Steel Authority (India) Market Value
| SAIL Stock | 114.09 1.26 1.12% |
| Symbol | Steel |
Steel Authority '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 Steel Authority'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 Steel Authority.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Steel Authority on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Steel Authority of or generate 0.0% return on investment in Steel Authority over 30 days. Steel Authority is related to or competes with NMDC, Embassy Office, Gujarat Narmada, Gujarat Alkalies, JTL Industries, and India Glycols. Steel Authority is entity of India. It is traded as Stock on NSE exchange. More
Steel Authority 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 Steel Authority'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 Steel Authority of upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 10.24 | |||
| Value At Risk | (3.68) | |||
| Potential Upside | 3.7 |
Steel Authority Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Steel Authority's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Steel Authority's standard deviation. In reality, there are many statistical measures that can use Steel Authority historical prices to predict the future Steel Authority's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | 3.71 |
Steel Authority Backtested Returns
Steel Authority owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the firm had a -0.12% return per unit of risk over the last 3 months. Steel Authority of exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Steel Authority's Coefficient Of Variation of (989.55), risk adjusted performance of (0.07), and Variance of 4.58 to confirm the risk estimate we provide. The entity has a beta of -0.061, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Steel Authority are expected to decrease at a much lower rate. During the bear market, Steel Authority is likely to outperform the market. At this point, Steel Authority has a negative expected return of -0.24%. Please make sure to validate Steel Authority's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Steel Authority performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.05 |
Virtually no predictability
Steel Authority of has virtually no predictability. Overlapping area represents the amount of predictability between Steel Authority time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Steel Authority price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current Steel Authority price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 2.44 |
Steel Authority lagged returns against current returns
Autocorrelation, which is Steel Authority 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 Steel Authority's stock expected returns. We can calculate the autocorrelation of Steel Authority returns to help us make a trade decision. For example, suppose you find that Steel Authority 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 |
Steel Authority 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 Steel Authority stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Steel Authority stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Steel Authority stock over time.
Current vs Lagged Prices |
| Timeline |
Steel Authority Lagged Returns
When evaluating Steel Authority's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Steel Authority stock have on its future price. Steel Authority 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, Steel Authority autocorrelation shows the relationship between Steel Authority stock current value and its past values and can show if there is a momentum factor associated with investing in Steel Authority of.
Regressed Prices |
| Timeline |
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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.Additional Tools for Steel Stock Analysis
When running Steel Authority's price analysis, check to measure Steel Authority'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 Steel Authority is operating at the current time. Most of Steel Authority's value examination focuses on studying past and present price action to predict the probability of Steel Authority's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Steel Authority's price. Additionally, you may evaluate how the addition of Steel Authority to your portfolios can decrease your overall portfolio volatility.