SASA Polyester (Turkey) Market Value
| SASA Stock | TRY 4.23 0.06 1.44% |
| Symbol | SASA |
SASA Polyester '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 SASA Polyester'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 SASA Polyester.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in SASA Polyester on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding SASA Polyester Sanayi or generate 0.0% return on investment in SASA Polyester over 90 days. SASA Polyester is related to or competes with Qnb Finansbank, QNB Finans, Turkiye Kalkinma, Kocaer Celik, and Cimentas Izmir. Sasa Polyester Sanayi A.S. produces and sells polyester fibers, yarns, and chips in Turkey and internationally More
SASA Polyester 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 SASA Polyester'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 SASA Polyester Sanayi upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 10.59 | |||
| Value At Risk | (4.15) | |||
| Potential Upside | 4.44 |
SASA Polyester Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SASA Polyester's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SASA Polyester's standard deviation. In reality, there are many statistical measures that can use SASA Polyester historical prices to predict the future SASA Polyester's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.32) | |||
| Total Risk Alpha | (0.66) | |||
| Treynor Ratio | (0.53) |
SASA Polyester Sanayi Backtested Returns
SASA Polyester Sanayi owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0483, which indicates the company had a -0.0483% return per unit of standard deviation over the last 3 months. SASA Polyester Sanayi exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SASA Polyester's Standard Deviation of 2.5, market risk adjusted performance of (0.52), and Risk Adjusted Performance of (0.07) to confirm the risk estimate we provide. The firm has a beta of 0.5, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SASA Polyester's returns are expected to increase less than the market. However, during the bear market, the loss of holding SASA Polyester is expected to be smaller as well. At this point, SASA Polyester Sanayi has a negative expected return of -0.12%. Please make sure to validate SASA Polyester's kurtosis, daily balance of power, and the relationship between the skewness and accumulation distribution , to decide if SASA Polyester Sanayi performance from the past will be repeated at future time.
Auto-correlation | -0.03 |
Very weak reverse predictability
SASA Polyester Sanayi has very weak reverse predictability. Overlapping area represents the amount of predictability between SASA Polyester time series from 28th of August 2024 to 12th of October 2024 and 12th of October 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 SASA Polyester Sanayi price movement. The serial correlation of -0.03 indicates that only 3.0% of current SASA Polyester price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
SASA Polyester Sanayi lagged returns against current returns
Autocorrelation, which is SASA Polyester 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 SASA Polyester's stock expected returns. We can calculate the autocorrelation of SASA Polyester returns to help us make a trade decision. For example, suppose you find that SASA Polyester 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 |
SASA Polyester 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 SASA Polyester stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SASA Polyester stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SASA Polyester stock over time.
Current vs Lagged Prices |
| Timeline |
SASA Polyester Lagged Returns
When evaluating SASA Polyester's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SASA Polyester stock have on its future price. SASA Polyester 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, SASA Polyester autocorrelation shows the relationship between SASA Polyester stock current value and its past values and can show if there is a momentum factor associated with investing in SASA Polyester Sanayi.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for SASA Stock Analysis
When running SASA Polyester's price analysis, check to measure SASA Polyester'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 SASA Polyester is operating at the current time. Most of SASA Polyester's value examination focuses on studying past and present price action to predict the probability of SASA Polyester's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SASA Polyester's price. Additionally, you may evaluate how the addition of SASA Polyester to your portfolios can decrease your overall portfolio volatility.