ArcelorMittal (Brazil) Market Value
| ARMT34 Stock | BRL 67.69 1.74 2.64% |
| Symbol | ArcelorMittal |
ArcelorMittal '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 ArcelorMittal'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 ArcelorMittal.
| 04/17/2024 |
| 05/17/2024 |
If you would invest 0.00 in ArcelorMittal on April 17, 2024 and sell it all today you would earn a total of 0.00 from holding ArcelorMittal SA or generate 0.0% return on investment in ArcelorMittal over 30 days. ArcelorMittal is related to or competes with Companhia Siderrgica, Metalurgica Gerdau, and Panatlntica. More
ArcelorMittal 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 ArcelorMittal'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 ArcelorMittal SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 8.45 | |||
| Value At Risk | (3.56) | |||
| Potential Upside | 2.64 |
ArcelorMittal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ArcelorMittal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ArcelorMittal's standard deviation. In reality, there are many statistical measures that can use ArcelorMittal historical prices to predict the future ArcelorMittal's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 0.5704 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ArcelorMittal'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.
ArcelorMittal SA Backtested Returns
ArcelorMittal SA secures Sharpe Ratio (or Efficiency) of -0.0044, which signifies that the company had a -0.0044% return per unit of standard deviation over the last 3 months. ArcelorMittal SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ArcelorMittal's mean deviation of 1.22, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ArcelorMittal are expected to decrease at a much lower rate. During the bear market, ArcelorMittal is likely to outperform the market. ArcelorMittal SA has an expected return of -0.0073%. Please make sure to confirm ArcelorMittal SA total risk alpha, potential upside, and the relationship between the standard deviation and maximum drawdown , to decide if ArcelorMittal SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.62 |
Good predictability
ArcelorMittal SA has good predictability. Overlapping area represents the amount of predictability between ArcelorMittal time series from 17th of April 2024 to 2nd of May 2024 and 2nd of May 2024 to 17th 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 ArcelorMittal SA price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current ArcelorMittal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.66 |
ArcelorMittal SA lagged returns against current returns
Autocorrelation, which is ArcelorMittal 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 ArcelorMittal's stock expected returns. We can calculate the autocorrelation of ArcelorMittal returns to help us make a trade decision. For example, suppose you find that ArcelorMittal 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 |
ArcelorMittal 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 ArcelorMittal stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ArcelorMittal stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ArcelorMittal stock over time.
Current vs Lagged Prices |
| Timeline |
ArcelorMittal Lagged Returns
When evaluating ArcelorMittal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ArcelorMittal stock have on its future price. ArcelorMittal 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, ArcelorMittal autocorrelation shows the relationship between ArcelorMittal stock current value and its past values and can show if there is a momentum factor associated with investing in ArcelorMittal SA.
Regressed Prices |
| Timeline |
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Check out ArcelorMittal Correlation, ArcelorMittal Volatility and ArcelorMittal Alpha and Beta module to complement your research on ArcelorMittal. Note that the ArcelorMittal SA information on this page should be used as a complementary analysis to other ArcelorMittal's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Complementary Tools for ArcelorMittal Stock analysis
When running ArcelorMittal's price analysis, check to measure ArcelorMittal'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 ArcelorMittal is operating at the current time. Most of ArcelorMittal's value examination focuses on studying past and present price action to predict the probability of ArcelorMittal's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ArcelorMittal's price. Additionally, you may evaluate how the addition of ArcelorMittal to your portfolios can decrease your overall portfolio volatility.
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ArcelorMittal 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.