SHIN-ETSU CHEMICAL (Germany) Market Value
| SEH Stock | 34.67 0.65 1.91% |
| Symbol | SHIN-ETSU |
SHIN-ETSU CHEMICAL '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 SHIN-ETSU CHEMICAL'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 SHIN-ETSU CHEMICAL.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in SHIN-ETSU CHEMICAL on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding SHIN ETSU CHEMICAL or generate 0.0% return on investment in SHIN-ETSU CHEMICAL over 720 days. SHIN-ETSU CHEMICAL is related to or competes with Vastned Retail, Neinor Homes, SIEM OFFSHORE, Trade Desk, Haier Smart, CANON MARKETING, and AUTO TRADER. More
SHIN-ETSU CHEMICAL 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 SHIN-ETSU CHEMICAL'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 SHIN ETSU CHEMICAL upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 8.77 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 2.94 |
SHIN-ETSU CHEMICAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SHIN-ETSU CHEMICAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SHIN-ETSU CHEMICAL's standard deviation. In reality, there are many statistical measures that can use SHIN-ETSU CHEMICAL historical prices to predict the future SHIN-ETSU CHEMICAL's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | (0.62) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SHIN-ETSU CHEMICAL'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.
SHIN ETSU CHEMICAL Backtested Returns
SHIN ETSU CHEMICAL owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0966, which indicates the firm had a -0.0966% return per unit of volatility over the last 3 months. SHIN ETSU CHEMICAL exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SHIN-ETSU CHEMICAL's variance of 3.86, and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The entity has a beta of 0.29, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SHIN-ETSU CHEMICAL's returns are expected to increase less than the market. However, during the bear market, the loss of holding SHIN-ETSU CHEMICAL is expected to be smaller as well. At this point, SHIN ETSU CHEMICAL has a negative expected return of -0.19%. Please make sure to validate SHIN-ETSU CHEMICAL's skewness, and the relationship between the total risk alpha and rate of daily change , to decide if SHIN ETSU CHEMICAL performance from the past will be repeated at future time.
Auto-correlation | 0.20 |
Weak predictability
SHIN ETSU CHEMICAL has weak predictability. Overlapping area represents the amount of predictability between SHIN-ETSU CHEMICAL time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 SHIN ETSU CHEMICAL price movement. The serial correlation of 0.2 indicates that over 20.0% of current SHIN-ETSU CHEMICAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 4.78 |
SHIN ETSU CHEMICAL lagged returns against current returns
Autocorrelation, which is SHIN-ETSU CHEMICAL 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 SHIN-ETSU CHEMICAL's stock expected returns. We can calculate the autocorrelation of SHIN-ETSU CHEMICAL returns to help us make a trade decision. For example, suppose you find that SHIN-ETSU CHEMICAL 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 |
SHIN-ETSU CHEMICAL 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 SHIN-ETSU CHEMICAL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SHIN-ETSU CHEMICAL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SHIN-ETSU CHEMICAL stock over time.
Current vs Lagged Prices |
| Timeline |
SHIN-ETSU CHEMICAL Lagged Returns
When evaluating SHIN-ETSU CHEMICAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SHIN-ETSU CHEMICAL stock have on its future price. SHIN-ETSU CHEMICAL 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, SHIN-ETSU CHEMICAL autocorrelation shows the relationship between SHIN-ETSU CHEMICAL stock current value and its past values and can show if there is a momentum factor associated with investing in SHIN ETSU CHEMICAL.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Additional Tools for SHIN-ETSU Stock Analysis
When running SHIN-ETSU CHEMICAL's price analysis, check to measure SHIN-ETSU CHEMICAL'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 SHIN-ETSU CHEMICAL is operating at the current time. Most of SHIN-ETSU CHEMICAL's value examination focuses on studying past and present price action to predict the probability of SHIN-ETSU CHEMICAL's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SHIN-ETSU CHEMICAL's price. Additionally, you may evaluate how the addition of SHIN-ETSU CHEMICAL to your portfolios can decrease your overall portfolio volatility.