Aecon Group Stock Market Value
| ARE Stock | CAD 28.78 0.24 0.83% |
| Symbol | Aecon |
Aecon '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 Aecon'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 Aecon.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in Aecon on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding Aecon Group or generate 0.0% return on investment in Aecon over 90 days. Aecon is related to or competes with Stantec, Martinrea International, Finning International, and WSP Global. Aecon Group Inc., together with its subsidiaries, provide construction and infrastructure development services to privat... More
Aecon 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 Aecon'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 Aecon Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.41 | |||
| Information Ratio | 0.226 | |||
| Maximum Drawdown | 21.73 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 4.07 |
Aecon Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aecon's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aecon's standard deviation. In reality, there are many statistical measures that can use Aecon historical prices to predict the future Aecon's volatility.| Risk Adjusted Performance | 0.2182 | |||
| Jensen Alpha | 0.8756 | |||
| Total Risk Alpha | 0.29 | |||
| Sortino Ratio | 0.4393 | |||
| Treynor Ratio | (0.76) |
Aecon Group Backtested Returns
Aecon appears to be not too volatile, given 3 months investment horizon. Aecon Group secures Sharpe Ratio (or Efficiency) of 0.28, which signifies that the company had a 0.28% return per unit of standard deviation over the last 3 months. By analyzing Aecon's technical indicators, you can evaluate if the expected return of 0.76% is justified by implied risk. Please makes use of Aecon's risk adjusted performance of 0.2182, and Mean Deviation of 1.38 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Aecon holds a performance score of 21. The firm shows a Beta (market volatility) of -0.99, which signifies possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning Aecon are expected to decrease slowly. On the other hand, during market turmoil, Aecon is expected to outperform it slightly. Please check Aecon's semi deviation, sortino ratio, semi variance, as well as the relationship between the standard deviation and value at risk , to make a quick decision on whether Aecon's price patterns will revert.
Auto-correlation | 0.82 |
Very good predictability
Aecon Group has very good predictability. Overlapping area represents the amount of predictability between Aecon time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 2024 to 2nd 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 Aecon Group price movement. The serial correlation of 0.82 indicates that around 82.0% of current Aecon price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 7.99 |
Aecon Group lagged returns against current returns
Autocorrelation, which is Aecon 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 Aecon's stock expected returns. We can calculate the autocorrelation of Aecon returns to help us make a trade decision. For example, suppose you find that Aecon 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 |
Aecon 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 Aecon stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aecon stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aecon stock over time.
Current vs Lagged Prices |
| Timeline |
Aecon Lagged Returns
When evaluating Aecon's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aecon stock have on its future price. Aecon 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, Aecon autocorrelation shows the relationship between Aecon stock current value and its past values and can show if there is a momentum factor associated with investing in Aecon Group.
Regressed Prices |
| Timeline |
Pair Trading with Aecon
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 Aecon 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 Aecon will appreciate offsetting losses from the drop in the long position's value.Moving against Aecon Stock
| 0.88 | SLF-PH | Sun Lif Non | PairCorr |
| 0.87 | TC | Tucows Inc | PairCorr |
| 0.87 | DII-B | Dorel Industries | PairCorr |
| 0.5 | AIM | Aimia Inc | PairCorr |
The ability to find closely correlated positions to Aecon could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aecon 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 Aecon - 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 Aecon Group to buy it.
The correlation of Aecon 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 Aecon moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aecon Group 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 Aecon 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.Other Information on Investing in Aecon Stock
Aecon financial ratios help investors to determine whether Aecon 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 Aecon with respect to the benefits of owning Aecon security.