Schneider Electric (Germany) Market Value
| SND Stock | 240.45 1.45 0.60% |
| Symbol | Schneider |
Schneider Electric '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 Schneider Electric'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 Schneider Electric.
| 01/06/2023 |
| 11/26/2024 |
If you would invest 0.00 in Schneider Electric on January 6, 2023 and sell it all today you would earn a total of 0.00 from holding Schneider Electric SE or generate 0.0% return on investment in Schneider Electric over 690 days. Schneider Electric is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. More
Schneider Electric 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 Schneider Electric'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 Schneider Electric SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.61 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.04 | |||
| Value At Risk | (2.33) | |||
| Potential Upside | 2.7 |
Schneider Electric Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Schneider Electric's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Schneider Electric's standard deviation. In reality, there are many statistical measures that can use Schneider Electric historical prices to predict the future Schneider Electric's volatility.| Risk Adjusted Performance | 0.0577 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1029 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Schneider Electric'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.
Schneider Electric Backtested Returns
Currently, Schneider Electric SE is very steady. Schneider Electric owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0656, which indicates the firm had a 0.0656% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Schneider Electric SE, which you can use to evaluate the volatility of the company. Please validate Schneider Electric's Semi Deviation of 1.46, coefficient of variation of 1450.5, and Risk Adjusted Performance of 0.0577 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. Schneider Electric has a performance score of 5 on a scale of 0 to 100. The entity has a beta of 0.94, which indicates possible diversification benefits within a given portfolio. Schneider Electric returns are very sensitive to returns on the market. As the market goes up or down, Schneider Electric is expected to follow. Schneider Electric right now has a risk of 1.55%. Please validate Schneider Electric total risk alpha, expected short fall, market facilitation index, as well as the relationship between the value at risk and daily balance of power , to decide if Schneider Electric will be following its existing price patterns.
Auto-correlation | 0.59 |
Modest predictability
Schneider Electric SE has modest predictability. Overlapping area represents the amount of predictability between Schneider Electric time series from 6th of January 2023 to 17th of December 2023 and 17th of December 2023 to 26th 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 Schneider Electric price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Schneider Electric price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 422.51 |
Schneider Electric lagged returns against current returns
Autocorrelation, which is Schneider Electric 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 Schneider Electric's stock expected returns. We can calculate the autocorrelation of Schneider Electric returns to help us make a trade decision. For example, suppose you find that Schneider Electric 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 |
Schneider Electric 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 Schneider Electric stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Schneider Electric stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Schneider Electric stock over time.
Current vs Lagged Prices |
| Timeline |
Schneider Electric Lagged Returns
When evaluating Schneider Electric's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Schneider Electric stock have on its future price. Schneider Electric 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, Schneider Electric autocorrelation shows the relationship between Schneider Electric stock current value and its past values and can show if there is a momentum factor associated with investing in Schneider Electric SE.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Schneider Stock Analysis
When running Schneider Electric's price analysis, check to measure Schneider Electric'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 Schneider Electric is operating at the current time. Most of Schneider Electric's value examination focuses on studying past and present price action to predict the probability of Schneider Electric's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Schneider Electric's price. Additionally, you may evaluate how the addition of Schneider Electric to your portfolios can decrease your overall portfolio volatility.