Sandfire Resources (Australia) Market Value
| SFR Stock | 10.27 0.06 0.59% |
| Symbol | Sandfire |
Sandfire Resources '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 Sandfire Resources' 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 Sandfire Resources.
| 10/30/2023 |
| 11/23/2024 |
If you would invest 0.00 in Sandfire Resources on October 30, 2023 and sell it all today you would earn a total of 0.00 from holding Sandfire Resources NL or generate 0.0% return on investment in Sandfire Resources over 390 days. Sandfire Resources is related to or competes with Hudson Investment, Argo Investments, Regal Investment, TPG Telecom, REGAL ASIAN, and Carlton Investments. Sandfire Resources is entity of Australia More
Sandfire Resources 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 Sandfire Resources' 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 Sandfire Resources NL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.93 | |||
| Information Ratio | 0.052 | |||
| Maximum Drawdown | 9.61 | |||
| Value At Risk | (2.69) | |||
| Potential Upside | 3.29 |
Sandfire Resources Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sandfire Resources' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sandfire Resources' standard deviation. In reality, there are many statistical measures that can use Sandfire Resources historical prices to predict the future Sandfire Resources' volatility.| Risk Adjusted Performance | 0.0948 | |||
| Jensen Alpha | 0.1885 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | 0.0556 | |||
| Treynor Ratio | 0.6961 |
Sandfire Resources Backtested Returns
Sandfire Resources appears to be not too volatile, given 3 months investment horizon. Sandfire Resources owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.1, which indicates the firm had a 0.1% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sandfire Resources NL, which you can use to evaluate the volatility of the company. Please review Sandfire Resources' Coefficient Of Variation of 866.05, semi deviation of 1.77, and Risk Adjusted Performance of 0.0948 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sandfire Resources holds a performance score of 8. The entity has a beta of 0.33, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sandfire Resources' returns are expected to increase less than the market. However, during the bear market, the loss of holding Sandfire Resources is expected to be smaller as well. Please check Sandfire Resources' total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Sandfire Resources' existing price patterns will revert.
Auto-correlation | 0.69 |
Good predictability
Sandfire Resources NL has good predictability. Overlapping area represents the amount of predictability between Sandfire Resources time series from 30th of October 2023 to 12th of May 2024 and 12th of May 2024 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 Sandfire Resources price movement. The serial correlation of 0.69 indicates that around 69.0% of current Sandfire Resources price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.81 |
Sandfire Resources lagged returns against current returns
Autocorrelation, which is Sandfire Resources 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 Sandfire Resources' stock expected returns. We can calculate the autocorrelation of Sandfire Resources returns to help us make a trade decision. For example, suppose you find that Sandfire Resources 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 |
Sandfire Resources 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 Sandfire Resources stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sandfire Resources stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sandfire Resources stock over time.
Current vs Lagged Prices |
| Timeline |
Sandfire Resources Lagged Returns
When evaluating Sandfire Resources' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sandfire Resources stock have on its future price. Sandfire Resources 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, Sandfire Resources autocorrelation shows the relationship between Sandfire Resources stock current value and its past values and can show if there is a momentum factor associated with investing in Sandfire Resources NL.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Sandfire Stock Analysis
When running Sandfire Resources' price analysis, check to measure Sandfire Resources' 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 Sandfire Resources is operating at the current time. Most of Sandfire Resources' value examination focuses on studying past and present price action to predict the probability of Sandfire Resources' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sandfire Resources' price. Additionally, you may evaluate how the addition of Sandfire Resources to your portfolios can decrease your overall portfolio volatility.