Esso SAF (France) Market Value
| ES Stock | EUR 99.90 0.50 0.50% |
| Symbol | Esso |
Esso SAF '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 Esso SAF'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 Esso SAF.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Esso SAF on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Esso SAF or generate 0.0% return on investment in Esso SAF over 720 days. Esso SAF is related to or competes with Etablissements Maurel, Eramet SA, Socit BIC, TotalEnergies, and Derichebourg. Esso S.A.F. refines, distributes, and markets refined petroleum products in France and internationally More
Esso SAF 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 Esso SAF'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 Esso SAF upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 12.78 | |||
| Value At Risk | (3.72) | |||
| Potential Upside | 3.23 |
Esso SAF Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Esso SAF's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Esso SAF's standard deviation. In reality, there are many statistical measures that can use Esso SAF historical prices to predict the future Esso SAF's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.36) | |||
| Total Risk Alpha | (0.81) | |||
| Treynor Ratio | 0.8335 |
Esso SAF Backtested Returns
Esso SAF secures Sharpe Ratio (or Efficiency) of -0.16, which denotes the company had a -0.16% return per unit of risk over the last 3 months. Esso SAF exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Esso SAF's Standard Deviation of 2.35, variance of 5.5, and Mean Deviation of 1.67 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.51, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Esso SAF are expected to decrease at a much lower rate. During the bear market, Esso SAF is likely to outperform the market. At this point, Esso SAF has a negative expected return of -0.38%. Please make sure to confirm Esso SAF's accumulation distribution, day typical price, and the relationship between the skewness and rate of daily change , to decide if Esso SAF performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.06 |
Very weak reverse predictability
Esso SAF has very weak reverse predictability. Overlapping area represents the amount of predictability between Esso SAF time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 Esso SAF price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Esso SAF price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 1739.71 |
Esso SAF lagged returns against current returns
Autocorrelation, which is Esso SAF 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 Esso SAF's stock expected returns. We can calculate the autocorrelation of Esso SAF returns to help us make a trade decision. For example, suppose you find that Esso SAF 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 |
Esso SAF 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 Esso SAF stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Esso SAF stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Esso SAF stock over time.
Current vs Lagged Prices |
| Timeline |
Esso SAF Lagged Returns
When evaluating Esso SAF's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Esso SAF stock have on its future price. Esso SAF 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, Esso SAF autocorrelation shows the relationship between Esso SAF stock current value and its past values and can show if there is a momentum factor associated with investing in Esso SAF.
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.Other Information on Investing in Esso Stock
Esso SAF financial ratios help investors to determine whether Esso 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 Esso with respect to the benefits of owning Esso SAF security.