Alsea SAB (Mexico) Market Value
ALSEA Stock | MXN 81.98 0.03 0.04% |
Symbol | Alsea |
Alsea SAB '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 Alsea SAB'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 Alsea SAB.
02/27/2024 |
| 03/28/2024 |
If you would invest 0.00 in Alsea SAB on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Alsea SAB De or generate 0.0% return on investment in Alsea SAB over 30 days. Alsea SAB is related to or competes with Steel Dynamics, Monster Beverage, Samsung Electronics, Grupo Sports, Applied Materials, and McEwen Mining. Alsea, S.A.B. de C.V. operates restaurants in Latin America and Europe More
Alsea SAB 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 Alsea SAB'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 Alsea SAB De upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.19 | |||
Information Ratio | 0.1652 | |||
Maximum Drawdown | 5.53 | |||
Value At Risk | (2.06) | |||
Potential Upside | 2.94 |
Alsea SAB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alsea SAB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alsea SAB's standard deviation. In reality, there are many statistical measures that can use Alsea SAB historical prices to predict the future Alsea SAB's volatility.Risk Adjusted Performance | 0.1486 | |||
Jensen Alpha | 0.2982 | |||
Total Risk Alpha | 0.0381 | |||
Sortino Ratio | 0.2036 | |||
Treynor Ratio | 0.6593 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alsea SAB'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.
Alsea SAB De Backtested Returns
Alsea SAB appears to be very steady, given 3 months investment horizon. Alsea SAB De secures Sharpe Ratio (or Efficiency) of 0.27, which signifies that the company had a 0.27% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Alsea SAB De, which you can use to evaluate the volatility of the firm. Please makes use of Alsea SAB's Downside Deviation of 1.19, risk adjusted performance of 0.1486, and Mean Deviation of 1.13 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alsea SAB holds a performance score of 20. The firm shows a Beta (market volatility) of 0.56, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Alsea SAB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alsea SAB is expected to be smaller as well. Please check Alsea SAB's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Alsea SAB's price patterns will revert.
Auto-correlation | 0.84 |
Very good predictability
Alsea SAB De has very good predictability. Overlapping area represents the amount of predictability between Alsea SAB time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 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 Alsea SAB De price movement. The serial correlation of 0.84 indicates that around 84.0% of current Alsea SAB price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.84 | |
Spearman Rank Test | 0.75 | |
Residual Average | 0.0 | |
Price Variance | 15.24 |
Alsea SAB De lagged returns against current returns
Autocorrelation, which is Alsea SAB 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 Alsea SAB's stock expected returns. We can calculate the autocorrelation of Alsea SAB returns to help us make a trade decision. For example, suppose you find that Alsea SAB 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 |
Alsea SAB 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 Alsea SAB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alsea SAB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alsea SAB stock over time.
Current vs Lagged Prices |
Timeline |
Alsea SAB Lagged Returns
When evaluating Alsea SAB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alsea SAB stock have on its future price. Alsea SAB 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, Alsea SAB autocorrelation shows the relationship between Alsea SAB stock current value and its past values and can show if there is a momentum factor associated with investing in Alsea SAB De.
Regressed Prices |
Timeline |
Pair Trading with Alsea SAB
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 Alsea SAB 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 Alsea SAB will appreciate offsetting losses from the drop in the long position's value.Moving together with Alsea Stock
0.62 | TSMN | Taiwan Semiconductor | PairCorr |
0.8 | JPM | JPMorgan Chase | PairCorr |
Moving against Alsea Stock
0.56 | SMSNN | Samsung Electronics | PairCorr |
The ability to find closely correlated positions to Alsea SAB could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Alsea SAB 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 Alsea SAB - 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 Alsea SAB De to buy it.
The correlation of Alsea SAB 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 Alsea SAB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alsea SAB De 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 Alsea SAB 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 Alsea SAB Correlation, Alsea SAB Volatility and Alsea SAB Alpha and Beta module to complement your research on Alsea SAB. Note that the Alsea SAB De information on this page should be used as a complementary analysis to other Alsea SAB'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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
Complementary Tools for Alsea Stock analysis
When running Alsea SAB's price analysis, check to measure Alsea SAB'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 Alsea SAB is operating at the current time. Most of Alsea SAB's value examination focuses on studying past and present price action to predict the probability of Alsea SAB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alsea SAB's price. Additionally, you may evaluate how the addition of Alsea SAB to your portfolios can decrease your overall portfolio volatility.
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Alsea SAB 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.