Shoper SA (Poland) Market Value
| SHO Stock | 43.50 3.60 9.02% |
| Symbol | Shoper |
Shoper SA '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 Shoper SA'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 Shoper SA.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Shoper SA on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Shoper SA or generate 0.0% return on investment in Shoper SA over 30 days.
Shoper SA 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 Shoper SA'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 Shoper SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 10.55 | |||
| Value At Risk | (3.48) | |||
| Potential Upside | 3.69 |
Shoper SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shoper SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shoper SA's standard deviation. In reality, there are many statistical measures that can use Shoper SA historical prices to predict the future Shoper SA's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.53) | |||
| Treynor Ratio | 1.99 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Shoper SA'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.
Shoper SA Backtested Returns
Shoper SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0354, which indicates the firm had a -0.0354% return per unit of risk over the last 3 months. Shoper SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Shoper SA's Variance of 6.22, coefficient of variation of (2,423), and Risk Adjusted Performance of (0.02) to confirm the risk estimate we provide. The entity has a beta of -0.0566, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shoper SA are expected to decrease at a much lower rate. During the bear market, Shoper SA is likely to outperform the market. At this point, Shoper SA has a negative expected return of -0.0896%. Please make sure to validate Shoper SA's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Shoper SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.02 |
Virtually no predictability
Shoper SA has virtually no predictability. Overlapping area represents the amount of predictability between Shoper SA time series from 31st of October 2024 to 15th of November 2024 and 15th of November 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 Shoper SA price movement. The serial correlation of 0.02 indicates that only 2.0% of current Shoper SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.4 |
Shoper SA lagged returns against current returns
Autocorrelation, which is Shoper SA 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 Shoper SA's stock expected returns. We can calculate the autocorrelation of Shoper SA returns to help us make a trade decision. For example, suppose you find that Shoper SA 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 |
Shoper SA 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 Shoper SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shoper SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shoper SA stock over time.
Current vs Lagged Prices |
| Timeline |
Shoper SA Lagged Returns
When evaluating Shoper SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shoper SA stock have on its future price. Shoper SA 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, Shoper SA autocorrelation shows the relationship between Shoper SA stock current value and its past values and can show if there is a momentum factor associated with investing in Shoper SA.
Regressed Prices |
| Timeline |
Pair Trading with Shoper SA
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Shoper SA position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Shoper SA will appreciate offsetting losses from the drop in the long position's value.Moving together with Shoper Stock
Moving against Shoper Stock
The ability to find closely correlated positions to Shoper SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Shoper SA when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Shoper SA - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Shoper SA to buy it.
The correlation of Shoper SA is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Shoper SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Shoper SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Shoper SA can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Shoper Stock Analysis
When running Shoper SA's price analysis, check to measure Shoper SA'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 Shoper SA is operating at the current time. Most of Shoper SA's value examination focuses on studying past and present price action to predict the probability of Shoper SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Shoper SA's price. Additionally, you may evaluate how the addition of Shoper SA to your portfolios can decrease your overall portfolio volatility.