AECOM (Germany) Market Value
| E6Z Stock | EUR 102.00 1.00 0.97% |
| Symbol | AECOM |
AECOM '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 AECOM'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 AECOM.
| 11/28/2023 |
| 12/22/2024 |
If you would invest 0.00 in AECOM on November 28, 2023 and sell it all today you would earn a total of 0.00 from holding AECOM or generate 0.0% return on investment in AECOM over 390 days. AECOM is related to or competes with Vinci S, Johnson Controls, Larsen Toubro, China Railway, China Communications, WSP Global, and China Railway. AECOM, together with its subsidiaries, engages in designing, building, financing, and operating infrastructure assets wo... More
AECOM 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 AECOM'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 AECOM upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.86 | |||
| Information Ratio | 0.0914 | |||
| Maximum Drawdown | 10.92 | |||
| Value At Risk | (1.90) | |||
| Potential Upside | 3.88 |
AECOM Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AECOM's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AECOM's standard deviation. In reality, there are many statistical measures that can use AECOM historical prices to predict the future AECOM's volatility.| Risk Adjusted Performance | 0.0918 | |||
| Jensen Alpha | 0.1853 | |||
| Total Risk Alpha | 0.1399 | |||
| Sortino Ratio | 0.0914 | |||
| Treynor Ratio | 0.6306 |
AECOM Backtested Returns
At this point, AECOM is very steady. AECOM retains Efficiency (Sharpe Ratio) of 0.1, which signifies that the company had a 0.1% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for AECOM, which you can use to evaluate the volatility of the firm. Please confirm AECOM's market risk adjusted performance of 0.6406, and Coefficient Of Variation of 920.27 to double-check if the risk estimate we provide is consistent with the expected return of 0.19%. AECOM has a performance score of 8 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.3, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, AECOM's returns are expected to increase less than the market. However, during the bear market, the loss of holding AECOM is expected to be smaller as well. AECOM at this moment owns a risk of 1.86%. Please confirm AECOM jensen alpha, maximum drawdown, and the relationship between the coefficient of variation and sortino ratio , to decide if AECOM will be following its current price history.
Auto-correlation | 0.21 |
Weak predictability
AECOM has weak predictability. Overlapping area represents the amount of predictability between AECOM time series from 28th of November 2023 to 10th of June 2024 and 10th of June 2024 to 22nd 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 AECOM price movement. The serial correlation of 0.21 indicates that over 21.0% of current AECOM price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 92.79 |
AECOM lagged returns against current returns
Autocorrelation, which is AECOM 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 AECOM's stock expected returns. We can calculate the autocorrelation of AECOM returns to help us make a trade decision. For example, suppose you find that AECOM 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 |
AECOM 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 AECOM stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AECOM stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AECOM stock over time.
Current vs Lagged Prices |
| Timeline |
AECOM Lagged Returns
When evaluating AECOM's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AECOM stock have on its future price. AECOM 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, AECOM autocorrelation shows the relationship between AECOM stock current value and its past values and can show if there is a momentum factor associated with investing in AECOM.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in AECOM Stock
AECOM financial ratios help investors to determine whether AECOM 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 AECOM with respect to the benefits of owning AECOM security.