Icape Holding (France) Market Value
| ALICA Stock | 9.00 0.22 2.51% |
| Symbol | Icape |
Icape Holding '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 Icape Holding'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 Icape Holding.
| 12/23/2024 |
| 01/22/2025 |
If you would invest 0.00 in Icape Holding on December 23, 2024 and sell it all today you would earn a total of 0.00 from holding Icape Holding or generate 0.0% return on investment in Icape Holding over 30 days.
Icape Holding 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 Icape Holding'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 Icape Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.3 | |||
| Information Ratio | 0.0394 | |||
| Maximum Drawdown | 28.79 | |||
| Value At Risk | (5.50) | |||
| Potential Upside | 6.48 |
Icape Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Icape Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Icape Holding's standard deviation. In reality, there are many statistical measures that can use Icape Holding historical prices to predict the future Icape Holding's volatility.| Risk Adjusted Performance | 0.049 | |||
| Jensen Alpha | 0.1691 | |||
| Total Risk Alpha | 0.0582 | |||
| Sortino Ratio | 0.0471 | |||
| Treynor Ratio | 0.3764 |
Icape Holding Backtested Returns
Icape Holding appears to be slightly risky, given 3 months investment horizon. Icape Holding holds Efficiency (Sharpe) Ratio of 0.0676, which attests that the entity had a 0.0676 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Icape Holding, which you can use to evaluate the volatility of the firm. Please utilize Icape Holding's Risk Adjusted Performance of 0.049, downside deviation of 3.3, and Market Risk Adjusted Performance of 0.3864 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Icape Holding holds a performance score of 5. The company retains a Market Volatility (i.e., Beta) of 0.48, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Icape Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Icape Holding is expected to be smaller as well. Please check Icape Holding's information ratio, treynor ratio, and the relationship between the downside deviation and total risk alpha , to make a quick decision on whether Icape Holding's current trending patterns will revert.
Auto-correlation | -0.76 |
Almost perfect reverse predictability
Icape Holding has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Icape Holding time series from 23rd of December 2024 to 7th of January 2025 and 7th of January 2025 to 22nd of January 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 Icape Holding price movement. The serial correlation of -0.76 indicates that around 76.0% of current Icape Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.76 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Icape Holding lagged returns against current returns
Autocorrelation, which is Icape Holding 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 Icape Holding's stock expected returns. We can calculate the autocorrelation of Icape Holding returns to help us make a trade decision. For example, suppose you find that Icape Holding 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 |
Icape Holding 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 Icape Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Icape Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Icape Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Icape Holding Lagged Returns
When evaluating Icape Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Icape Holding stock have on its future price. Icape Holding 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, Icape Holding autocorrelation shows the relationship between Icape Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Icape Holding.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Icape Stock Analysis
When running Icape Holding's price analysis, check to measure Icape Holding'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 Icape Holding is operating at the current time. Most of Icape Holding's value examination focuses on studying past and present price action to predict the probability of Icape Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Icape Holding's price. Additionally, you may evaluate how the addition of Icape Holding to your portfolios can decrease your overall portfolio volatility.