Alior Bank (Poland) Market Value
| ALR Stock | 91.16 1.18 1.28% |
| Symbol | Alior |
Alior Bank '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 Alior Bank'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 Alior Bank.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Alior Bank on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Alior Bank SA or generate 0.0% return on investment in Alior Bank over 30 days. Alior Bank is related to or competes with 3R Games, Mercator Medical, MCI Management, CI Games, Immobile, Ultimate Games, and X Trade. More
Alior Bank 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 Alior Bank'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 Alior Bank SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 12.06 | |||
| Value At Risk | (3.88) | |||
| Potential Upside | 4.5 |
Alior Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alior Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alior Bank's standard deviation. In reality, there are many statistical measures that can use Alior Bank historical prices to predict the future Alior Bank's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.50) | |||
| Treynor Ratio | 0.9713 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alior Bank'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.
Alior Bank SA Backtested Returns
Alior Bank SA secures Sharpe Ratio (or Efficiency) of -0.0441, which signifies that the company had a -0.0441% return per unit of risk over the last 3 months. Alior Bank SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Alior Bank's Risk Adjusted Performance of (0.04), mean deviation of 1.88, and Standard Deviation of 2.5 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Alior Bank are expected to decrease at a much lower rate. During the bear market, Alior Bank is likely to outperform the market. At this point, Alior Bank SA has a negative expected return of -0.11%. Please make sure to confirm Alior Bank's skewness, and the relationship between the treynor ratio and rate of daily change , to decide if Alior Bank SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.04 |
Very weak reverse predictability
Alior Bank SA has very weak reverse predictability. Overlapping area represents the amount of predictability between Alior Bank time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Alior Bank SA price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Alior Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | -0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 4.39 |
Alior Bank SA lagged returns against current returns
Autocorrelation, which is Alior Bank 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 Alior Bank's stock expected returns. We can calculate the autocorrelation of Alior Bank returns to help us make a trade decision. For example, suppose you find that Alior Bank 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 |
Alior Bank 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 Alior Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alior Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alior Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Alior Bank Lagged Returns
When evaluating Alior Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alior Bank stock have on its future price. Alior Bank 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, Alior Bank autocorrelation shows the relationship between Alior Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Alior Bank SA.
Regressed Prices |
| Timeline |
Pair Trading with Alior Bank
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Alior Bank position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Alior Bank will appreciate offsetting losses from the drop in the long position's value.Moving against Alior Stock
The ability to find closely correlated positions to Alior Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Alior Bank when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Alior Bank - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Alior Bank SA to buy it.
The correlation of Alior Bank is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Alior Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alior Bank SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Alior Bank can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Alior Stock Analysis
When running Alior Bank's price analysis, check to measure Alior Bank'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 Alior Bank is operating at the current time. Most of Alior Bank's value examination focuses on studying past and present price action to predict the probability of Alior Bank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alior Bank's price. Additionally, you may evaluate how the addition of Alior Bank to your portfolios can decrease your overall portfolio volatility.