LOreal SA (France) Market Value
| OR Stock | EUR 450.95 2.45 0.54% |
| Symbol | LOreal |
LOreal 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 LOreal 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 LOreal SA.
| 11/26/2023 |
| 05/24/2024 |
If you would invest 0.00 in LOreal SA on November 26, 2023 and sell it all today you would earn a total of 0.00 from holding LOreal SA or generate 0.0% return on investment in LOreal SA over 180 days. LOreal SA is related to or competes with Remy Cointreau, Alten SA, Gaztransport Technigaz, Trigano SA, and Sartorius Stedim. LOral S.A., through its subsidiaries, manufactures and sells cosmetic products for women and men worldwide More
LOreal 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 LOreal 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 LOreal SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8837 | |||
| Information Ratio | 0.0041 | |||
| Maximum Drawdown | 6.34 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.51 |
LOreal SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LOreal SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LOreal SA's standard deviation. In reality, there are many statistical measures that can use LOreal SA historical prices to predict the future LOreal SA's volatility.| Risk Adjusted Performance | 0.0388 | |||
| Jensen Alpha | 0.0487 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0049 | |||
| Treynor Ratio | 0.901 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of LOreal 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.
LOreal SA Backtested Returns
We consider LOreal SA very steady. LOreal SA has Sharpe Ratio of 0.0294, which conveys that the firm had a 0.0294% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for LOreal SA, which you can use to evaluate the volatility of the firm. Please verify LOreal SA's Risk Adjusted Performance of 0.0388, mean deviation of 0.7438, and Downside Deviation of 0.8837 to check out if the risk estimate we provide is consistent with the expected return of 0.0318%. LOreal SA has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.057, which conveys not very significant fluctuations relative to the market. As returns on the market increase, LOreal SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding LOreal SA is expected to be smaller as well. LOreal SA right now secures a risk of 1.08%. Please verify LOreal SA downside variance, kurtosis, and the relationship between the value at risk and expected short fall , to decide if LOreal SA will be following its current price movements.
Auto-correlation | 0.19 |
Very weak predictability
LOreal SA has very weak predictability. Overlapping area represents the amount of predictability between LOreal SA time series from 26th of November 2023 to 24th of February 2024 and 24th of February 2024 to 24th 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 LOreal SA price movement. The serial correlation of 0.19 indicates that over 19.0% of current LOreal SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 201.26 |
LOreal SA lagged returns against current returns
Autocorrelation, which is LOreal 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 LOreal SA's stock expected returns. We can calculate the autocorrelation of LOreal SA returns to help us make a trade decision. For example, suppose you find that LOreal 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 |
LOreal 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 LOreal SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LOreal SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LOreal SA stock over time.
Current vs Lagged Prices |
| Timeline |
LOreal SA Lagged Returns
When evaluating LOreal SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LOreal SA stock have on its future price. LOreal 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, LOreal SA autocorrelation shows the relationship between LOreal SA stock current value and its past values and can show if there is a momentum factor associated with investing in LOreal SA.
Regressed Prices |
| Timeline |
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Check out LOreal SA Correlation, LOreal SA Volatility and LOreal SA Alpha and Beta module to complement your research on LOreal SA. You can also try the Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Complementary Tools for LOreal Stock analysis
When running LOreal SA's price analysis, check to measure LOreal 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 LOreal SA is operating at the current time. Most of LOreal SA's value examination focuses on studying past and present price action to predict the probability of LOreal 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 LOreal SA's price. Additionally, you may evaluate how the addition of LOreal SA to your portfolios can decrease your overall portfolio volatility.
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LOreal SA 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.