Vallourec (France) Market Value
| VK Stock | EUR 16.53 0.29 1.79% |
| Symbol | Vallourec |
Vallourec '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 Vallourec'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 Vallourec.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Vallourec on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Vallourec or generate 0.0% return on investment in Vallourec over 30 days. Vallourec is related to or competes with Alstom SA, Compagnie, Bouygues, Manitou BF, Memscap Regpt, Poxel SA, and Eramet SA. Vallourec S.A., through its subsidiaries, provides tubular solutions for oil and gas, industry, and power generation in ... More
Vallourec 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 Vallourec'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 Vallourec upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.16 | |||
| Information Ratio | 0.0828 | |||
| Maximum Drawdown | 10.7 | |||
| Value At Risk | (3.33) | |||
| Potential Upside | 4.05 |
Vallourec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vallourec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vallourec's standard deviation. In reality, there are many statistical measures that can use Vallourec historical prices to predict the future Vallourec's volatility.| Risk Adjusted Performance | 0.113 | |||
| Jensen Alpha | 0.1955 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0855 | |||
| Treynor Ratio | 0.3305 |
Vallourec Backtested Returns
Vallourec appears to be not too volatile, given 3 months investment horizon. Vallourec owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0933, which indicates the firm had a 0.0933% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vallourec, which you can use to evaluate the volatility of the company. Please review Vallourec's Semi Deviation of 1.82, risk adjusted performance of 0.113, and Coefficient Of Variation of 719.92 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Vallourec holds a performance score of 7. The entity has a beta of 0.91, which indicates possible diversification benefits within a given portfolio. Vallourec returns are very sensitive to returns on the market. As the market goes up or down, Vallourec is expected to follow. Please check Vallourec's total risk alpha, value at risk, expected short fall, as well as the relationship between the treynor ratio and downside variance , to make a quick decision on whether Vallourec's existing price patterns will revert.
Auto-correlation | 0.63 |
Good predictability
Vallourec has good predictability. Overlapping area represents the amount of predictability between Vallourec time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Vallourec price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Vallourec price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Vallourec lagged returns against current returns
Autocorrelation, which is Vallourec 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 Vallourec's stock expected returns. We can calculate the autocorrelation of Vallourec returns to help us make a trade decision. For example, suppose you find that Vallourec 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 |
Vallourec 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 Vallourec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vallourec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vallourec stock over time.
Current vs Lagged Prices |
| Timeline |
Vallourec Lagged Returns
When evaluating Vallourec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vallourec stock have on its future price. Vallourec 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, Vallourec autocorrelation shows the relationship between Vallourec stock current value and its past values and can show if there is a momentum factor associated with investing in Vallourec.
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 Vallourec Stock
Vallourec financial ratios help investors to determine whether Vallourec 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 Vallourec with respect to the benefits of owning Vallourec security.