Sonata Software (India) Market Value
| SONATSOFTW | 548.50 14.50 2.72% |
| Symbol | Sonata |
Sonata Software '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 Sonata Software'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 Sonata Software.
| 10/30/2023 |
| 11/23/2024 |
If you would invest 0.00 in Sonata Software on October 30, 2023 and sell it all today you would earn a total of 0.00 from holding Sonata Software Limited or generate 0.0% return on investment in Sonata Software over 390 days. Sonata Software is related to or competes with Kingfa Science, Rico Auto, GACM Technologies, COSMO FIRST, Tribhovandas Bhimji, Parag Milk, and Heubach Colorants. Sonata Software is entity of India. It is traded as Stock on NSE exchange. More
Sonata Software 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 Sonata Software'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 Sonata Software Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 10.47 | |||
| Value At Risk | (3.25) | |||
| Potential Upside | 4.36 |
Sonata Software Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sonata Software's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sonata Software's standard deviation. In reality, there are many statistical measures that can use Sonata Software historical prices to predict the future Sonata Software's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.51) | |||
| Treynor Ratio | 0.432 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sonata Software'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.
Sonata Software Backtested Returns
Sonata Software owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0861, which indicates the firm had a -0.0861% return per unit of risk over the last 3 months. Sonata Software Limited exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sonata Software's Risk Adjusted Performance of (0.05), variance of 4.45, and Coefficient Of Variation of (1,289) to confirm the risk estimate we provide. The entity has a beta of -0.4, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Sonata Software are expected to decrease at a much lower rate. During the bear market, Sonata Software is likely to outperform the market. At this point, Sonata Software has a negative expected return of -0.18%. Please make sure to validate Sonata Software's treynor ratio, kurtosis, as well as the relationship between the Kurtosis and day typical price , to decide if Sonata Software performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.64 |
Good predictability
Sonata Software Limited has good predictability. Overlapping area represents the amount of predictability between Sonata Software 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 Sonata Software price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Sonata Software price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 2936.5 |
Sonata Software lagged returns against current returns
Autocorrelation, which is Sonata Software 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 Sonata Software's stock expected returns. We can calculate the autocorrelation of Sonata Software returns to help us make a trade decision. For example, suppose you find that Sonata Software 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 |
Sonata Software 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 Sonata Software stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sonata Software stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sonata Software stock over time.
Current vs Lagged Prices |
| Timeline |
Sonata Software Lagged Returns
When evaluating Sonata Software's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sonata Software stock have on its future price. Sonata Software 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, Sonata Software autocorrelation shows the relationship between Sonata Software stock current value and its past values and can show if there is a momentum factor associated with investing in Sonata Software Limited.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Sonata Stock
Sonata Software financial ratios help investors to determine whether Sonata 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 Sonata with respect to the benefits of owning Sonata Software security.