ALLEGION HLDG INC Market Value
| 01748NAE4 | 95.48 0.74 0.77% |
| Symbol | ALLEGION |
ALLEGION '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 ALLEGION's bond 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 ALLEGION.
| 11/26/2024 |
| 12/26/2024 |
If you would invest 0.00 in ALLEGION on November 26, 2024 and sell it all today you would earn a total of 0.00 from holding ALLEGION HLDG INC or generate 0.0% return on investment in ALLEGION over 30 days. ALLEGION is related to or competes with Hurco Companies, WPP PLC, Dream Finders, ChampionX, Deluxe, Entravision Communications, and Emerson Electric. More
ALLEGION 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 ALLEGION's bond 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 ALLEGION HLDG INC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 4.97 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.9089 |
ALLEGION Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ALLEGION's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ALLEGION's standard deviation. In reality, there are many statistical measures that can use ALLEGION historical prices to predict the future ALLEGION's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.08) | |||
| Treynor Ratio | (0.19) |
ALLEGION HLDG INC Backtested Returns
ALLEGION HLDG INC secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the bond had a -0.12% return per unit of return volatility over the last 3 months. ALLEGION HLDG INC exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ALLEGION's Mean Deviation of 0.3563, risk adjusted performance of (0.04), and Coefficient Of Variation of (1,953) to double-check the risk estimate we provide. The bond shows a Beta (market volatility) of 0.25, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ALLEGION's returns are expected to increase less than the market. However, during the bear market, the loss of holding ALLEGION is expected to be smaller as well.
Auto-correlation | -0.27 |
Weak reverse predictability
ALLEGION HLDG INC has weak reverse predictability. Overlapping area represents the amount of predictability between ALLEGION time series from 26th of November 2024 to 11th of December 2024 and 11th of December 2024 to 26th 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 ALLEGION HLDG INC price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current ALLEGION price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
ALLEGION HLDG INC lagged returns against current returns
Autocorrelation, which is ALLEGION bond'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 ALLEGION's bond expected returns. We can calculate the autocorrelation of ALLEGION returns to help us make a trade decision. For example, suppose you find that ALLEGION has exhibited high autocorrelation historically, and you observe that the bond 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 |
ALLEGION 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 ALLEGION bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ALLEGION bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ALLEGION bond over time.
Current vs Lagged Prices |
| Timeline |
ALLEGION Lagged Returns
When evaluating ALLEGION's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ALLEGION bond have on its future price. ALLEGION 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, ALLEGION autocorrelation shows the relationship between ALLEGION bond current value and its past values and can show if there is a momentum factor associated with investing in ALLEGION HLDG INC.
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 ALLEGION Bond
ALLEGION financial ratios help investors to determine whether ALLEGION Bond 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 ALLEGION with respect to the benefits of owning ALLEGION security.