Danone SA (France) Market Value
| BN Stock | EUR 59.76 0.16 0.27% |
| Symbol | Danone |
Danone SA '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 Danone SA'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 Danone SA.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Danone SA on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Danone SA or generate 0.0% return on investment in Danone SA over 30 days. Danone SA is related to or competes with LOreal SA, Sanofi SA, Air Liquide, AXA SA, and Carrefour. Danone S.A. operates in the food and beverage industry in Europe, Noram, Latin America, the Asia Pacific, Africa, and th... More
Danone SA 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 Danone SA'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 Danone SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 3.07 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.16 |
Danone SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Danone SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Danone SA's standard deviation. In reality, there are many statistical measures that can use Danone SA historical prices to predict the future Danone SA's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | (3.23) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Danone SA'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.
Danone SA Backtested Returns
Danone SA secures Sharpe Ratio (or Efficiency) of -0.0565, which denotes the company had a -0.0565% return per unit of risk over the last 3 months. Danone SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Danone SA's Standard Deviation of 0.6623, mean deviation of 0.5065, and Variance of 0.4387 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0179, which means not very significant fluctuations relative to the market. As returns on the market increase, Danone SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Danone SA is expected to be smaller as well. Danone SA has an expected return of -0.0385%. Please make sure to confirm Danone SA treynor ratio, skewness, rate of daily change, as well as the relationship between the value at risk and accumulation distribution , to decide if Danone SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.88 |
Excellent reverse predictability
Danone SA has excellent reverse predictability. Overlapping area represents the amount of predictability between Danone SA 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 Danone SA price movement. The serial correlation of -0.88 indicates that approximately 88.0% of current Danone SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.88 | |
| Spearman Rank Test | -0.92 | |
| Residual Average | 0.0 | |
| Price Variance | 0.81 |
Danone SA lagged returns against current returns
Autocorrelation, which is Danone SA 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 Danone SA's stock expected returns. We can calculate the autocorrelation of Danone SA returns to help us make a trade decision. For example, suppose you find that Danone SA 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 |
Danone SA 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 Danone SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Danone SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Danone SA stock over time.
Current vs Lagged Prices |
| Timeline |
Danone SA Lagged Returns
When evaluating Danone SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Danone SA stock have on its future price. Danone SA 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, Danone SA autocorrelation shows the relationship between Danone SA stock current value and its past values and can show if there is a momentum factor associated with investing in Danone 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 Danone SA 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, Danone SA's short interest history, or implied volatility extrapolated from Danone SA options trading.
Pair Trading with Danone SA
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 Danone SA 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 Danone SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Danone Stock
| 0.61 | SAVE | Savencia SA Earnings Call Today | PairCorr |
| 0.77 | BON | Bonduelle SCA Earnings Call This Week | PairCorr |
Moving against Danone Stock
| 0.71 | ALO | Alstom SA | PairCorr |
| 0.7 | TIPI | Tipiak Socit Anonyme | PairCorr |
| 0.65 | SLB | Schlumberger NV | PairCorr |
| 0.62 | SQI | SQLI SA | PairCorr |
| 0.57 | LOUP | Societe LDC SA | PairCorr |
The ability to find closely correlated positions to Danone SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Danone SA 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 Danone SA - 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 Danone SA to buy it.
The correlation of Danone SA 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 Danone SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Danone SA 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 Danone SA 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 Danone SA Correlation, Danone SA Volatility and Danone SA Alpha and Beta module to complement your research on Danone SA. You can also try the Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
Complementary Tools for Danone Stock analysis
When running Danone SA's price analysis, check to measure Danone SA'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 Danone SA is operating at the current time. Most of Danone SA's value examination focuses on studying past and present price action to predict the probability of Danone SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Danone SA's price. Additionally, you may evaluate how the addition of Danone SA to your portfolios can decrease your overall portfolio volatility.
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. |
Danone SA 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.