ABC Arbitrage (France) Market Value
| ABCA Stock | EUR 5.45 0.10 1.87% |
| Symbol | ABC |
ABC Arbitrage '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 ABC Arbitrage'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 ABC Arbitrage.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in ABC Arbitrage on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding ABC arbitrage SA or generate 0.0% return on investment in ABC Arbitrage over 90 days. ABC Arbitrage is related to or competes with CBO Territoria, Rubis SCA, Nexity, Gaztransport Technigaz, and Mtropole Tlvision. ABC Arbitrage SA, together with its subsidiaries, develops arbitrage strategies for liquid assets worldwide More
ABC Arbitrage 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 ABC Arbitrage'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 ABC arbitrage SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.2988 | |||
| Maximum Drawdown | 5.76 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.71 |
ABC Arbitrage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABC Arbitrage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABC Arbitrage's standard deviation. In reality, there are many statistical measures that can use ABC Arbitrage historical prices to predict the future ABC Arbitrage's volatility.| Risk Adjusted Performance | 0.1736 | |||
| Jensen Alpha | 0.2063 | |||
| Total Risk Alpha | 0.3079 | |||
| Sortino Ratio | 0.2853 | |||
| Treynor Ratio | 0.9359 |
ABC arbitrage SA Backtested Returns
ABC Arbitrage appears to be not too volatile, given 3 months investment horizon. ABC arbitrage SA retains Efficiency (Sharpe Ratio) of 0.28, which signifies that the company had a 0.28 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for ABC Arbitrage, which you can use to evaluate the volatility of the entity. Please makes use of ABC Arbitrage's market risk adjusted performance of 0.9459, and Coefficient Of Variation of 504.9 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ABC Arbitrage holds a performance score of 22. The firm owns a Beta (Systematic Risk) of 0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ABC Arbitrage's returns are expected to increase less than the market. However, during the bear market, the loss of holding ABC Arbitrage is expected to be smaller as well. Please check ABC Arbitrage's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether ABC Arbitrage's current price history will revert.
Auto-correlation | 0.72 |
Good predictability
ABC arbitrage SA has good predictability. Overlapping area represents the amount of predictability between ABC Arbitrage time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ABC arbitrage SA price movement. The serial correlation of 0.72 indicates that around 72.0% of current ABC Arbitrage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
ABC arbitrage SA lagged returns against current returns
Autocorrelation, which is ABC Arbitrage 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 ABC Arbitrage's stock expected returns. We can calculate the autocorrelation of ABC Arbitrage returns to help us make a trade decision. For example, suppose you find that ABC Arbitrage 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 |
ABC Arbitrage 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 ABC Arbitrage stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABC Arbitrage stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABC Arbitrage stock over time.
Current vs Lagged Prices |
| Timeline |
ABC Arbitrage Lagged Returns
When evaluating ABC Arbitrage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABC Arbitrage stock have on its future price. ABC Arbitrage 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, ABC Arbitrage autocorrelation shows the relationship between ABC Arbitrage stock current value and its past values and can show if there is a momentum factor associated with investing in ABC arbitrage SA.
Regressed Prices |
| Timeline |
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ABC Arbitrage financial ratios help investors to determine whether ABC Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in ABC with respect to the benefits of owning ABC Arbitrage security.