SAMS INTERNAT (Germany) Market Value
| 1SO Stock | EUR 2.25 0.06 2.74% |
| Symbol | SAMS |
SAMS INTERNAT '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 SAMS INTERNAT'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 SAMS INTERNAT.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in SAMS INTERNAT on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding SAMS INTERNAT R or generate 0.0% return on investment in SAMS INTERNAT over 30 days. SAMS INTERNAT is related to or competes with Vulcan Materials, Eagle Materials, Elmos Semiconductor, Magnachip Semiconductor, Taiwan Semiconductor, APPLIED MATERIALS, and EAGLE MATERIALS. More
SAMS INTERNAT 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 SAMS INTERNAT'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 SAMS INTERNAT R upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.23 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 12.66 | |||
| Value At Risk | (3.64) | |||
| Potential Upside | 5.02 |
SAMS INTERNAT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAMS INTERNAT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAMS INTERNAT's standard deviation. In reality, there are many statistical measures that can use SAMS INTERNAT historical prices to predict the future SAMS INTERNAT's volatility.| Risk Adjusted Performance | 0.0121 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.38) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0524 |
SAMS INTERNAT R Backtested Returns
At this point, SAMS INTERNAT is risky. SAMS INTERNAT R owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0095, which indicates the company had a 0.0095% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for SAMS INTERNAT R, which you can use to evaluate the volatility of the entity. Please validate SAMS INTERNAT's Downside Deviation of 2.23, market risk adjusted performance of 0.0624, and Risk Adjusted Performance of 0.0121 to confirm if the risk estimate we provide is consistent with the expected return of 0.0237%. The firm has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SAMS INTERNAT's returns are expected to increase less than the market. However, during the bear market, the loss of holding SAMS INTERNAT is expected to be smaller as well. SAMS INTERNAT R currently has a risk of 2.5%. Please validate SAMS INTERNAT semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to decide if SAMS INTERNAT will be following its existing price patterns.
Auto-correlation | -0.81 |
Excellent reverse predictability
SAMS INTERNAT R has excellent reverse predictability. Overlapping area represents the amount of predictability between SAMS INTERNAT time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 SAMS INTERNAT R price movement. The serial correlation of -0.81 indicates that around 81.0% of current SAMS INTERNAT price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.81 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
SAMS INTERNAT R lagged returns against current returns
Autocorrelation, which is SAMS INTERNAT 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 SAMS INTERNAT's stock expected returns. We can calculate the autocorrelation of SAMS INTERNAT returns to help us make a trade decision. For example, suppose you find that SAMS INTERNAT 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 |
SAMS INTERNAT 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 SAMS INTERNAT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAMS INTERNAT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAMS INTERNAT stock over time.
Current vs Lagged Prices |
| Timeline |
SAMS INTERNAT Lagged Returns
When evaluating SAMS INTERNAT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAMS INTERNAT stock have on its future price. SAMS INTERNAT 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, SAMS INTERNAT autocorrelation shows the relationship between SAMS INTERNAT stock current value and its past values and can show if there is a momentum factor associated with investing in SAMS INTERNAT R.
Regressed Prices |
| Timeline |
Also Currently Popular
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 SAMS Stock
SAMS INTERNAT financial ratios help investors to determine whether SAMS 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 SAMS with respect to the benefits of owning SAMS INTERNAT security.