Sofina Socit (Belgium) Market Value
| SOF Stock | EUR 225.20 3.40 1.53% |
| Symbol | Sofina |
Sofina Socit '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 Sofina Socit'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 Sofina Socit.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Sofina Socit on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Sofina Socit Anonyme or generate 0.0% return on investment in Sofina Socit over 30 days. Sofina Socit is related to or competes with Retail Estates, Home Invest, Shurgard Self, and Vastned Retail. Sofina Socit Anonyme is a private equity and venture capital firm specializing in direct and fund of funds investments More
Sofina Socit 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 Sofina Socit'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 Sofina Socit Anonyme upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.12 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 14.83 | |||
| Value At Risk | (1.84) | |||
| Potential Upside | 1.65 |
Sofina Socit Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sofina Socit's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sofina Socit's standard deviation. In reality, there are many statistical measures that can use Sofina Socit historical prices to predict the future Sofina Socit's volatility.| Risk Adjusted Performance | 0.0228 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.25) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.0496 |
Sofina Socit Anonyme Backtested Returns
Currently, Sofina Socit Anonyme is very steady. Sofina Socit Anonyme owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0312, which indicates the firm had a 0.0312% return per unit of risk over the last 3 months. We have found thirty technical indicators for Sofina Socit Anonyme, which you can use to evaluate the volatility of the company. Please validate Sofina Socit's Semi Deviation of 1.08, coefficient of variation of 4492.83, and Risk Adjusted Performance of 0.0228 to confirm if the risk estimate we provide is consistent with the expected return of 0.0558%. Sofina Socit has a performance score of 2 on a scale of 0 to 100. The entity has a beta of 0.6, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sofina Socit's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sofina Socit is expected to be smaller as well. Sofina Socit Anonyme right now has a risk of 1.79%. Please validate Sofina Socit coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Sofina Socit will be following its existing price patterns.
Auto-correlation | 0.37 |
Below average predictability
Sofina Socit Anonyme has below average predictability. Overlapping area represents the amount of predictability between Sofina Socit time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 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 Sofina Socit Anonyme price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Sofina Socit price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 8.32 |
Sofina Socit Anonyme lagged returns against current returns
Autocorrelation, which is Sofina Socit 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 Sofina Socit's stock expected returns. We can calculate the autocorrelation of Sofina Socit returns to help us make a trade decision. For example, suppose you find that Sofina Socit 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 |
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Sofina Socit 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 Sofina Socit stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sofina Socit stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sofina Socit stock over time.
Current vs Lagged Prices |
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Sofina Socit Lagged Returns
When evaluating Sofina Socit's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sofina Socit stock have on its future price. Sofina Socit 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, Sofina Socit autocorrelation shows the relationship between Sofina Socit stock current value and its past values and can show if there is a momentum factor associated with investing in Sofina Socit Anonyme.
Regressed Prices |
| Timeline |
Pair Trading with Sofina Socit
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 Sofina Socit 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 Sofina Socit will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Sofina Socit could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sofina Socit 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 Sofina Socit - 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 Sofina Socit Anonyme to buy it.
The correlation of Sofina Socit 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 Sofina Socit moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sofina Socit Anonyme 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 Sofina Socit 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 Sofina Stock Analysis
When running Sofina Socit's price analysis, check to measure Sofina Socit'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 Sofina Socit is operating at the current time. Most of Sofina Socit's value examination focuses on studying past and present price action to predict the probability of Sofina Socit's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sofina Socit's price. Additionally, you may evaluate how the addition of Sofina Socit to your portfolios can decrease your overall portfolio volatility.