SBM HOLDINGS (Mauritius) Market Value
| SBMH Stock | 5.30 0.20 3.92% |
| Symbol | SBM |
SBM HOLDINGS '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 SBM HOLDINGS'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 SBM HOLDINGS.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in SBM HOLDINGS on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding SBM HOLDINGS LTD or generate 0.0% return on investment in SBM HOLDINGS over 30 days.
SBM HOLDINGS 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 SBM HOLDINGS'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 SBM HOLDINGS LTD upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.78 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 12.67 | |||
| Value At Risk | (3.03) | |||
| Potential Upside | 3.72 |
SBM HOLDINGS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SBM HOLDINGS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SBM HOLDINGS's standard deviation. In reality, there are many statistical measures that can use SBM HOLDINGS historical prices to predict the future SBM HOLDINGS's volatility.| Risk Adjusted Performance | 0.0249 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1041 |
SBM HOLDINGS LTD Backtested Returns
At this point, SBM HOLDINGS is slightly risky. SBM HOLDINGS LTD owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0077, which indicates the company had a 0.0077% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for SBM HOLDINGS LTD, which you can use to evaluate the volatility of the entity. Please validate SBM HOLDINGS's Risk Adjusted Performance of 0.0249, downside deviation of 2.78, and Market Risk Adjusted Performance of 0.1141 to confirm if the risk estimate we provide is consistent with the expected return of 0.0163%. The firm has a beta of 0.39, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SBM HOLDINGS's returns are expected to increase less than the market. However, during the bear market, the loss of holding SBM HOLDINGS is expected to be smaller as well. SBM HOLDINGS LTD currently has a risk of 2.11%. Please validate SBM HOLDINGS jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if SBM HOLDINGS will be following its existing price patterns.
Auto-correlation | 0.93 |
Excellent predictability
SBM HOLDINGS LTD has excellent predictability. Overlapping area represents the amount of predictability between SBM HOLDINGS 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 SBM HOLDINGS LTD price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current SBM HOLDINGS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.93 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
SBM HOLDINGS LTD lagged returns against current returns
Autocorrelation, which is SBM HOLDINGS 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 SBM HOLDINGS's stock expected returns. We can calculate the autocorrelation of SBM HOLDINGS returns to help us make a trade decision. For example, suppose you find that SBM HOLDINGS 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 |
SBM HOLDINGS 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 SBM HOLDINGS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SBM HOLDINGS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SBM HOLDINGS stock over time.
Current vs Lagged Prices |
| Timeline |
SBM HOLDINGS Lagged Returns
When evaluating SBM HOLDINGS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SBM HOLDINGS stock have on its future price. SBM HOLDINGS 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, SBM HOLDINGS autocorrelation shows the relationship between SBM HOLDINGS stock current value and its past values and can show if there is a momentum factor associated with investing in SBM HOLDINGS LTD.
Regressed Prices |
| Timeline |
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