SUN HUNG (Germany) Market Value
| SHG Stock | 9.10 0.25 2.67% |
| Symbol | SUN |
SUN HUNG '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 SUN HUNG'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 SUN HUNG.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in SUN HUNG on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding SUN HUNG KAI or generate 0.0% return on investment in SUN HUNG over 30 days. SUN HUNG is related to or competes with Mizuho Financial, Hyrican Informationssyst, National Bank, Chiba Bank, Hanover Insurance, and Webster Financial. More
SUN HUNG 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 SUN HUNG'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 SUN HUNG KAI upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.83 | |||
| Information Ratio | 0.1225 | |||
| Maximum Drawdown | 37.43 | |||
| Value At Risk | (2.13) | |||
| Potential Upside | 3.26 |
SUN HUNG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SUN HUNG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SUN HUNG's standard deviation. In reality, there are many statistical measures that can use SUN HUNG historical prices to predict the future SUN HUNG's volatility.| Risk Adjusted Performance | 0.1228 | |||
| Jensen Alpha | 0.8052 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.3111 | |||
| Treynor Ratio | (0.67) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SUN HUNG'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.
SUN HUNG KAI Backtested Returns
SUN HUNG appears to be slightly risky, given 3 months investment horizon. SUN HUNG KAI owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the firm had a 0.14% return per unit of standard deviation over the last 3 months. By evaluating SUN HUNG's technical indicators, you can evaluate if the expected return of 0.65% is justified by implied risk. Please review SUN HUNG's coefficient of variation of 669.49, and Risk Adjusted Performance of 0.1228 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SUN HUNG holds a performance score of 10. The entity has a beta of -1.03, which indicates a somewhat significant risk relative to the market. As the market becomes more bullish, returns on owning SUN HUNG are expected to decrease slowly. On the other hand, during market turmoil, SUN HUNG is expected to outperform it slightly. Please check SUN HUNG's treynor ratio, expected short fall, day typical price, as well as the relationship between the potential upside and daily balance of power , to make a quick decision on whether SUN HUNG's existing price patterns will revert.
Auto-correlation | -0.27 |
Weak reverse predictability
SUN HUNG KAI has weak reverse predictability. Overlapping area represents the amount of predictability between SUN HUNG time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 SUN HUNG KAI price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current SUN HUNG price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.27 | |
| Spearman Rank Test | -0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
SUN HUNG KAI lagged returns against current returns
Autocorrelation, which is SUN HUNG 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 SUN HUNG's stock expected returns. We can calculate the autocorrelation of SUN HUNG returns to help us make a trade decision. For example, suppose you find that SUN HUNG 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 |
SUN HUNG 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 SUN HUNG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SUN HUNG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SUN HUNG stock over time.
Current vs Lagged Prices |
| Timeline |
SUN HUNG Lagged Returns
When evaluating SUN HUNG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SUN HUNG stock have on its future price. SUN HUNG 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, SUN HUNG autocorrelation shows the relationship between SUN HUNG stock current value and its past values and can show if there is a momentum factor associated with investing in SUN HUNG KAI.
Regressed Prices |
| Timeline |
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Additional Tools for SUN Stock Analysis
When running SUN HUNG's price analysis, check to measure SUN HUNG'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 SUN HUNG is operating at the current time. Most of SUN HUNG's value examination focuses on studying past and present price action to predict the probability of SUN HUNG's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SUN HUNG's price. Additionally, you may evaluate how the addition of SUN HUNG to your portfolios can decrease your overall portfolio volatility.