Allreal Holding (Switzerland) Market Value
| ALLN Stock | CHF 162.00 0.60 0.37% |
| Symbol | Allreal |
Allreal 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 Allreal 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 Allreal Holding.
| 12/26/2022 |
| 12/15/2024 |
If you would invest 0.00 in Allreal Holding on December 26, 2022 and sell it all today you would earn a total of 0.00 from holding Allreal Holding or generate 0.0% return on investment in Allreal Holding over 720 days. Allreal Holding is related to or competes with PSP Swiss, Swiss Prime, Helvetia Holding, and Banque Cantonale. Allreal Holding AG operates as a real estate company in Switzerland More
Allreal 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 Allreal 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 Allreal Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7182 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 3.15 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 1.02 |
Allreal Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allreal Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allreal Holding's standard deviation. In reality, there are many statistical measures that can use Allreal Holding historical prices to predict the future Allreal Holding's volatility.| Risk Adjusted Performance | 0.0178 | |||
| Jensen Alpha | (0.0005) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.084 |
Allreal Holding Backtested Returns
At this stage we consider Allreal Stock to be very steady. Allreal Holding secures Sharpe Ratio (or Efficiency) of 0.0339, which signifies that the company had a 0.0339% return per unit of risk over the last 3 months. We have found thirty technical indicators for Allreal Holding, which you can use to evaluate the volatility of the firm. Please confirm Allreal Holding's Mean Deviation of 0.5287, downside deviation of 0.7182, and Risk Adjusted Performance of 0.0178 to double-check if the risk estimate we provide is consistent with the expected return of 0.023%. Allreal Holding has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.087, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Allreal Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allreal Holding is expected to be smaller as well. Allreal Holding right now shows a risk of 0.68%. Please confirm Allreal Holding coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Allreal Holding will be following its price patterns.
Auto-correlation | -0.35 |
Poor reverse predictability
Allreal Holding has poor reverse predictability. Overlapping area represents the amount of predictability between Allreal Holding time series from 26th of December 2022 to 21st of December 2023 and 21st of December 2023 to 15th of December 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 Allreal Holding price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Allreal Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 19.14 |
Allreal Holding lagged returns against current returns
Autocorrelation, which is Allreal 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 Allreal Holding's stock expected returns. We can calculate the autocorrelation of Allreal Holding returns to help us make a trade decision. For example, suppose you find that Allreal 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 |
Allreal 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 Allreal Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allreal Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allreal Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Allreal Holding Lagged Returns
When evaluating Allreal Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allreal Holding stock have on its future price. Allreal 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, Allreal Holding autocorrelation shows the relationship between Allreal Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Allreal 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 Allreal Stock Analysis
When running Allreal Holding's price analysis, check to measure Allreal 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 Allreal Holding is operating at the current time. Most of Allreal Holding's value examination focuses on studying past and present price action to predict the probability of Allreal 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 Allreal Holding's price. Additionally, you may evaluate how the addition of Allreal Holding to your portfolios can decrease your overall portfolio volatility.