SIT LAND (Mauritius) Market Value
| SIT Stock | 6,080 180.00 3.05% |
| Symbol | SIT |
SIT LAND '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 SIT LAND'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 SIT LAND.
| 02/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in SIT LAND on February 4, 2023 and sell it all today you would earn a total of 0.00 from holding SIT LAND HOLDINGS or generate 0.0% return on investment in SIT LAND over 660 days.
SIT LAND 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 SIT LAND'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 SIT LAND HOLDINGS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.49) | |||
| Maximum Drawdown | 2.96 | |||
| Value At Risk | (0.08) |
SIT LAND Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIT LAND's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIT LAND's standard deviation. In reality, there are many statistical measures that can use SIT LAND historical prices to predict the future SIT LAND's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.12) | |||
| Treynor Ratio | (13.60) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SIT LAND'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.
SIT LAND HOLDINGS Backtested Returns
SIT LAND HOLDINGS 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. SIT LAND HOLDINGS exposes twenty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SIT LAND's risk adjusted performance of (0.12), and Variance of 0.1332 to confirm the risk estimate we provide. The entity has a beta of 0.0044, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SIT LAND's returns are expected to increase less than the market. However, during the bear market, the loss of holding SIT LAND is expected to be smaller as well. At this point, SIT LAND HOLDINGS has a negative expected return of -0.0522%. Please make sure to validate SIT LAND's value at risk, rate of daily change, as well as the relationship between the Rate Of Daily Change and period momentum indicator , to decide if SIT LAND HOLDINGS performance from the past will be repeated at some future point.
Auto-correlation | 0.68 |
Good predictability
SIT LAND HOLDINGS has good predictability. Overlapping area represents the amount of predictability between SIT LAND time series from 4th of February 2023 to 31st of December 2023 and 31st of December 2023 to 25th 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 SIT LAND HOLDINGS price movement. The serial correlation of 0.68 indicates that around 68.0% of current SIT LAND price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.68 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 178.1 K |
SIT LAND HOLDINGS lagged returns against current returns
Autocorrelation, which is SIT LAND 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 SIT LAND's stock expected returns. We can calculate the autocorrelation of SIT LAND returns to help us make a trade decision. For example, suppose you find that SIT LAND 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 |
SIT LAND 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 SIT LAND stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIT LAND stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIT LAND stock over time.
Current vs Lagged Prices |
| Timeline |
SIT LAND Lagged Returns
When evaluating SIT LAND's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIT LAND stock have on its future price. SIT LAND 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, SIT LAND autocorrelation shows the relationship between SIT LAND stock current value and its past values and can show if there is a momentum factor associated with investing in SIT LAND HOLDINGS.
Regressed Prices |
| Timeline |
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