SOVEREIGN TRUST (Nigeria) Market Value
| SOVRENINS | 0.68 0.04 6.25% |
| Symbol | SOVEREIGN |
SOVEREIGN TRUST '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 SOVEREIGN TRUST'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 SOVEREIGN TRUST.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in SOVEREIGN TRUST on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding SOVEREIGN TRUST INSURANCE or generate 0.0% return on investment in SOVEREIGN TRUST over 690 days.
SOVEREIGN TRUST 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 SOVEREIGN TRUST'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 SOVEREIGN TRUST INSURANCE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.16 | |||
| Information Ratio | 0.03 | |||
| Maximum Drawdown | 17.88 | |||
| Value At Risk | (7.25) | |||
| Potential Upside | 8.2 |
SOVEREIGN TRUST Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SOVEREIGN TRUST's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SOVEREIGN TRUST's standard deviation. In reality, there are many statistical measures that can use SOVEREIGN TRUST historical prices to predict the future SOVEREIGN TRUST's volatility.| Risk Adjusted Performance | 0.0539 | |||
| Jensen Alpha | 0.2586 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | 0.0246 | |||
| Treynor Ratio | (1.71) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SOVEREIGN TRUST'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.
SOVEREIGN TRUST INSURANCE Backtested Returns
SOVEREIGN TRUST INSURANCE owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0075, which indicates the firm had a -0.0075% return per unit of standard deviation over the last 3 months. SOVEREIGN TRUST INSURANCE exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SOVEREIGN TRUST's risk adjusted performance of 0.0539, and Coefficient Of Variation of 1674.56 to confirm the risk estimate we provide. The entity has a beta of -0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SOVEREIGN TRUST are expected to decrease at a much lower rate. During the bear market, SOVEREIGN TRUST is likely to outperform the market. At this point, SOVEREIGN TRUST INSURANCE has a negative expected return of -0.031%. Please make sure to validate SOVEREIGN TRUST's semi variance, as well as the relationship between the daily balance of power and period momentum indicator , to decide if SOVEREIGN TRUST INSURANCE performance from the past will be repeated at some future point.
Auto-correlation | -0.09 |
Very weak reverse predictability
SOVEREIGN TRUST INSURANCE has very weak reverse predictability. Overlapping area represents the amount of predictability between SOVEREIGN TRUST time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 to 29th 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 SOVEREIGN TRUST INSURANCE price movement. The serial correlation of -0.09 indicates that less than 9.0% of current SOVEREIGN TRUST price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
SOVEREIGN TRUST INSURANCE lagged returns against current returns
Autocorrelation, which is SOVEREIGN TRUST 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 SOVEREIGN TRUST's stock expected returns. We can calculate the autocorrelation of SOVEREIGN TRUST returns to help us make a trade decision. For example, suppose you find that SOVEREIGN TRUST 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 |
SOVEREIGN TRUST 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 SOVEREIGN TRUST stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SOVEREIGN TRUST stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SOVEREIGN TRUST stock over time.
Current vs Lagged Prices |
| Timeline |
SOVEREIGN TRUST Lagged Returns
When evaluating SOVEREIGN TRUST's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SOVEREIGN TRUST stock have on its future price. SOVEREIGN TRUST 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, SOVEREIGN TRUST autocorrelation shows the relationship between SOVEREIGN TRUST stock current value and its past values and can show if there is a momentum factor associated with investing in SOVEREIGN TRUST INSURANCE.
Regressed Prices |
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