Alumil Aluminium (Greece) Market Value
| ALMY Stock | EUR 4.13 0.07 1.67% |
| Symbol | Alumil |
Alumil Aluminium '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 Alumil Aluminium'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 Alumil Aluminium.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Alumil Aluminium on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Alumil Aluminium Industry or generate 0.0% return on investment in Alumil Aluminium over 30 days. Alumil Aluminium is related to or competes with Hellenic Petroleum, Mytilineos, GEK TERNA, Aegean Airlines, and Motor Oil. Alumil Aluminium Industry S.A., together with its subsidiaries, designs, produces, and distributes a range of architectu... More
Alumil Aluminium 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 Alumil Aluminium'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 Alumil Aluminium Industry upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.5 | |||
| Information Ratio | 0.2465 | |||
| Maximum Drawdown | 9.08 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 3.99 |
Alumil Aluminium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alumil Aluminium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alumil Aluminium's standard deviation. In reality, there are many statistical measures that can use Alumil Aluminium historical prices to predict the future Alumil Aluminium's volatility.| Risk Adjusted Performance | 0.2339 | |||
| Jensen Alpha | 0.5615 | |||
| Total Risk Alpha | 0.2731 | |||
| Sortino Ratio | 0.2954 | |||
| Treynor Ratio | (23.48) |
Alumil Aluminium Industry Backtested Returns
Alumil Aluminium appears to be slightly risky, given 3 months investment horizon. Alumil Aluminium Industry secures Sharpe Ratio (or Efficiency) of 0.33, which signifies that the company had a 0.33% return per unit of risk over the last 3 months. By analyzing Alumil Aluminium's technical indicators, you can evaluate if the expected return of 0.6% is justified by implied risk. Please makes use of Alumil Aluminium's Downside Deviation of 1.5, risk adjusted performance of 0.2339, and Mean Deviation of 1.35 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alumil Aluminium holds a performance score of 25. The firm shows a Beta (market volatility) of -0.0238, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Alumil Aluminium are expected to decrease at a much lower rate. During the bear market, Alumil Aluminium is likely to outperform the market. Please check Alumil Aluminium's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Alumil Aluminium's price patterns will revert.
Auto-correlation | 0.72 |
Good predictability
Alumil Aluminium Industry has good predictability. Overlapping area represents the amount of predictability between Alumil Aluminium time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 Alumil Aluminium Industry price movement. The serial correlation of 0.72 indicates that around 72.0% of current Alumil Aluminium price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Alumil Aluminium Industry lagged returns against current returns
Autocorrelation, which is Alumil Aluminium 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 Alumil Aluminium's stock expected returns. We can calculate the autocorrelation of Alumil Aluminium returns to help us make a trade decision. For example, suppose you find that Alumil Aluminium 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 |
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Alumil Aluminium 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 Alumil Aluminium stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alumil Aluminium stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alumil Aluminium stock over time.
Current vs Lagged Prices |
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Alumil Aluminium Lagged Returns
When evaluating Alumil Aluminium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alumil Aluminium stock have on its future price. Alumil Aluminium 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, Alumil Aluminium autocorrelation shows the relationship between Alumil Aluminium stock current value and its past values and can show if there is a momentum factor associated with investing in Alumil Aluminium Industry.
Regressed Prices |
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Additional Tools for Alumil Stock Analysis
When running Alumil Aluminium's price analysis, check to measure Alumil Aluminium'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 Alumil Aluminium is operating at the current time. Most of Alumil Aluminium's value examination focuses on studying past and present price action to predict the probability of Alumil Aluminium's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alumil Aluminium's price. Additionally, you may evaluate how the addition of Alumil Aluminium to your portfolios can decrease your overall portfolio volatility.