Alumil Aluminium (Greece) Market Value
| ALMY Stock | EUR 2.80 0.06 2.10% |
| Symbol | Alumil |
Alumil Aluminium '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 Alumil Aluminium'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 Alumil Aluminium.
| 05/15/2022 |
| 05/04/2024 |
If you would invest 0.00 in Alumil Aluminium on May 15, 2022 and sell it all today you would earn a total of 0.00 from holding Alumil Aluminium Industry or generate 0.0% return on investment in Alumil Aluminium over 720 days. Alumil Aluminium is related to or competes with Hellenic Petroleum, Mytilineos, GEK TERNA, Aegean Airlines, and Motor Oil. Alumil Aluminium Industry S.A., together with its subsidiaries, designs, produces, and distributes a range of architectu... More
Alumil Aluminium 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 Alumil Aluminium'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 Alumil Aluminium Industry upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 8.56 | |||
| Value At Risk | (3.56) | |||
| Potential Upside | 3.01 |
Alumil Aluminium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alumil Aluminium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alumil Aluminium's standard deviation. In reality, there are many statistical measures that can use Alumil Aluminium historical prices to predict the future Alumil Aluminium's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.17) | |||
| Treynor Ratio | (1.47) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alumil Aluminium'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.
Alumil Aluminium Industry Backtested Returns
Alumil Aluminium Industry secures Sharpe Ratio (or Efficiency) of -0.0087, which signifies that the company had a -0.0087% return per unit of risk over the last 3 months. Alumil Aluminium Industry exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Alumil Aluminium's Mean Deviation of 1.38, standard deviation of 1.89, and Risk Adjusted Performance of (0) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0239, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Alumil Aluminium's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alumil Aluminium is expected to be smaller as well. Alumil Aluminium Industry has an expected return of -0.0169%. Please make sure to confirm Alumil Aluminium Industry potential upside, kurtosis, and the relationship between the value at risk and skewness , to decide if Alumil Aluminium Industry performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.17 |
Insignificant reverse predictability
Alumil Aluminium Industry has insignificant reverse predictability. Overlapping area represents the amount of predictability between Alumil Aluminium time series from 15th of May 2022 to 10th of May 2023 and 10th of May 2023 to 4th of May 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 Alumil Aluminium Industry price movement. The serial correlation of -0.17 indicates that over 17.0% of current Alumil Aluminium price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.17 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.2 |
Alumil Aluminium Industry lagged returns against current returns
Autocorrelation, which is Alumil Aluminium 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 Alumil Aluminium's stock expected returns. We can calculate the autocorrelation of Alumil Aluminium returns to help us make a trade decision. For example, suppose you find that Alumil Aluminium 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 |
Alumil Aluminium 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 Alumil Aluminium stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alumil Aluminium stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alumil Aluminium stock over time.
Current vs Lagged Prices |
| Timeline |
Alumil Aluminium Lagged Returns
When evaluating Alumil Aluminium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alumil Aluminium stock have on its future price. Alumil Aluminium 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, Alumil Aluminium autocorrelation shows the relationship between Alumil Aluminium stock current value and its past values and can show if there is a momentum factor associated with investing in Alumil Aluminium Industry.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Alumil Aluminium in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Alumil Aluminium's short interest history, or implied volatility extrapolated from Alumil Aluminium options trading.
Pair Trading with Alumil Aluminium
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Alumil Aluminium position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Alumil Aluminium will appreciate offsetting losses from the drop in the long position's value.Moving against Alumil Stock
| 0.56 | ELPE | Hellenic Petroleum | PairCorr |
| 0.54 | SAR | Gr Sarantis SA | PairCorr |
| 0.49 | GEKTERNA | GEK TERNA Holdings | PairCorr |
| 0.42 | HTO | Hellenic Telecommunicatio | PairCorr |
The ability to find closely correlated positions to Alumil Aluminium could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Alumil Aluminium when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Alumil Aluminium - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Alumil Aluminium Industry to buy it.
The correlation of Alumil Aluminium is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Alumil Aluminium moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alumil Aluminium Industry moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Alumil Aluminium can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Alumil Aluminium Correlation, Alumil Aluminium Volatility and Alumil Aluminium Alpha and Beta module to complement your research on Alumil Aluminium. You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Complementary Tools for Alumil Stock analysis
When running Alumil Aluminium's price analysis, check to measure Alumil Aluminium'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 Alumil Aluminium is operating at the current time. Most of Alumil Aluminium's value examination focuses on studying past and present price action to predict the probability of Alumil Aluminium's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alumil Aluminium's price. Additionally, you may evaluate how the addition of Alumil Aluminium to your portfolios can decrease your overall portfolio volatility.
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Alumil Aluminium technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.