Allianz SE (Germany) Market Value
| ALV Stock | EUR 346.60 1.30 0.37% |
| Symbol | Allianz |
Allianz SE '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 Allianz SE'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 Allianz SE.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Allianz SE on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding Allianz SE or generate 0.0% return on investment in Allianz SE over 90 days. Allianz SE is related to or competes with Geely Automobile, Addtech AB, Singapore Telecommunicatio, and ACCSYS TECHPLC. Allianz SE, together with its subsidiaries, provides property-casualty insurance, lifehealth insurance, and asset manage... More
Allianz SE 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 Allianz SE'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 Allianz SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9395 | |||
| Information Ratio | 0.3775 | |||
| Maximum Drawdown | 4.19 | |||
| Value At Risk | (1.44) | |||
| Potential Upside | 1.82 |
Allianz SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allianz SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allianz SE's standard deviation. In reality, there are many statistical measures that can use Allianz SE historical prices to predict the future Allianz SE's volatility.| Risk Adjusted Performance | 0.2012 | |||
| Jensen Alpha | 0.2388 | |||
| Total Risk Alpha | 0.3721 | |||
| Sortino Ratio | 0.3785 | |||
| Treynor Ratio | 1.19 |
Allianz SE Backtested Returns
Allianz SE appears to be very steady, given 3 months investment horizon. Allianz SE secures Sharpe Ratio (or Efficiency) of 0.27, which signifies that the company had a 0.27 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Allianz SE, which you can use to evaluate the volatility of the firm. Please makes use of Allianz SE's Downside Deviation of 0.9395, mean deviation of 0.7311, and Risk Adjusted Performance of 0.2012 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Allianz SE holds a performance score of 20. The firm shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Allianz SE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allianz SE is expected to be smaller as well. Please check Allianz SE's standard deviation, treynor ratio, downside variance, as well as the relationship between the total risk alpha and value at risk , to make a quick decision on whether Allianz SE's price patterns will revert.
Auto-correlation | 0.90 |
Excellent predictability
Allianz SE has excellent predictability. Overlapping area represents the amount of predictability between Allianz SE time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th 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 Allianz SE price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Allianz SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 95.72 |
Allianz SE lagged returns against current returns
Autocorrelation, which is Allianz SE 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 Allianz SE's stock expected returns. We can calculate the autocorrelation of Allianz SE returns to help us make a trade decision. For example, suppose you find that Allianz SE 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 |
Allianz SE 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 Allianz SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allianz SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allianz SE stock over time.
Current vs Lagged Prices |
| Timeline |
Allianz SE Lagged Returns
When evaluating Allianz SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allianz SE stock have on its future price. Allianz SE 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, Allianz SE autocorrelation shows the relationship between Allianz SE stock current value and its past values and can show if there is a momentum factor associated with investing in Allianz SE.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Allianz Stock
Allianz SE financial ratios help investors to determine whether Allianz 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 Allianz with respect to the benefits of owning Allianz SE security.