Allianz SE (Germany) Market Value
| ALV Stock | 305.80 0.40 0.13% |
| 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.
| 06/02/2023 |
| 01/22/2025 |
If you would invest 0.00 in Allianz SE on June 2, 2023 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 600 days. Allianz SE is related to or competes with TRI CHEMICAL, X-FAB Silicon, INDO-RAMA SYNTHETIC, KINGBOARD CHEMICAL, and Silicon Motion. 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 | 0.9026 | |||
| Information Ratio | (0.00007) | |||
| Maximum Drawdown | 3.1 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.41 |
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 | 0.037 | |||
| Jensen Alpha | 0.0247 | |||
| Total Risk Alpha | 5.0E-4 | |||
| Sortino Ratio | (0.000064) | |||
| Treynor Ratio | 0.4142 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Allianz SE'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.
Allianz SE Backtested Returns
Currently, Allianz SE is very steady. Allianz SE secures Sharpe Ratio (or Efficiency) of 0.0797, which signifies that the company had a 0.0797 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Allianz SE, which you can use to evaluate the volatility of the firm. Please confirm Allianz SE's Mean Deviation of 0.6613, risk adjusted performance of 0.037, and Downside Deviation of 0.9026 to double-check if the risk estimate we provide is consistent with the expected return of 0.0654%. Allianz SE has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0638, 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. Allianz SE right now shows a risk of 0.82%. Please confirm Allianz SE total risk alpha, expected short fall, market facilitation index, as well as the relationship between the value at risk and daily balance of power , to decide if Allianz SE will be following its price patterns.
Auto-correlation | 0.83 |
Very good predictability
Allianz SE has very good predictability. Overlapping area represents the amount of predictability between Allianz SE time series from 2nd of June 2023 to 28th of March 2024 and 28th of March 2024 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 Allianz SE price movement. The serial correlation of 0.83 indicates that around 83.0% of current Allianz SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 321.81 |
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 |
Thematic Opportunities
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Additional Tools for Allianz Stock Analysis
When running Allianz SE's price analysis, check to measure Allianz SE'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 Allianz SE is operating at the current time. Most of Allianz SE's value examination focuses on studying past and present price action to predict the probability of Allianz SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Allianz SE's price. Additionally, you may evaluate how the addition of Allianz SE to your portfolios can decrease your overall portfolio volatility.