Sociedad Minera (Peru) Market Value
| CVERDEC1 | 40.80 0.95 2.28% |
| Symbol | Sociedad |
Sociedad Minera '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 Sociedad Minera'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 Sociedad Minera.
| 06/10/2023 |
| 12/01/2024 |
If you would invest 0.00 in Sociedad Minera on June 10, 2023 and sell it all today you would earn a total of 0.00 from holding Sociedad Minera Cerro or generate 0.0% return on investment in Sociedad Minera over 540 days.
Sociedad Minera 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 Sociedad Minera'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 Sociedad Minera Cerro upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.31 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 4.95 | |||
| Value At Risk | (2.00) | |||
| Potential Upside | 1.3 |
Sociedad Minera Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sociedad Minera's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sociedad Minera's standard deviation. In reality, there are many statistical measures that can use Sociedad Minera historical prices to predict the future Sociedad Minera's volatility.| Risk Adjusted Performance | 0.0629 | |||
| Jensen Alpha | 0.0301 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.238 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sociedad Minera'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.
Sociedad Minera Cerro Backtested Returns
At this point, Sociedad Minera is very steady. Sociedad Minera Cerro owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0799, which indicates the firm had a 0.0799% return per unit of risk over the last 3 months. We have found thirty technical indicators for Sociedad Minera Cerro, which you can use to evaluate the volatility of the company. Please validate Sociedad Minera's Coefficient Of Variation of 1251.6, semi deviation of 0.8552, and Risk Adjusted Performance of 0.0629 to confirm if the risk estimate we provide is consistent with the expected return of 0.0749%. Sociedad Minera has a performance score of 6 on a scale of 0 to 100. The entity has a beta of 0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sociedad Minera's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sociedad Minera is expected to be smaller as well. Sociedad Minera Cerro right now has a risk of 0.94%. Please validate Sociedad Minera potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to decide if Sociedad Minera will be following its existing price patterns.
Auto-correlation | 0.32 |
Below average predictability
Sociedad Minera Cerro has below average predictability. Overlapping area represents the amount of predictability between Sociedad Minera time series from 10th of June 2023 to 6th of March 2024 and 6th of March 2024 to 1st 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 Sociedad Minera Cerro price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Sociedad Minera price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 3.25 |
Sociedad Minera Cerro lagged returns against current returns
Autocorrelation, which is Sociedad Minera 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 Sociedad Minera's stock expected returns. We can calculate the autocorrelation of Sociedad Minera returns to help us make a trade decision. For example, suppose you find that Sociedad Minera 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 |
Sociedad Minera 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 Sociedad Minera stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sociedad Minera stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sociedad Minera stock over time.
Current vs Lagged Prices |
| Timeline |
Sociedad Minera Lagged Returns
When evaluating Sociedad Minera's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sociedad Minera stock have on its future price. Sociedad Minera 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, Sociedad Minera autocorrelation shows the relationship between Sociedad Minera stock current value and its past values and can show if there is a momentum factor associated with investing in Sociedad Minera Cerro.
Regressed Prices |
| Timeline |
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