Societe Generale (France) Market Value
| GLE Stock | EUR 25.39 0.34 1.36% |
| Symbol | Societe |
Societe Generale '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 Societe Generale'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 Societe Generale.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Societe Generale on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Societe Generale SA or generate 0.0% return on investment in Societe Generale over 30 days. Societe Generale is related to or competes with BNP Paribas, Credit Agricole, AXA SA, Renault SA, and Sanofi SA. Socit Gnrale Socit anonyme provides financial services in Europe, the Americas, Asia, Oceania, Africa, and France More
Societe Generale 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 Societe Generale'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 Societe Generale SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.47 | |||
| Information Ratio | 0.0297 | |||
| Maximum Drawdown | 5.34 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 1.85 |
Societe Generale Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Societe Generale's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Societe Generale's standard deviation. In reality, there are many statistical measures that can use Societe Generale historical prices to predict the future Societe Generale's volatility.| Risk Adjusted Performance | 0.0691 | |||
| Jensen Alpha | 0.1326 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0241 | |||
| Treynor Ratio | (0.51) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Societe Generale'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.
Societe Generale Backtested Returns
We consider Societe Generale very steady. Societe Generale owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.1, which indicates the firm had a 0.1% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Societe Generale SA, which you can use to evaluate the volatility of the company. Please validate Societe Generale's Coefficient Of Variation of 959.03, semi deviation of 1.28, and Risk Adjusted Performance of 0.0691 to confirm if the risk estimate we provide is consistent with the expected return of 0.13%. Societe Generale has a performance score of 8 on a scale of 0 to 100. The entity has a beta of -0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Societe Generale are expected to decrease at a much lower rate. During the bear market, Societe Generale is likely to outperform the market. Societe Generale right now has a risk of 1.23%. Please validate Societe Generale treynor ratio, expected short fall, and the relationship between the jensen alpha and potential upside , to decide if Societe Generale will be following its existing price patterns.
Auto-correlation | -0.62 |
Very good reverse predictability
Societe Generale SA has very good reverse predictability. Overlapping area represents the amount of predictability between Societe Generale time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Societe Generale price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Societe Generale price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Societe Generale lagged returns against current returns
Autocorrelation, which is Societe Generale 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 Societe Generale's stock expected returns. We can calculate the autocorrelation of Societe Generale returns to help us make a trade decision. For example, suppose you find that Societe Generale 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 |
Societe Generale 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 Societe Generale stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Societe Generale stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Societe Generale stock over time.
Current vs Lagged Prices |
| Timeline |
Societe Generale Lagged Returns
When evaluating Societe Generale's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Societe Generale stock have on its future price. Societe Generale 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, Societe Generale autocorrelation shows the relationship between Societe Generale stock current value and its past values and can show if there is a momentum factor associated with investing in Societe Generale 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 Societe Generale 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, Societe Generale's short interest history, or implied volatility extrapolated from Societe Generale options trading.
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Try AI Portfolio ArchitectCheck out Societe Generale Correlation, Societe Generale Volatility and Societe Generale Alpha and Beta module to complement your research on Societe Generale. Note that the Societe Generale information on this page should be used as a complementary analysis to other Societe Generale'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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Societe Stock analysis
When running Societe Generale's price analysis, check to measure Societe Generale'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 Societe Generale is operating at the current time. Most of Societe Generale's value examination focuses on studying past and present price action to predict the probability of Societe Generale's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Societe Generale's price. Additionally, you may evaluate how the addition of Societe Generale to your portfolios can decrease your overall portfolio volatility.
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Societe Generale 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.