN MATERIALS autocorrelation shows the relationship between VULCAN MATERIALS stock current value and its past values and can show if there is a momentum factor associated with investing in VULCAN MATERIALS.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for VULCAN Stock Analysis
When running VULCAN MATERIALS's price analysis, check to measure VULCAN MATERIALS'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 VULCAN MATERIALS is operating at the current time. Most of VULCAN MATERIALS's value examination focuses on studying past and present price action to predict the probability of VULCAN MATERIALS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move VULCAN MATERIALS's price. Additionally, you may evaluate how the addition of VULCAN MATERIALS to your portfolios can decrease your overall portfolio volatility.