STMicroelectronics (Brazil) Market Value
| STMN34 Stock | 204.63 2.43 1.20% |
| Symbol | STMicroelectronics |
STMicroelectronics '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 STMicroelectronics' 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 STMicroelectronics.
| 04/17/2024 |
| 05/17/2024 |
If you would invest 0.00 in STMicroelectronics on April 17, 2024 and sell it all today you would earn a total of 0.00 from holding STMicroelectronics NV or generate 0.0% return on investment in STMicroelectronics over 30 days. STMicroelectronics is related to or competes with Taiwan Semiconductor, Broadcom, Qualcomm, NXP Semiconductors, and . More
STMicroelectronics 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 STMicroelectronics' 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 STMicroelectronics NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 12.05 | |||
| Value At Risk | (4.47) | |||
| Potential Upside | 2.59 |
STMicroelectronics Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for STMicroelectronics' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as STMicroelectronics' standard deviation. In reality, there are many statistical measures that can use STMicroelectronics historical prices to predict the future STMicroelectronics' volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | 0.1131 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of STMicroelectronics' 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.
STMicroelectronics Backtested Returns
STMicroelectronics owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0895, which indicates the firm had a -0.0895% return per unit of standard deviation over the last 3 months. STMicroelectronics NV exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate STMicroelectronics' risk adjusted performance of (0.02), and Variance of 3.13 to confirm the risk estimate we provide. The entity has a beta of -0.83, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning STMicroelectronics are expected to decrease at a much lower rate. During the bear market, STMicroelectronics is likely to outperform the market. STMicroelectronics has an expected return of -0.15%. Please make sure to validate STMicroelectronics kurtosis, day typical price, and the relationship between the potential upside and rate of daily change , to decide if STMicroelectronics performance from the past will be repeated at some future point.
Auto-correlation | -0.1 |
Very weak reverse predictability
STMicroelectronics NV has very weak reverse predictability. Overlapping area represents the amount of predictability between STMicroelectronics time series from 17th of April 2024 to 2nd of May 2024 and 2nd of May 2024 to 17th 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 STMicroelectronics price movement. The serial correlation of -0.1 indicates that less than 10.0% of current STMicroelectronics price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.1 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 1.82 |
STMicroelectronics lagged returns against current returns
Autocorrelation, which is STMicroelectronics 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 STMicroelectronics' stock expected returns. We can calculate the autocorrelation of STMicroelectronics returns to help us make a trade decision. For example, suppose you find that STMicroelectronics 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 |
STMicroelectronics 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 STMicroelectronics stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if STMicroelectronics stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in STMicroelectronics stock over time.
Current vs Lagged Prices |
| Timeline |
STMicroelectronics Lagged Returns
When evaluating STMicroelectronics' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of STMicroelectronics stock have on its future price. STMicroelectronics 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, STMicroelectronics autocorrelation shows the relationship between STMicroelectronics stock current value and its past values and can show if there is a momentum factor associated with investing in STMicroelectronics NV.
Regressed Prices |
| Timeline |
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Check out STMicroelectronics Correlation, STMicroelectronics Volatility and STMicroelectronics Alpha and Beta module to complement your research on STMicroelectronics. Note that the STMicroelectronics information on this page should be used as a complementary analysis to other STMicroelectronics' 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Complementary Tools for STMicroelectronics Stock analysis
When running STMicroelectronics' price analysis, check to measure STMicroelectronics' 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 STMicroelectronics is operating at the current time. Most of STMicroelectronics' value examination focuses on studying past and present price action to predict the probability of STMicroelectronics' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move STMicroelectronics' price. Additionally, you may evaluate how the addition of STMicroelectronics to your portfolios can decrease your overall portfolio volatility.
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STMicroelectronics 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.