LOréal SA (Germany) Market Value
| LOR Stock | 328.50 4.45 1.34% |
| Symbol | LOréal |
LOréal 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 LOréal 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 LOréal SA.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in LOréal SA on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding LOral SA or generate 0.0% return on investment in LOréal SA over 210 days. LOréal SA is related to or competes with QBE Insurance, SOLSTAD OFFSHORE, AOYAMA TRADING, Ping An, Selective Insurance, Reinsurance Group, and Apollo Investment. More
LOréal 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 LOréal 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 LOral SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 10.88 | |||
| Value At Risk | (2.59) | |||
| Potential Upside | 2.49 |
LOréal SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LOréal SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LOréal SA's standard deviation. In reality, there are many statistical measures that can use LOréal SA historical prices to predict the future LOréal SA's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.30) | |||
| Total Risk Alpha | (0.57) | |||
| Treynor Ratio | (2.48) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of LOréal SA'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.
LOréal SA Backtested Returns
LOréal SA has Sharpe Ratio of -0.16, which conveys that the firm had a -0.16% return per unit of risk over the last 3 months. LOréal SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify LOréal SA's Mean Deviation of 1.24, risk adjusted performance of (0.11), and Standard Deviation of 1.74 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.11, which conveys not very significant fluctuations relative to the market. As returns on the market increase, LOréal SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding LOréal SA is expected to be smaller as well. At this point, LOréal SA has a negative expected return of -0.28%. Please make sure to verify LOréal SA's treynor ratio, kurtosis, as well as the relationship between the Kurtosis and day typical price , to decide if LOréal SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.85 |
Very good predictability
LOral SA has very good predictability. Overlapping area represents the amount of predictability between LOréal SA time series from 6th of May 2024 to 19th of August 2024 and 19th of August 2024 to 2nd 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 LOréal SA price movement. The serial correlation of 0.85 indicates that around 85.0% of current LOréal SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 664.74 |
LOréal SA lagged returns against current returns
Autocorrelation, which is LOréal 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 LOréal SA's stock expected returns. We can calculate the autocorrelation of LOréal SA returns to help us make a trade decision. For example, suppose you find that LOréal 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 |
LOréal 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 LOréal SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LOréal SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LOréal SA stock over time.
Current vs Lagged Prices |
| Timeline |
LOréal SA Lagged Returns
When evaluating LOréal SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LOréal SA stock have on its future price. LOréal 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, LOréal SA autocorrelation shows the relationship between LOréal SA stock current value and its past values and can show if there is a momentum factor associated with investing in LOral 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 LOréal Stock Analysis
When running LOréal SA's price analysis, check to measure LOréal 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 LOréal SA is operating at the current time. Most of LOréal SA's value examination focuses on studying past and present price action to predict the probability of LOréal 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 LOréal SA's price. Additionally, you may evaluate how the addition of LOréal SA to your portfolios can decrease your overall portfolio volatility.