SAF Holland (Germany) Market Value
| SFQ Stock | 14.58 0.06 0.41% |
| Symbol | SAF |
SAF Holland '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 SAF Holland'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 SAF Holland.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in SAF Holland on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding SAF Holland SA or generate 0.0% return on investment in SAF Holland over 90 days.
SAF Holland 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 SAF Holland'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 SAF Holland SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 13.28 | |||
| Value At Risk | (3.24) | |||
| Potential Upside | 2.96 |
SAF Holland Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAF Holland's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAF Holland's standard deviation. In reality, there are many statistical measures that can use SAF Holland historical prices to predict the future SAF Holland's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.46) | |||
| Treynor Ratio | 0.6544 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SAF Holland'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.
SAF Holland SA Backtested Returns
SAF Holland SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0495, which indicates the company had a -0.0495% return per unit of volatility over the last 3 months. SAF Holland SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SAF Holland's Standard Deviation of 2.18, risk adjusted performance of (0.03), and Market Risk Adjusted Performance of 0.6644 to confirm the risk estimate we provide. The firm has a beta of -0.18, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SAF Holland are expected to decrease at a much lower rate. During the bear market, SAF Holland is likely to outperform the market. At this point, SAF Holland SA has a negative expected return of -0.11%. Please make sure to validate SAF Holland's value at risk, as well as the relationship between the daily balance of power and price action indicator , to decide if SAF Holland SA performance from the past will be repeated in the future.
Auto-correlation | 0.21 |
Weak predictability
SAF Holland SA has weak predictability. Overlapping area represents the amount of predictability between SAF Holland time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 to 11th of December 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 SAF Holland SA price movement. The serial correlation of 0.21 indicates that over 21.0% of current SAF Holland price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
SAF Holland SA lagged returns against current returns
Autocorrelation, which is SAF Holland 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 SAF Holland's stock expected returns. We can calculate the autocorrelation of SAF Holland returns to help us make a trade decision. For example, suppose you find that SAF Holland 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 |
SAF Holland 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 SAF Holland stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAF Holland stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAF Holland stock over time.
Current vs Lagged Prices |
| Timeline |
SAF Holland Lagged Returns
When evaluating SAF Holland's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAF Holland stock have on its future price. SAF Holland 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, SAF Holland autocorrelation shows the relationship between SAF Holland stock current value and its past values and can show if there is a momentum factor associated with investing in SAF Holland SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for SAF Stock Analysis
When running SAF Holland's price analysis, check to measure SAF Holland'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 SAF Holland is operating at the current time. Most of SAF Holland's value examination focuses on studying past and present price action to predict the probability of SAF Holland's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SAF Holland's price. Additionally, you may evaluate how the addition of SAF Holland to your portfolios can decrease your overall portfolio volatility.