Vergnet (France) Market Value
| ALVER Stock | EUR 0.28 0.02 6.67% |
| Symbol | Vergnet |
Vergnet '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 Vergnet'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 Vergnet.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Vergnet on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vergnet or generate 0.0% return on investment in Vergnet over 30 days. Vergnet is related to or competes with Gaussin, DBT SA, and Neovacs SA. Vergnet SA designs, manufactures, engineers, and contracts renewable energy technologies worldwide More
Vergnet 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 Vergnet'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 Vergnet upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 11.93 | |||
| Information Ratio | 0.0144 | |||
| Maximum Drawdown | 268.98 | |||
| Value At Risk | (20.00) | |||
| Potential Upside | 7.79 |
Vergnet Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vergnet's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vergnet's standard deviation. In reality, there are many statistical measures that can use Vergnet historical prices to predict the future Vergnet's volatility.| Risk Adjusted Performance | 0.0206 | |||
| Jensen Alpha | 0.2083 | |||
| Total Risk Alpha | (3.33) | |||
| Sortino Ratio | 0.0372 | |||
| Treynor Ratio | 0.1295 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vergnet'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.
Vergnet Backtested Returns
Vergnet appears to be out of control, given 3 months investment horizon. Vergnet owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0172, which indicates the firm had a 0.0172% return per unit of risk over the last 3 months. By inspecting Vergnet's technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please review Vergnet's Risk Adjusted Performance of 0.0206, coefficient of variation of 5800.55, and Semi Deviation of 10.65 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Vergnet holds a performance score of 1. The entity has a beta of 4.03, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Vergnet will likely underperform. Please check Vergnet's maximum drawdown and the relationship between the expected short fall and period momentum indicator , to make a quick decision on whether Vergnet's existing price patterns will revert.
Auto-correlation | 0.87 |
Very good predictability
Vergnet has very good predictability. Overlapping area represents the amount of predictability between Vergnet 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 Vergnet price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current Vergnet price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.87 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Vergnet lagged returns against current returns
Autocorrelation, which is Vergnet 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 Vergnet's stock expected returns. We can calculate the autocorrelation of Vergnet returns to help us make a trade decision. For example, suppose you find that Vergnet 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 |
Vergnet 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 Vergnet stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vergnet stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vergnet stock over time.
Current vs Lagged Prices |
| Timeline |
Vergnet Lagged Returns
When evaluating Vergnet's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vergnet stock have on its future price. Vergnet 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, Vergnet autocorrelation shows the relationship between Vergnet stock current value and its past values and can show if there is a momentum factor associated with investing in Vergnet.
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 Vergnet 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, Vergnet's short interest history, or implied volatility extrapolated from Vergnet options trading.
Pair Trading with Vergnet
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 Vergnet 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 Vergnet will appreciate offsetting losses from the drop in the long position's value.Moving together with Vergnet Stock
| 0.66 | FNTS | Finatis Socit Anonyme | PairCorr |
Moving against Vergnet Stock
| 0.75 | GLE | Societe Generale | PairCorr |
| 0.72 | ACA | Credit Agricole SA | PairCorr |
| 0.66 | EURS | Foncire Euris SA | PairCorr |
| 0.64 | AM | Dassault Aviation | PairCorr |
| 0.63 | BUR | Burelle SA | PairCorr |
The ability to find closely correlated positions to Vergnet could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vergnet 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 Vergnet - 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 Vergnet to buy it.
The correlation of Vergnet 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 Vergnet moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vergnet 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 Vergnet 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 Vergnet Correlation, Vergnet Volatility and Vergnet Alpha and Beta module to complement your research on Vergnet. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Complementary Tools for Vergnet Stock analysis
When running Vergnet's price analysis, check to measure Vergnet'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 Vergnet is operating at the current time. Most of Vergnet's value examination focuses on studying past and present price action to predict the probability of Vergnet's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vergnet's price. Additionally, you may evaluate how the addition of Vergnet to your portfolios can decrease your overall portfolio volatility.
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Vergnet 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.