Socovesa (Chile) Market Value
| SOCOVESA | CLP 73.00 1.00 1.39% |
| Symbol | Socovesa |
Socovesa '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 Socovesa'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 Socovesa.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Socovesa on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Socovesa or generate 0.0% return on investment in Socovesa over 30 days. Socovesa is related to or competes with Embotelladora Andina, Administradora Americana, Las Condes, Salfacorp, Vina Concha, Schwager, and Multiexport Foods. Socovesa S.A. engages in the real estate development business in Chile More
Socovesa 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 Socovesa'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 Socovesa upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.57 | |||
| Information Ratio | 0.0579 | |||
| Maximum Drawdown | 13.65 | |||
| Value At Risk | (3.49) | |||
| Potential Upside | 4.13 |
Socovesa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Socovesa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Socovesa's standard deviation. In reality, there are many statistical measures that can use Socovesa historical prices to predict the future Socovesa's volatility.| Risk Adjusted Performance | 0.0873 | |||
| Jensen Alpha | 0.1878 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | 0.0536 | |||
| Treynor Ratio | 0.4654 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Socovesa'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.
Socovesa Backtested Returns
Socovesa appears to be very steady, given 3 months investment horizon. Socovesa owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the firm had a 0.19% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Socovesa, which you can use to evaluate the volatility of the company. Please review Socovesa's Semi Deviation of 1.49, risk adjusted performance of 0.0873, and Coefficient Of Variation of 948.09 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Socovesa holds a performance score of 14. The entity has a beta of 0.52, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Socovesa's returns are expected to increase less than the market. However, during the bear market, the loss of holding Socovesa is expected to be smaller as well. Please check Socovesa's sortino ratio, as well as the relationship between the semi variance and rate of daily change , to make a quick decision on whether Socovesa's existing price patterns will revert.
Auto-correlation | 0.38 |
Below average predictability
Socovesa has below average predictability. Overlapping area represents the amount of predictability between Socovesa time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th of December 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 Socovesa price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Socovesa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 1.54 |
Socovesa lagged returns against current returns
Autocorrelation, which is Socovesa 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 Socovesa's stock expected returns. We can calculate the autocorrelation of Socovesa returns to help us make a trade decision. For example, suppose you find that Socovesa 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 |
Socovesa 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 Socovesa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Socovesa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Socovesa stock over time.
Current vs Lagged Prices |
| Timeline |
Socovesa Lagged Returns
When evaluating Socovesa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Socovesa stock have on its future price. Socovesa 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, Socovesa autocorrelation shows the relationship between Socovesa stock current value and its past values and can show if there is a momentum factor associated with investing in Socovesa.
Regressed Prices |
| Timeline |
Pair Trading with Socovesa
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 Socovesa 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 Socovesa will appreciate offsetting losses from the drop in the long position's value.Moving together with Socovesa Stock
Moving against Socovesa Stock
The ability to find closely correlated positions to Socovesa could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Socovesa 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 Socovesa - 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 Socovesa to buy it.
The correlation of Socovesa 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 Socovesa moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Socovesa 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 Socovesa 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 Socovesa Stock Analysis
When running Socovesa's price analysis, check to measure Socovesa'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 Socovesa is operating at the current time. Most of Socovesa's value examination focuses on studying past and present price action to predict the probability of Socovesa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Socovesa's price. Additionally, you may evaluate how the addition of Socovesa to your portfolios can decrease your overall portfolio volatility.