Vallourec (France) Market Value
| VK Stock | EUR 16.36 0.02 0.12% |
| Symbol | Vallourec |
Vallourec '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 Vallourec'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 Vallourec.
| 02/14/2024 |
| 05/14/2024 |
If you would invest 0.00 in Vallourec on February 14, 2024 and sell it all today you would earn a total of 0.00 from holding Vallourec or generate 0.0% return on investment in Vallourec over 90 days. Vallourec is related to or competes with Compagnie, and Bouygues. Vallourec S.A., through its subsidiaries, provides tubular solutions for oil and gas, industry, and power generation in ... More
Vallourec 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 Vallourec'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 Vallourec upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.58 | |||
| Information Ratio | 0.1163 | |||
| Maximum Drawdown | 9.68 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 3.75 |
Vallourec Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vallourec's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vallourec's standard deviation. In reality, there are many statistical measures that can use Vallourec historical prices to predict the future Vallourec's volatility.| Risk Adjusted Performance | 0.1037 | |||
| Jensen Alpha | 0.3095 | |||
| Total Risk Alpha | 0.0809 | |||
| Sortino Ratio | 0.1402 | |||
| Treynor Ratio | (0.91) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vallourec'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.
Vallourec Backtested Returns
Vallourec appears to be not too volatile, given 3 months investment horizon. Vallourec owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the firm had a 0.19% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vallourec, which you can use to evaluate the volatility of the company. Please review Vallourec's Risk Adjusted Performance of 0.1037, semi deviation of 1.29, and Coefficient Of Variation of 636.78 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Vallourec holds a performance score of 14. The entity has a beta of -0.32, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Vallourec are expected to decrease at a much lower rate. During the bear market, Vallourec is likely to outperform the market. Please check Vallourec's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Vallourec's existing price patterns will revert.
Auto-correlation | -0.84 |
Excellent reverse predictability
Vallourec has excellent reverse predictability. Overlapping area represents the amount of predictability between Vallourec time series from 14th of February 2024 to 30th of March 2024 and 30th of March 2024 to 14th 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 Vallourec price movement. The serial correlation of -0.84 indicates that around 84.0% of current Vallourec price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.84 | |
| Spearman Rank Test | -0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 0.48 |
Vallourec lagged returns against current returns
Autocorrelation, which is Vallourec 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 Vallourec's stock expected returns. We can calculate the autocorrelation of Vallourec returns to help us make a trade decision. For example, suppose you find that Vallourec 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 |
Vallourec 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 Vallourec stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vallourec stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vallourec stock over time.
Current vs Lagged Prices |
| Timeline |
Vallourec Lagged Returns
When evaluating Vallourec's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vallourec stock have on its future price. Vallourec 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, Vallourec autocorrelation shows the relationship between Vallourec stock current value and its past values and can show if there is a momentum factor associated with investing in Vallourec.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Vallourec Correlation, Vallourec Volatility and Vallourec Alpha and Beta module to complement your research on Vallourec. You can also try the Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Complementary Tools for Vallourec Stock analysis
When running Vallourec's price analysis, check to measure Vallourec'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 Vallourec is operating at the current time. Most of Vallourec's value examination focuses on studying past and present price action to predict the probability of Vallourec's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vallourec's price. Additionally, you may evaluate how the addition of Vallourec to your portfolios can decrease your overall portfolio volatility.
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Vallourec 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.