Umicore SA (Belgium) Market Value
| UMI Stock | EUR 10.21 0.46 4.31% |
| Symbol | Umicore |
Umicore 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 Umicore 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 Umicore SA.
| 11/20/2023 |
| 12/14/2024 |
If you would invest 0.00 in Umicore SA on November 20, 2023 and sell it all today you would earn a total of 0.00 from holding Umicore SA or generate 0.0% return on investment in Umicore SA over 390 days. Umicore SA is related to or competes with Ackermans Van, NV Bekaert, Groep Brussel, Tubize Fin, and EVS Broadcast. Umicore S.A. operates as a materials technology and recycling company worldwide More
Umicore 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 Umicore 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 Umicore SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 12.07 | |||
| Value At Risk | (4.31) | |||
| Potential Upside | 3.88 |
Umicore SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Umicore SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Umicore SA's standard deviation. In reality, there are many statistical measures that can use Umicore SA historical prices to predict the future Umicore SA's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | 0.3969 |
Umicore SA Backtested Returns
Currently, Umicore SA is somewhat reliable. Umicore SA owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0039, which indicates the firm had a 0.0039% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Umicore SA, which you can use to evaluate the volatility of the company. Please validate Umicore SA's Variance of 6.2, insignificant risk adjusted performance, and Coefficient Of Variation of (8,222) to confirm if the risk estimate we provide is consistent with the expected return of 0.0098%. The entity has a beta of -0.1, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Umicore SA are expected to decrease at a much lower rate. During the bear market, Umicore SA is likely to outperform the market. Umicore SA right now has a risk of 2.49%. Please validate Umicore SA treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if Umicore SA will be following its existing price patterns.
Auto-correlation | 0.77 |
Good predictability
Umicore SA has good predictability. Overlapping area represents the amount of predictability between Umicore SA time series from 20th of November 2023 to 2nd of June 2024 and 2nd of June 2024 to 14th 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 Umicore SA price movement. The serial correlation of 0.77 indicates that around 77.0% of current Umicore SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 2.85 |
Umicore SA lagged returns against current returns
Autocorrelation, which is Umicore 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 Umicore SA's stock expected returns. We can calculate the autocorrelation of Umicore SA returns to help us make a trade decision. For example, suppose you find that Umicore 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 |
Umicore 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 Umicore SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Umicore SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Umicore SA stock over time.
Current vs Lagged Prices |
| Timeline |
Umicore SA Lagged Returns
When evaluating Umicore SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Umicore SA stock have on its future price. Umicore 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, Umicore SA autocorrelation shows the relationship between Umicore SA stock current value and its past values and can show if there is a momentum factor associated with investing in Umicore SA.
Regressed Prices |
| Timeline |
Pair Trading with Umicore SA
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 Umicore SA 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 Umicore SA will appreciate offsetting losses from the drop in the long position's value.Moving against Umicore Stock
The ability to find closely correlated positions to Umicore SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Umicore SA 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 Umicore SA - 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 Umicore SA to buy it.
The correlation of Umicore SA 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 Umicore SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Umicore SA 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 Umicore SA 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.Additional Tools for Umicore Stock Analysis
When running Umicore SA's price analysis, check to measure Umicore SA'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 Umicore SA is operating at the current time. Most of Umicore SA's value examination focuses on studying past and present price action to predict the probability of Umicore SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Umicore SA's price. Additionally, you may evaluate how the addition of Umicore SA to your portfolios can decrease your overall portfolio volatility.