Comp SA (Poland) Market Value
| CMP Stock | 116.00 1.00 0.85% |
| Symbol | Comp |
Comp 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 Comp 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 Comp SA.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Comp SA on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Comp SA or generate 0.0% return on investment in Comp SA over 30 days. Comp SA is related to or competes with Saule Technologies, Santander Bank, Tower Investments, and Noble Financials. More
Comp 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 Comp 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 Comp SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.56 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.69 | |||
| Value At Risk | (2.69) | |||
| Potential Upside | 2.68 |
Comp SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Comp SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Comp SA's standard deviation. In reality, there are many statistical measures that can use Comp SA historical prices to predict the future Comp SA's volatility.| Risk Adjusted Performance | 0.0433 | |||
| Jensen Alpha | 0.0537 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.5632 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Comp SA's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Comp SA Backtested Returns
Currently, Comp SA is very steady. Comp SA secures Sharpe Ratio (or Efficiency) of 0.0259, which signifies that the company had a 0.0259% return per unit of risk over the last 3 months. We have found thirty technical indicators for Comp SA, which you can use to evaluate the volatility of the firm. Please confirm Comp SA's Mean Deviation of 1.2, downside deviation of 1.56, and Risk Adjusted Performance of 0.0433 to double-check if the risk estimate we provide is consistent with the expected return of 0.0394%. Comp SA has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Comp SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Comp SA is expected to be smaller as well. Comp SA right now shows a risk of 1.52%. Please confirm Comp SA total risk alpha, expected short fall, market facilitation index, as well as the relationship between the value at risk and daily balance of power , to decide if Comp SA will be following its price patterns.
Auto-correlation | 0.27 |
Poor predictability
Comp SA has poor predictability. Overlapping area represents the amount of predictability between Comp SA time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Comp SA price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Comp SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 2.96 |
Comp SA lagged returns against current returns
Autocorrelation, which is Comp 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 Comp SA's stock expected returns. We can calculate the autocorrelation of Comp SA returns to help us make a trade decision. For example, suppose you find that Comp 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 |
Comp 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 Comp SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Comp SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Comp SA stock over time.
Current vs Lagged Prices |
| Timeline |
Comp SA Lagged Returns
When evaluating Comp SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Comp SA stock have on its future price. Comp 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, Comp SA autocorrelation shows the relationship between Comp SA stock current value and its past values and can show if there is a momentum factor associated with investing in Comp SA.
Regressed Prices |
| Timeline |
Pair Trading with Comp 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 Comp 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 Comp SA will appreciate offsetting losses from the drop in the long position's value.Moving against Comp Stock
| 0.65 | EAH | Esotiq Henderson | PairCorr |
| 0.53 | KCI | KCI SA | PairCorr |
| 0.49 | 4MS | 4Mass SA | PairCorr |
| 0.34 | PCO | Pepco Group BV | PairCorr |
The ability to find closely correlated positions to Comp 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 Comp 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 Comp 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 Comp SA to buy it.
The correlation of Comp 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 Comp SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Comp 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 Comp 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 Comp Stock Analysis
When running Comp SA's price analysis, check to measure Comp 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 Comp SA is operating at the current time. Most of Comp SA's value examination focuses on studying past and present price action to predict the probability of Comp 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 Comp SA's price. Additionally, you may evaluate how the addition of Comp SA to your portfolios can decrease your overall portfolio volatility.