Storebrand Global (Ireland) Market Value
| 0P0001EC8K | 2,328 21.57 0.94% |
| Symbol | Storebrand |
Storebrand Global '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 Storebrand Global's fund 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 Storebrand Global.
| 05/28/2024 |
| 11/24/2024 |
If you would invest 0.00 in Storebrand Global on May 28, 2024 and sell it all today you would earn a total of 0.00 from holding Storebrand Global Solutions or generate 0.0% return on investment in Storebrand Global over 180 days.
Storebrand Global 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 Storebrand Global's fund 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 Storebrand Global Solutions upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.729 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 4.2 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.36 |
Storebrand Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Storebrand Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Storebrand Global's standard deviation. In reality, there are many statistical measures that can use Storebrand Global historical prices to predict the future Storebrand Global's volatility.| Risk Adjusted Performance | 0.0727 | |||
| Jensen Alpha | 0.0497 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.539 |
Storebrand Global Backtested Returns
At this point, Storebrand Global is very steady. Storebrand Global owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0691, which indicates the fund had a 0.0691% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Storebrand Global Solutions, which you can use to evaluate the volatility of the fund. Please validate Storebrand Global's Semi Deviation of 0.6503, risk adjusted performance of 0.0727, and Coefficient Of Variation of 1058.31 to confirm if the risk estimate we provide is consistent with the expected return of 0.0542%. The entity has a beta of 0.12, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Storebrand Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Storebrand Global is expected to be smaller as well.
Auto-correlation | 0.29 |
Poor predictability
Storebrand Global Solutions has poor predictability. Overlapping area represents the amount of predictability between Storebrand Global time series from 28th of May 2024 to 26th of August 2024 and 26th of August 2024 to 24th of November 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 Storebrand Global price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Storebrand Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 2102.81 |
Storebrand Global lagged returns against current returns
Autocorrelation, which is Storebrand Global fund'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 Storebrand Global's fund expected returns. We can calculate the autocorrelation of Storebrand Global returns to help us make a trade decision. For example, suppose you find that Storebrand Global has exhibited high autocorrelation historically, and you observe that the fund 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 |
Storebrand Global 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 Storebrand Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Storebrand Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Storebrand Global fund over time.
Current vs Lagged Prices |
| Timeline |
Storebrand Global Lagged Returns
When evaluating Storebrand Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Storebrand Global fund have on its future price. Storebrand Global 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, Storebrand Global autocorrelation shows the relationship between Storebrand Global fund current value and its past values and can show if there is a momentum factor associated with investing in Storebrand Global Solutions.
Regressed Prices |
| Timeline |
Pair Trading with Storebrand Global
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 Storebrand Global 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 Storebrand Global will appreciate offsetting losses from the drop in the long position's value.Moving together with Storebrand Fund
| 0.83 | IE00B065CV35 | Franklin Floating Rate | PairCorr |
| 0.85 | IE0032578035 | Franklin Floating Rate | PairCorr |
| 0.84 | IE00B000C709 | Franklin Floating Rate | PairCorr |
The ability to find closely correlated positions to Storebrand Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Storebrand Global 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 Storebrand Global - 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 Storebrand Global Solutions to buy it.
The correlation of Storebrand Global 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 Storebrand Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Storebrand Global 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 Storebrand Global 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.| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
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