Sanofi SA (France) Market Value
| SAN Stock | EUR 85.23 0.95 1.10% |
| Symbol | Sanofi |
Sanofi 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 Sanofi 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 Sanofi SA.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Sanofi SA on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Sanofi SA or generate 0.0% return on investment in Sanofi SA over 30 days. Sanofi SA is related to or competes with Air Liquide, AXA SA, Danone SA, Vinci SA, and LOreal SA. Sanofi, a healthcare company, engages in the research, development, manufacture, and marketing of therapeutic solutions ... More
Sanofi 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 Sanofi 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 Sanofi SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 5.09 | |||
| Value At Risk | (1.83) | |||
| Potential Upside | 1.13 |
Sanofi SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sanofi SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sanofi SA's standard deviation. In reality, there are many statistical measures that can use Sanofi SA historical prices to predict the future Sanofi SA's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | 1.4 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sanofi 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.
Sanofi SA Backtested Returns
Sanofi SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.15, which indicates the firm had a -0.15% return per unit of risk over the last 3 months. Sanofi SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sanofi SA's Coefficient Of Variation of (627.49), variance of 1.04, and Risk Adjusted Performance of (0.09) to confirm the risk estimate we provide. The entity has a beta of -0.12, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sanofi SA are expected to decrease at a much lower rate. During the bear market, Sanofi SA is likely to outperform the market. Sanofi SA has an expected return of -0.15%. Please make sure to validate Sanofi SA accumulation distribution, and the relationship between the potential upside and day median price , to decide if Sanofi SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.27 |
Weak reverse predictability
Sanofi SA has weak reverse predictability. Overlapping area represents the amount of predictability between Sanofi SA time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Sanofi SA price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Sanofi SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.53 |
Sanofi SA lagged returns against current returns
Autocorrelation, which is Sanofi 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 Sanofi SA's stock expected returns. We can calculate the autocorrelation of Sanofi SA returns to help us make a trade decision. For example, suppose you find that Sanofi 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 |
Sanofi 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 Sanofi SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sanofi SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sanofi SA stock over time.
Current vs Lagged Prices |
| Timeline |
Sanofi SA Lagged Returns
When evaluating Sanofi SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sanofi SA stock have on its future price. Sanofi 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, Sanofi SA autocorrelation shows the relationship between Sanofi SA stock current value and its past values and can show if there is a momentum factor associated with investing in Sanofi SA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Sanofi SA Correlation, Sanofi SA Volatility and Sanofi SA Alpha and Beta module to complement your research on Sanofi SA. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.
Complementary Tools for Sanofi Stock analysis
When running Sanofi SA's price analysis, check to measure Sanofi 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 Sanofi SA is operating at the current time. Most of Sanofi SA's value examination focuses on studying past and present price action to predict the probability of Sanofi 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 Sanofi SA's price. Additionally, you may evaluate how the addition of Sanofi SA to your portfolios can decrease your overall portfolio volatility.
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Sanofi 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.