Semapa (Portugal) Market Value
| SEM Stock | EUR 13.78 0.12 0.86% |
| Symbol | Semapa |
Semapa '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 Semapa'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 Semapa.
| 06/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Semapa on June 9, 2023 and sell it all today you would earn a total of 0.00 from holding Semapa or generate 0.0% return on investment in Semapa over 540 days. Semapa is related to or competes with Altri SGPS, Navigator, Sonae SGPS, Mota Engil, and Galp Energia. More
Semapa 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 Semapa'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 Semapa upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 4.38 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 1.92 |
Semapa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Semapa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Semapa's standard deviation. In reality, there are many statistical measures that can use Semapa historical prices to predict the future Semapa's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (0.25) |
Semapa Backtested Returns
Semapa owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0598, which indicates the firm had a -0.0598% return per unit of risk over the last 3 months. Semapa exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Semapa's Coefficient Of Variation of (1,524), variance of 1.01, and Risk Adjusted Performance of (0.05) to confirm the risk estimate we provide. The entity has a beta of 0.3, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Semapa's returns are expected to increase less than the market. However, during the bear market, the loss of holding Semapa is expected to be smaller as well. At this point, Semapa has a negative expected return of -0.0605%. Please make sure to validate Semapa's maximum drawdown, kurtosis, day median price, as well as the relationship between the potential upside and daily balance of power , to decide if Semapa performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.1 |
Very weak reverse predictability
Semapa has very weak reverse predictability. Overlapping area represents the amount of predictability between Semapa time series from 9th of June 2023 to 5th of March 2024 and 5th of March 2024 to 30th 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 Semapa price movement. The serial correlation of -0.1 indicates that less than 10.0% of current Semapa price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.1 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.34 |
Semapa lagged returns against current returns
Autocorrelation, which is Semapa 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 Semapa's stock expected returns. We can calculate the autocorrelation of Semapa returns to help us make a trade decision. For example, suppose you find that Semapa 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 |
Semapa 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 Semapa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Semapa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Semapa stock over time.
Current vs Lagged Prices |
| Timeline |
Semapa Lagged Returns
When evaluating Semapa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Semapa stock have on its future price. Semapa 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, Semapa autocorrelation shows the relationship between Semapa stock current value and its past values and can show if there is a momentum factor associated with investing in Semapa.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Semapa Stock Analysis
When running Semapa's price analysis, check to measure Semapa'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 Semapa is operating at the current time. Most of Semapa's value examination focuses on studying past and present price action to predict the probability of Semapa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Semapa's price. Additionally, you may evaluate how the addition of Semapa to your portfolios can decrease your overall portfolio volatility.