Banco Santander (Poland) Market Value
| SAN Stock | 18.95 0.31 1.61% |
| Symbol | Banco |
Banco Santander '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 Banco Santander'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 Banco Santander.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Banco Santander on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Banco Santander SA or generate 0.0% return on investment in Banco Santander over 30 days. Banco Santander is related to or competes with Asseco Business, Movie Games, Igoria Trade, and Bank Millennium. More
Banco Santander 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 Banco Santander'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 Banco Santander SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.32 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 9.22 | |||
| Value At Risk | (3.53) | |||
| Potential Upside | 2.22 |
Banco Santander Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Banco Santander's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Banco Santander's standard deviation. In reality, there are many statistical measures that can use Banco Santander historical prices to predict the future Banco Santander's volatility.| Risk Adjusted Performance | 0.0366 | |||
| Jensen Alpha | 0.0105 | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1452 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Banco Santander'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.
Banco Santander SA Backtested Returns
Currently, Banco Santander SA is not too volatile. Banco Santander SA secures Sharpe Ratio (or Efficiency) of 0.0141, which signifies that the company had a 0.0141% return per unit of risk over the last 3 months. We have found thirty technical indicators for Banco Santander SA, which you can use to evaluate the volatility of the firm. Please confirm Banco Santander's Downside Deviation of 2.32, risk adjusted performance of 0.0366, and Mean Deviation of 1.33 to double-check if the risk estimate we provide is consistent with the expected return of 0.0249%. Banco Santander has a performance score of 1 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.43, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Banco Santander's returns are expected to increase less than the market. However, during the bear market, the loss of holding Banco Santander is expected to be smaller as well. Banco Santander SA right now shows a risk of 1.77%. Please confirm Banco Santander SA maximum drawdown, accumulation distribution, relative strength index, as well as the relationship between the semi variance and day typical price , to decide if Banco Santander SA will be following its price patterns.
Auto-correlation | 0.54 |
Modest predictability
Banco Santander SA has modest predictability. Overlapping area represents the amount of predictability between Banco Santander time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Banco Santander SA price movement. The serial correlation of 0.54 indicates that about 54.0% of current Banco Santander price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Banco Santander SA lagged returns against current returns
Autocorrelation, which is Banco Santander 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 Banco Santander's stock expected returns. We can calculate the autocorrelation of Banco Santander returns to help us make a trade decision. For example, suppose you find that Banco Santander 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 |
Banco Santander 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 Banco Santander stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Banco Santander stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Banco Santander stock over time.
Current vs Lagged Prices |
| Timeline |
Banco Santander Lagged Returns
When evaluating Banco Santander's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Banco Santander stock have on its future price. Banco Santander 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, Banco Santander autocorrelation shows the relationship between Banco Santander stock current value and its past values and can show if there is a momentum factor associated with investing in Banco Santander SA.
Regressed Prices |
| Timeline |
Pair Trading with Banco Santander
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 Banco Santander 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 Banco Santander will appreciate offsetting losses from the drop in the long position's value.Moving together with Banco Stock
Moving against Banco Stock
| 0.62 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.52 | PZU | Powszechny Zaklad | PairCorr |
| 0.49 | ALE | Allegroeu SA | PairCorr |
| 0.48 | MIL | Bank Millennium SA | PairCorr |
| 0.37 | ALR | Alior Bank SA | PairCorr |
The ability to find closely correlated positions to Banco Santander could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Banco Santander 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 Banco Santander - 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 Banco Santander SA to buy it.
The correlation of Banco Santander 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 Banco Santander moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Banco Santander 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 Banco Santander 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 Banco Stock Analysis
When running Banco Santander's price analysis, check to measure Banco Santander'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 Banco Santander is operating at the current time. Most of Banco Santander's value examination focuses on studying past and present price action to predict the probability of Banco Santander's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Banco Santander's price. Additionally, you may evaluate how the addition of Banco Santander to your portfolios can decrease your overall portfolio volatility.