Valeo SA (France) Market Value
| FR Stock | EUR 11.97 0.21 1.72% |
| Symbol | Valeo |
Valeo 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 Valeo 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 Valeo SA.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Valeo SA on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Valeo SA or generate 0.0% return on investment in Valeo SA over 30 days. Valeo SA is related to or competes with Savencia, Compagnie, Akwel SA, and Wendel. Valeo SE designs, produces, and sells components, systems, and services for automakers in France, other European countri... More
Valeo 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 Valeo 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 Valeo SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.47 | |||
| Information Ratio | 0.0033 | |||
| Maximum Drawdown | 11.62 | |||
| Value At Risk | (3.75) | |||
| Potential Upside | 4.21 |
Valeo SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Valeo SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Valeo SA's standard deviation. In reality, there are many statistical measures that can use Valeo SA historical prices to predict the future Valeo SA's volatility.| Risk Adjusted Performance | 0.0345 | |||
| Jensen Alpha | 0.0751 | |||
| Total Risk Alpha | (0.23) | |||
| Sortino Ratio | 0.0031 | |||
| Treynor Ratio | 0.4426 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Valeo 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.
Valeo SA Backtested Returns
We consider Valeo SA not too volatile. Valeo SA owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0044, which indicates the firm had a 0.0044% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Valeo SA, which you can use to evaluate the volatility of the company. Please validate Valeo SA's Risk Adjusted Performance of 0.0345, coefficient of variation of 2302.22, and Semi Deviation of 2.41 to confirm if the risk estimate we provide is consistent with the expected return of 0.0102%. The entity has a beta of 0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Valeo SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Valeo SA is expected to be smaller as well. Valeo SA right now has a risk of 2.31%. Please validate Valeo SA standard deviation, treynor ratio, downside variance, as well as the relationship between the total risk alpha and value at risk , to decide if Valeo SA will be following its existing price patterns.
Auto-correlation | -0.43 |
Modest reverse predictability
Valeo SA has modest reverse predictability. Overlapping area represents the amount of predictability between Valeo SA time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 Valeo SA price movement. The serial correlation of -0.43 indicates that just about 43.0% of current Valeo SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.43 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Valeo SA lagged returns against current returns
Autocorrelation, which is Valeo 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 Valeo SA's stock expected returns. We can calculate the autocorrelation of Valeo SA returns to help us make a trade decision. For example, suppose you find that Valeo 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 |
Valeo 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 Valeo SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Valeo SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Valeo SA stock over time.
Current vs Lagged Prices |
| Timeline |
Valeo SA Lagged Returns
When evaluating Valeo SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Valeo SA stock have on its future price. Valeo 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, Valeo SA autocorrelation shows the relationship between Valeo SA stock current value and its past values and can show if there is a momentum factor associated with investing in Valeo SA.
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 Valeo SA 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, Valeo SA's short interest history, or implied volatility extrapolated from Valeo SA options trading.
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Complementary Tools for Valeo Stock analysis
When running Valeo SA's price analysis, check to measure Valeo 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 Valeo SA is operating at the current time. Most of Valeo SA's value examination focuses on studying past and present price action to predict the probability of Valeo 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 Valeo SA's price. Additionally, you may evaluate how the addition of Valeo SA to your portfolios can decrease your overall portfolio volatility.
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Valeo 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.