Salfacorp (Chile) Market Value
| SALFACORP | CLP 555.00 9.50 1.68% |
| Symbol | Salfacorp |
Salfacorp '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 Salfacorp'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 Salfacorp.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Salfacorp on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Salfacorp or generate 0.0% return on investment in Salfacorp over 30 days. Salfacorp is related to or competes with Administradora Americana, Energia Latina, Embotelladora Andina, Vina Concha, Multiexport Foods, Sociedad Matriz, and AFP Planvital. SalfaCorp S.A. engages in engineering and construction, and real estate activities in Chile, Peru, Colombia, Panama, the... More
Salfacorp 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 Salfacorp'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 Salfacorp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.1 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 5.03 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 2.67 |
Salfacorp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Salfacorp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Salfacorp's standard deviation. In reality, there are many statistical measures that can use Salfacorp historical prices to predict the future Salfacorp's volatility.| Risk Adjusted Performance | 0.0125 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | 0.031 |
Salfacorp Backtested Returns
As of now, Salfacorp Stock is very steady. Salfacorp owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0665, which indicates the firm had a 0.0665% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Salfacorp, which you can use to evaluate the volatility of the company. Please validate Salfacorp's Coefficient Of Variation of 8811.84, semi deviation of 1.02, and Risk Adjusted Performance of 0.0125 to confirm if the risk estimate we provide is consistent with the expected return of 0.0824%. Salfacorp has a performance score of 5 on a scale of 0 to 100. The entity has a beta of 0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Salfacorp's returns are expected to increase less than the market. However, during the bear market, the loss of holding Salfacorp is expected to be smaller as well. Salfacorp right now has a risk of 1.24%. Please validate Salfacorp value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to decide if Salfacorp will be following its existing price patterns.
Auto-correlation | 0.41 |
Average predictability
Salfacorp has average predictability. Overlapping area represents the amount of predictability between Salfacorp 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 Salfacorp price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Salfacorp price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 23.66 |
Salfacorp lagged returns against current returns
Autocorrelation, which is Salfacorp 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 Salfacorp's stock expected returns. We can calculate the autocorrelation of Salfacorp returns to help us make a trade decision. For example, suppose you find that Salfacorp 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 |
Salfacorp 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 Salfacorp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Salfacorp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Salfacorp stock over time.
Current vs Lagged Prices |
| Timeline |
Salfacorp Lagged Returns
When evaluating Salfacorp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Salfacorp stock have on its future price. Salfacorp 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, Salfacorp autocorrelation shows the relationship between Salfacorp stock current value and its past values and can show if there is a momentum factor associated with investing in Salfacorp.
Regressed Prices |
| Timeline |
Pair Trading with Salfacorp
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 Salfacorp 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 Salfacorp will appreciate offsetting losses from the drop in the long position's value.Moving against Salfacorp Stock
The ability to find closely correlated positions to Salfacorp could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Salfacorp 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 Salfacorp - 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 Salfacorp to buy it.
The correlation of Salfacorp 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 Salfacorp moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Salfacorp 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 Salfacorp 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.Other Information on Investing in Salfacorp Stock
Salfacorp financial ratios help investors to determine whether Salfacorp 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 Salfacorp with respect to the benefits of owning Salfacorp security.