SANOK RUBBER (Germany) Market Value
| 1NX Stock | EUR 4.34 0.05 1.17% |
| Symbol | SANOK |
SANOK RUBBER '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 SANOK RUBBER'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 SANOK RUBBER.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in SANOK RUBBER on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding SANOK RUBBER ZY or generate 0.0% return on investment in SANOK RUBBER over 360 days. SANOK RUBBER is related to or competes with PT Astra, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, and NorAm Drilling. Sanok Rubber Company Splka Akcyjna provides rubber products, rubber-to-metal articles, and rubber with other materials f... More
SANOK RUBBER 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 SANOK RUBBER'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 SANOK RUBBER ZY upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8966 | |||
| Information Ratio | 0.0764 | |||
| Maximum Drawdown | 30.51 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 2.65 |
SANOK RUBBER Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SANOK RUBBER's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SANOK RUBBER's standard deviation. In reality, there are many statistical measures that can use SANOK RUBBER historical prices to predict the future SANOK RUBBER's volatility.| Risk Adjusted Performance | 0.0934 | |||
| Jensen Alpha | 0.3778 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | 0.3178 | |||
| Treynor Ratio | 1.75 |
SANOK RUBBER ZY Backtested Returns
SANOK RUBBER appears to be moderately volatile, given 3 months investment horizon. SANOK RUBBER ZY owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.1, which indicates the company had a 0.1% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for SANOK RUBBER ZY, which you can use to evaluate the volatility of the entity. Please review SANOK RUBBER's Market Risk Adjusted Performance of 1.76, downside deviation of 0.8966, and Risk Adjusted Performance of 0.0934 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SANOK RUBBER holds a performance score of 7. The firm has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SANOK RUBBER's returns are expected to increase less than the market. However, during the bear market, the loss of holding SANOK RUBBER is expected to be smaller as well. Please check SANOK RUBBER's downside deviation, total risk alpha, value at risk, as well as the relationship between the information ratio and treynor ratio , to make a quick decision on whether SANOK RUBBER's existing price patterns will revert.
Auto-correlation | -0.47 |
Modest reverse predictability
SANOK RUBBER ZY has modest reverse predictability. Overlapping area represents the amount of predictability between SANOK RUBBER time series from 30th of November 2023 to 28th of May 2024 and 28th of May 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 SANOK RUBBER ZY price movement. The serial correlation of -0.47 indicates that about 47.0% of current SANOK RUBBER price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
SANOK RUBBER ZY lagged returns against current returns
Autocorrelation, which is SANOK RUBBER 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 SANOK RUBBER's stock expected returns. We can calculate the autocorrelation of SANOK RUBBER returns to help us make a trade decision. For example, suppose you find that SANOK RUBBER 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 |
SANOK RUBBER 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 SANOK RUBBER stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SANOK RUBBER stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SANOK RUBBER stock over time.
Current vs Lagged Prices |
| Timeline |
SANOK RUBBER Lagged Returns
When evaluating SANOK RUBBER's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SANOK RUBBER stock have on its future price. SANOK RUBBER 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, SANOK RUBBER autocorrelation shows the relationship between SANOK RUBBER stock current value and its past values and can show if there is a momentum factor associated with investing in SANOK RUBBER ZY.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SANOK Stock
SANOK RUBBER financial ratios help investors to determine whether SANOK 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 SANOK with respect to the benefits of owning SANOK RUBBER security.