Alstom SA (France) Market Value
| ALO Stock | EUR 20.94 0.25 1.21% |
| Symbol | Alstom |
Alstom 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 Alstom 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 Alstom SA.
| 12/10/2022 |
| 11/29/2024 |
If you would invest 0.00 in Alstom SA on December 10, 2022 and sell it all today you would earn a total of 0.00 from holding Alstom SA or generate 0.0% return on investment in Alstom SA over 720 days. Alstom SA is related to or competes with Bouygues, Compagnie, Veolia Environnement, Vinci SA, and Air Liquide. Alstom SA offers solutions for rail transport industry in Europe, the Americas, Asia and Pacific, the Middle East, and A... More
Alstom 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 Alstom 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 Alstom SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.89 | |||
| Information Ratio | 0.033 | |||
| Maximum Drawdown | 16.4 | |||
| Value At Risk | (3.60) | |||
| Potential Upside | 3.78 |
Alstom SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alstom SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alstom SA's standard deviation. In reality, there are many statistical measures that can use Alstom SA historical prices to predict the future Alstom SA's volatility.| Risk Adjusted Performance | 0.0703 | |||
| Jensen Alpha | 0.2117 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | 0.044 | |||
| Treynor Ratio | (1.73) |
Alstom SA Backtested Returns
Alstom SA appears to be not too volatile, given 3 months investment horizon. Alstom SA secures Sharpe Ratio (or Efficiency) of 0.0854, which signifies that the company had a 0.0854% return per unit of risk over the last 3 months. We have found thirty technical indicators for Alstom SA, which you can use to evaluate the volatility of the firm. Please makes use of Alstom SA's Downside Deviation of 1.89, mean deviation of 1.71, and Risk Adjusted Performance of 0.0703 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alstom SA holds a performance score of 6. The firm shows a Beta (market volatility) of -0.11, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Alstom SA are expected to decrease at a much lower rate. During the bear market, Alstom SA is likely to outperform the market. Please check Alstom SA's sortino ratio, semi variance, rate of daily change, as well as the relationship between the value at risk and kurtosis , to make a quick decision on whether Alstom SA's price patterns will revert.
Auto-correlation | -0.56 |
Good reverse predictability
Alstom SA has good reverse predictability. Overlapping area represents the amount of predictability between Alstom SA time series from 10th of December 2022 to 5th of December 2023 and 5th of December 2023 to 29th 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 Alstom SA price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Alstom SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 11.96 |
Alstom SA lagged returns against current returns
Autocorrelation, which is Alstom 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 Alstom SA's stock expected returns. We can calculate the autocorrelation of Alstom SA returns to help us make a trade decision. For example, suppose you find that Alstom 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 |
Alstom 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 Alstom SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alstom SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alstom SA stock over time.
Current vs Lagged Prices |
| Timeline |
Alstom SA Lagged Returns
When evaluating Alstom SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alstom SA stock have on its future price. Alstom 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, Alstom SA autocorrelation shows the relationship between Alstom SA stock current value and its past values and can show if there is a momentum factor associated with investing in Alstom SA.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Alstom Stock
Alstom SA financial ratios help investors to determine whether Alstom Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Alstom with respect to the benefits of owning Alstom SA security.