Safetech Innovations (Romania) Market Value
| SAFE Stock | 2.40 0.02 0.84% |
| Symbol | Safetech |
Safetech Innovations '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 Safetech Innovations' 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 Safetech Innovations.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in Safetech Innovations on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding Safetech Innovations SA or generate 0.0% return on investment in Safetech Innovations over 360 days.
Safetech Innovations 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 Safetech Innovations' 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 Safetech Innovations SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 4.55 | |||
| Value At Risk | (1.60) | |||
| Potential Upside | 1.68 |
Safetech Innovations Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Safetech Innovations' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Safetech Innovations' standard deviation. In reality, there are many statistical measures that can use Safetech Innovations historical prices to predict the future Safetech Innovations' volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (0.26) |
Safetech Innovations Backtested Returns
Safetech Innovations owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0436, which indicates the firm had a -0.0436% return per unit of risk over the last 3 months. Safetech Innovations SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Safetech Innovations' Coefficient Of Variation of (2,046), variance of 1.07, and Risk Adjusted Performance of (0.03) to confirm the risk estimate we provide. The entity has a beta of 0.24, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Safetech Innovations' returns are expected to increase less than the market. However, during the bear market, the loss of holding Safetech Innovations is expected to be smaller as well. At this point, Safetech Innovations has a negative expected return of -0.0451%. Please make sure to validate Safetech Innovations' jensen alpha, treynor ratio, value at risk, as well as the relationship between the total risk alpha and maximum drawdown , to decide if Safetech Innovations performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.08 |
Virtually no predictability
Safetech Innovations SA has virtually no predictability. Overlapping area represents the amount of predictability between Safetech Innovations 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 Safetech Innovations price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Safetech Innovations price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Safetech Innovations lagged returns against current returns
Autocorrelation, which is Safetech Innovations 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 Safetech Innovations' stock expected returns. We can calculate the autocorrelation of Safetech Innovations returns to help us make a trade decision. For example, suppose you find that Safetech Innovations 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 |
Safetech Innovations 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 Safetech Innovations stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Safetech Innovations stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Safetech Innovations stock over time.
Current vs Lagged Prices |
| Timeline |
Safetech Innovations Lagged Returns
When evaluating Safetech Innovations' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Safetech Innovations stock have on its future price. Safetech Innovations 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, Safetech Innovations autocorrelation shows the relationship between Safetech Innovations stock current value and its past values and can show if there is a momentum factor associated with investing in Safetech Innovations SA.
Regressed Prices |
| Timeline |
Pair Trading with Safetech Innovations
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 Safetech Innovations 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 Safetech Innovations will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Safetech Innovations could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Safetech Innovations 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 Safetech Innovations - 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 Safetech Innovations SA to buy it.
The correlation of Safetech Innovations 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 Safetech Innovations moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Safetech Innovations 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 Safetech Innovations 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.