Sumitomo Chemical (Germany) Market Value
| SMM Stock | EUR 2.16 0.02 0.92% |
| Symbol | Sumitomo |
Sumitomo Chemical '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 Sumitomo Chemical'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 Sumitomo Chemical.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Sumitomo Chemical on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Sumitomo Chemical or generate 0.0% return on investment in Sumitomo Chemical over 30 days. Sumitomo Chemical is related to or competes with Sociedad Qumica, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, and NorAm Drilling. Sumitomo Chemical Company, Limited engages in petrochemicals and plastics, energy and functional materials, IT-related, ... More
Sumitomo Chemical 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 Sumitomo Chemical'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 Sumitomo Chemical upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 23.61 | |||
| Value At Risk | (3.45) | |||
| Potential Upside | 3.17 |
Sumitomo Chemical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sumitomo Chemical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sumitomo Chemical's standard deviation. In reality, there are many statistical measures that can use Sumitomo Chemical historical prices to predict the future Sumitomo Chemical's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.55) | |||
| Treynor Ratio | (0.30) |
Sumitomo Chemical Backtested Returns
Sumitomo Chemical owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0705, which indicates the firm had a -0.0705% return per unit of risk over the last 3 months. Sumitomo Chemical exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sumitomo Chemical's Coefficient Of Variation of (1,646), risk adjusted performance of (0.04), and Variance of 7.88 to confirm the risk estimate we provide. The entity has a beta of 0.6, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sumitomo Chemical's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sumitomo Chemical is expected to be smaller as well. At this point, Sumitomo Chemical has a negative expected return of -0.2%. Please make sure to validate Sumitomo Chemical's kurtosis, day typical price, and the relationship between the potential upside and rate of daily change , to decide if Sumitomo Chemical performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.38 |
Below average predictability
Sumitomo Chemical has below average predictability. Overlapping area represents the amount of predictability between Sumitomo Chemical 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 Sumitomo Chemical price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Sumitomo Chemical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Sumitomo Chemical lagged returns against current returns
Autocorrelation, which is Sumitomo Chemical 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 Sumitomo Chemical's stock expected returns. We can calculate the autocorrelation of Sumitomo Chemical returns to help us make a trade decision. For example, suppose you find that Sumitomo Chemical 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 |
Sumitomo Chemical 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 Sumitomo Chemical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sumitomo Chemical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sumitomo Chemical stock over time.
Current vs Lagged Prices |
| Timeline |
Sumitomo Chemical Lagged Returns
When evaluating Sumitomo Chemical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sumitomo Chemical stock have on its future price. Sumitomo Chemical 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, Sumitomo Chemical autocorrelation shows the relationship between Sumitomo Chemical stock current value and its past values and can show if there is a momentum factor associated with investing in Sumitomo Chemical.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Sumitomo Stock
Sumitomo Chemical financial ratios help investors to determine whether Sumitomo Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Sumitomo with respect to the benefits of owning Sumitomo Chemical security.