Dassault Aviation (France) Market Value
| AM Stock | EUR 205.40 0.20 0.1% |
| Symbol | Dassault |
Dassault Aviation '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 Dassault Aviation'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 Dassault Aviation.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Dassault Aviation on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Dassault Aviation SA or generate 0.0% return on investment in Dassault Aviation over 30 days. Dassault Aviation is related to or competes with Dassault Systemes, Safran SA, Eiffage SA, and Valeo SA. Dassault Aviation SA engages in the aeronautical business in France and internationally More
Dassault Aviation 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 Dassault Aviation'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 Dassault Aviation SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.61 | |||
| Information Ratio | 0.113 | |||
| Maximum Drawdown | 10.83 | |||
| Value At Risk | (2.05) | |||
| Potential Upside | 3.03 |
Dassault Aviation Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dassault Aviation's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dassault Aviation's standard deviation. In reality, there are many statistical measures that can use Dassault Aviation historical prices to predict the future Dassault Aviation's volatility.| Risk Adjusted Performance | 0.1106 | |||
| Jensen Alpha | 0.277 | |||
| Total Risk Alpha | 0.0433 | |||
| Sortino Ratio | 0.1241 | |||
| Treynor Ratio | 3.1 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Dassault Aviation'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.
Dassault Aviation Backtested Returns
Dassault Aviation appears to be very steady, given 3 months investment horizon. Dassault Aviation secures Sharpe Ratio (or Efficiency) of 0.17, which denotes the company had a 0.17% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Dassault Aviation SA, which you can use to evaluate the volatility of the firm. Please utilize Dassault Aviation's Mean Deviation of 1.25, downside deviation of 1.61, and Coefficient Of Variation of 598.81 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Dassault Aviation holds a performance score of 12. The firm shows a Beta (market volatility) of 0.0919, which means not very significant fluctuations relative to the market. As returns on the market increase, Dassault Aviation's returns are expected to increase less than the market. However, during the bear market, the loss of holding Dassault Aviation is expected to be smaller as well. Please check Dassault Aviation's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Dassault Aviation's price patterns will revert.
Auto-correlation | 0.12 |
Insignificant predictability
Dassault Aviation SA has insignificant predictability. Overlapping area represents the amount of predictability between Dassault Aviation 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 Dassault Aviation price movement. The serial correlation of 0.12 indicates that less than 12.0% of current Dassault Aviation price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.12 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 5.26 |
Dassault Aviation lagged returns against current returns
Autocorrelation, which is Dassault Aviation 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 Dassault Aviation's stock expected returns. We can calculate the autocorrelation of Dassault Aviation returns to help us make a trade decision. For example, suppose you find that Dassault Aviation 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 |
Dassault Aviation 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 Dassault Aviation stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dassault Aviation stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dassault Aviation stock over time.
Current vs Lagged Prices |
| Timeline |
Dassault Aviation Lagged Returns
When evaluating Dassault Aviation's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dassault Aviation stock have on its future price. Dassault Aviation 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, Dassault Aviation autocorrelation shows the relationship between Dassault Aviation stock current value and its past values and can show if there is a momentum factor associated with investing in Dassault Aviation SA.
Regressed Prices |
| Timeline |
Pair Trading with Dassault Aviation
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 Dassault Aviation 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 Dassault Aviation will appreciate offsetting losses from the drop in the long position's value.Moving together with Dassault Stock
| 0.78 | AIR | Airbus Group SE Earnings Call Tomorrow | PairCorr |
| 0.84 | SAF | Safran SA Earnings Call This Week | PairCorr |
| 0.92 | HO | Thales SA | PairCorr |
| 0.75 | FII | Lisi SA Earnings Call Tomorrow | PairCorr |
Moving against Dassault Stock
| 0.71 | ALENE | Enertime SAS Earnings Call Tomorrow | PairCorr |
| 0.7 | MLGEQ | Gentlemens Equity | PairCorr |
| 0.53 | ALALO | Acheter Louer | PairCorr |
The ability to find closely correlated positions to Dassault Aviation could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dassault Aviation 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 Dassault Aviation - 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 Dassault Aviation SA to buy it.
The correlation of Dassault Aviation 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 Dassault Aviation moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dassault Aviation 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 Dassault Aviation 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 Dassault Aviation Correlation, Dassault Aviation Volatility and Dassault Aviation Alpha and Beta module to complement your research on Dassault Aviation. You can also try the Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
Complementary Tools for Dassault Stock analysis
When running Dassault Aviation's price analysis, check to measure Dassault Aviation'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 Dassault Aviation is operating at the current time. Most of Dassault Aviation's value examination focuses on studying past and present price action to predict the probability of Dassault Aviation's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Dassault Aviation's price. Additionally, you may evaluate how the addition of Dassault Aviation to your portfolios can decrease your overall portfolio volatility.
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Dassault Aviation 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.