Sonae SGPS (Portugal) Market Value
| SON Stock | EUR 0.93 0.01 1.09% |
| Symbol | Sonae |
Sonae SGPS '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 Sonae SGPS'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 Sonae SGPS.
| 10/30/2023 |
| 11/23/2024 |
If you would invest 0.00 in Sonae SGPS on October 30, 2023 and sell it all today you would earn a total of 0.00 from holding Sonae SGPS SA or generate 0.0% return on investment in Sonae SGPS over 390 days. Sonae SGPS is related to or competes with Banco Comercial, NOS SGPS, Navigator, Altri SGPS, and Galp Energia. Sonae, SGPS, S.A. engages in retail, financial services, technology, shopping center, and telecommunication businesses More
Sonae SGPS 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 Sonae SGPS'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 Sonae SGPS SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 4.23 | |||
| Value At Risk | (1.09) | |||
| Potential Upside | 1.1 |
Sonae SGPS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sonae SGPS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sonae SGPS's standard deviation. In reality, there are many statistical measures that can use Sonae SGPS historical prices to predict the future Sonae SGPS's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | 0.2038 |
Sonae SGPS SA Backtested Returns
Sonae SGPS SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0169, which indicates the firm had a -0.0169% return per unit of risk over the last 3 months. Sonae SGPS SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sonae SGPS's Coefficient Of Variation of (5,967), risk adjusted performance of (0.01), and Variance of 0.6173 to confirm the risk estimate we provide. The entity has a beta of -0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sonae SGPS are expected to decrease at a much lower rate. During the bear market, Sonae SGPS is likely to outperform the market. At this point, Sonae SGPS SA has a negative expected return of -0.0134%. Please make sure to validate Sonae SGPS's potential upside and the relationship between the accumulation distribution and price action indicator , to decide if Sonae SGPS SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.33 |
Poor reverse predictability
Sonae SGPS SA has poor reverse predictability. Overlapping area represents the amount of predictability between Sonae SGPS time series from 30th of October 2023 to 12th of May 2024 and 12th of May 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 Sonae SGPS SA price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Sonae SGPS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.33 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Sonae SGPS SA lagged returns against current returns
Autocorrelation, which is Sonae SGPS 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 Sonae SGPS's stock expected returns. We can calculate the autocorrelation of Sonae SGPS returns to help us make a trade decision. For example, suppose you find that Sonae SGPS 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 |
Sonae SGPS 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 Sonae SGPS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sonae SGPS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sonae SGPS stock over time.
Current vs Lagged Prices |
| Timeline |
Sonae SGPS Lagged Returns
When evaluating Sonae SGPS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sonae SGPS stock have on its future price. Sonae SGPS 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, Sonae SGPS autocorrelation shows the relationship between Sonae SGPS stock current value and its past values and can show if there is a momentum factor associated with investing in Sonae SGPS SA.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Sonae Stock Analysis
When running Sonae SGPS's price analysis, check to measure Sonae SGPS'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 Sonae SGPS is operating at the current time. Most of Sonae SGPS's value examination focuses on studying past and present price action to predict the probability of Sonae SGPS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sonae SGPS's price. Additionally, you may evaluate how the addition of Sonae SGPS to your portfolios can decrease your overall portfolio volatility.