Thales SA (France) Market Value
| HO Stock | EUR 141.50 1.55 1.08% |
| Symbol | Thales |
Thales SA '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 Thales SA'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 Thales SA.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Thales SA on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Thales SA or generate 0.0% return on investment in Thales SA over 720 days. Thales SA is related to or competes with Safran SA, Dassault Systemes, Dassault Aviation, Vinci SA, and Compagnie. Thales S.A. provides various solutions for civilian and military customers in the aeronautics, space, defense, security,... More
Thales SA 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 Thales SA'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 Thales SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 8.27 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 2.35 |
Thales SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thales SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thales SA's standard deviation. In reality, there are many statistical measures that can use Thales SA historical prices to predict the future Thales SA's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | (0.79) |
Thales SA Backtested Returns
Thales SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0384, which indicates the firm had a -0.0384% return per unit of risk over the last 3 months. Thales SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Thales SA's Coefficient Of Variation of (1,656), risk adjusted performance of (0.04), and Variance of 2.52 to confirm the risk estimate we provide. The entity has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Thales SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Thales SA is expected to be smaller as well. At this point, Thales SA has a negative expected return of -0.0601%. Please make sure to validate Thales SA's total risk alpha, potential upside, and the relationship between the standard deviation and maximum drawdown , to decide if Thales SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.65 |
Good predictability
Thales SA has good predictability. Overlapping area represents the amount of predictability between Thales SA time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 Thales SA price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Thales SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 102.9 |
Thales SA lagged returns against current returns
Autocorrelation, which is Thales SA 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 Thales SA's stock expected returns. We can calculate the autocorrelation of Thales SA returns to help us make a trade decision. For example, suppose you find that Thales SA 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 |
Thales SA 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 Thales SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thales SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Thales SA stock over time.
Current vs Lagged Prices |
| Timeline |
Thales SA Lagged Returns
When evaluating Thales SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thales SA stock have on its future price. Thales SA 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, Thales SA autocorrelation shows the relationship between Thales SA stock current value and its past values and can show if there is a momentum factor associated with investing in Thales SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Thales Stock
Thales SA financial ratios help investors to determine whether Thales 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 Thales with respect to the benefits of owning Thales SA security.