Sipef NV (Belgium) Market Value
| SIP Stock | EUR 56.60 0.60 1.05% |
| Symbol | Sipef |
Sipef NV '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 Sipef NV'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 Sipef NV.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Sipef NV on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Sipef NV or generate 0.0% return on investment in Sipef NV over 30 days. Sipef NV is related to or competes with Tessenderlo, EVS Broadcast, Ackermans Van, Melexis NV, and NV Bekaert. The company operates through Palm, Rubber, Tea, and Bananas and Flowers segments More
Sipef NV 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 Sipef NV'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 Sipef NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9919 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 4.58 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.11 |
Sipef NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sipef NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sipef NV's standard deviation. In reality, there are many statistical measures that can use Sipef NV historical prices to predict the future Sipef NV's volatility.| Risk Adjusted Performance | 0.0242 | |||
| Jensen Alpha | 0.0094 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | 0.3383 |
Sipef NV Backtested Returns
Currently, Sipef NV is very steady. Sipef NV owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0315, which indicates the firm had a 0.0315% return per unit of risk over the last 3 months. We have found thirty technical indicators for Sipef NV, which you can use to evaluate the volatility of the company. Please validate Sipef NV's Coefficient Of Variation of 3202.44, semi deviation of 0.709, and Risk Adjusted Performance of 0.0242 to confirm if the risk estimate we provide is consistent with the expected return of 0.025%. Sipef NV has a performance score of 2 on a scale of 0 to 100. The entity has a beta of 0.0433, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sipef NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sipef NV is expected to be smaller as well. Sipef NV right now has a risk of 0.8%. Please validate Sipef NV treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if Sipef NV will be following its existing price patterns.
Auto-correlation | -0.54 |
Good reverse predictability
Sipef NV has good reverse predictability. Overlapping area represents the amount of predictability between Sipef NV time series from 24th of October 2024 to 8th of November 2024 and 8th of November 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 Sipef NV price movement. The serial correlation of -0.54 indicates that about 54.0% of current Sipef NV price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.2 |
Sipef NV lagged returns against current returns
Autocorrelation, which is Sipef NV 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 Sipef NV's stock expected returns. We can calculate the autocorrelation of Sipef NV returns to help us make a trade decision. For example, suppose you find that Sipef NV 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 |
Sipef NV 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 Sipef NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sipef NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sipef NV stock over time.
Current vs Lagged Prices |
| Timeline |
Sipef NV Lagged Returns
When evaluating Sipef NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sipef NV stock have on its future price. Sipef NV 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, Sipef NV autocorrelation shows the relationship between Sipef NV stock current value and its past values and can show if there is a momentum factor associated with investing in Sipef NV.
Regressed Prices |
| Timeline |
Pair Trading with Sipef NV
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 Sipef NV 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 Sipef NV will appreciate offsetting losses from the drop in the long position's value.Moving together with Sipef Stock
Moving against Sipef Stock
| 0.74 | WDP | Warehouses de Pauw | PairCorr |
| 0.55 | SOF | Sofina Socit Anonyme | PairCorr |
| 0.54 | BREB | Brederode SA | PairCorr |
The ability to find closely correlated positions to Sipef NV could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sipef NV 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 Sipef NV - 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 Sipef NV to buy it.
The correlation of Sipef NV 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 Sipef NV moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sipef NV 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 Sipef NV 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 Sipef Stock Analysis
When running Sipef NV's price analysis, check to measure Sipef NV'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 Sipef NV is operating at the current time. Most of Sipef NV's value examination focuses on studying past and present price action to predict the probability of Sipef NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sipef NV's price. Additionally, you may evaluate how the addition of Sipef NV to your portfolios can decrease your overall portfolio volatility.