SEIKO EPSON (Germany) Market Value
| SE7S Stock | EUR 7.85 0.15 1.88% |
| Symbol | SEIKO |
SEIKO EPSON '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 SEIKO EPSON'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 SEIKO EPSON.
| 12/04/2022 |
| 11/23/2024 |
If you would invest 0.00 in SEIKO EPSON on December 4, 2022 and sell it all today you would earn a total of 0.00 from holding SEIKO EPSON PADR or generate 0.0% return on investment in SEIKO EPSON over 720 days. SEIKO EPSON is related to or competes with SEALED AIR, NORWEGIAN AIR, Hanover Insurance, MYFAIR GOLD, ZURICH INSURANCE, and Reinsurance Group. Seiko Epson Corporation, together with its subsidiaries, develops, manufactures, sells, and provides services for produc... More
SEIKO EPSON 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 SEIKO EPSON'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 SEIKO EPSON PADR upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 6.16 | |||
| Value At Risk | (2.44) | |||
| Potential Upside | 1.9 |
SEIKO EPSON Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SEIKO EPSON's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SEIKO EPSON's standard deviation. In reality, there are many statistical measures that can use SEIKO EPSON historical prices to predict the future SEIKO EPSON's volatility.| Risk Adjusted Performance | 0.0033 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SEIKO EPSON'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.
SEIKO EPSON PADR Backtested Returns
SEIKO EPSON PADR owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0089, which indicates the firm had a -0.0089% return per unit of volatility over the last 3 months. SEIKO EPSON PADR exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SEIKO EPSON's variance of 1.69, and Risk Adjusted Performance of 0.0033 to confirm the risk estimate we provide. The entity has a beta of 0.32, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SEIKO EPSON's returns are expected to increase less than the market. However, during the bear market, the loss of holding SEIKO EPSON is expected to be smaller as well. At this point, SEIKO EPSON PADR has a negative expected return of -0.0114%. Please make sure to validate SEIKO EPSON's treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if SEIKO EPSON PADR performance from the past will be repeated at future time.
Auto-correlation | 0.39 |
Below average predictability
SEIKO EPSON PADR has below average predictability. Overlapping area represents the amount of predictability between SEIKO EPSON time series from 4th of December 2022 to 29th of November 2023 and 29th of November 2023 to 23rd 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 SEIKO EPSON PADR price movement. The serial correlation of 0.39 indicates that just about 39.0% of current SEIKO EPSON price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.34 |
SEIKO EPSON PADR lagged returns against current returns
Autocorrelation, which is SEIKO EPSON 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 SEIKO EPSON's stock expected returns. We can calculate the autocorrelation of SEIKO EPSON returns to help us make a trade decision. For example, suppose you find that SEIKO EPSON 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 |
SEIKO EPSON 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 SEIKO EPSON stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SEIKO EPSON stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SEIKO EPSON stock over time.
Current vs Lagged Prices |
| Timeline |
SEIKO EPSON Lagged Returns
When evaluating SEIKO EPSON's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SEIKO EPSON stock have on its future price. SEIKO EPSON 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, SEIKO EPSON autocorrelation shows the relationship between SEIKO EPSON stock current value and its past values and can show if there is a momentum factor associated with investing in SEIKO EPSON PADR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SEIKO Stock
SEIKO EPSON financial ratios help investors to determine whether SEIKO 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 SEIKO with respect to the benefits of owning SEIKO EPSON security.