Sparta AG (Germany) Market Value
| SPT6 Stock | EUR 32.40 0.00 0.00% |
| Symbol | Sparta |
Sparta AG '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 Sparta AG'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 Sparta AG.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in Sparta AG on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding Sparta AG or generate 0.0% return on investment in Sparta AG over 180 days. Sparta AG is related to or competes with American Eagle, AM EAGLE, BlueScope Steel, CECO ENVIRONMENTAL, Mobilezone Holding, Daido Steel, and Consolidated Communications. It primarily provides its services to public and private companies More
Sparta AG 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 Sparta AG'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 Sparta AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.19 | |||
| Information Ratio | 0.0862 | |||
| Maximum Drawdown | 20.21 | |||
| Value At Risk | (3.33) | |||
| Potential Upside | 3.45 |
Sparta AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparta AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparta AG's standard deviation. In reality, there are many statistical measures that can use Sparta AG historical prices to predict the future Sparta AG's volatility.| Risk Adjusted Performance | 0.1147 | |||
| Jensen Alpha | 0.3222 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0648 | |||
| Treynor Ratio | 7.53 |
Sparta AG Backtested Returns
Sparta AG appears to be very steady, given 3 months investment horizon. Sparta AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-five technical indicators for Sparta AG, which you can use to evaluate the volatility of the company. Please review Sparta AG's Coefficient Of Variation of 710.79, semi deviation of 0.8984, and Risk Adjusted Performance of 0.1147 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sparta AG holds a performance score of 10. The entity has a beta of 0.0435, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sparta AG's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sparta AG is expected to be smaller as well. Please check Sparta AG's coefficient of variation, jensen alpha, and the relationship between the downside deviation and information ratio , to make a quick decision on whether Sparta AG's existing price patterns will revert.
Auto-correlation | 0.16 |
Very weak predictability
Sparta AG has very weak predictability. Overlapping area represents the amount of predictability between Sparta AG time series from 30th of May 2024 to 28th of August 2024 and 28th of August 2024 to 26th 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 Sparta AG price movement. The serial correlation of 0.16 indicates that over 16.0% of current Sparta AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 4.53 |
Sparta AG lagged returns against current returns
Autocorrelation, which is Sparta AG 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 Sparta AG's stock expected returns. We can calculate the autocorrelation of Sparta AG returns to help us make a trade decision. For example, suppose you find that Sparta AG 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 |
Sparta AG 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 Sparta AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparta AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparta AG stock over time.
Current vs Lagged Prices |
| Timeline |
Sparta AG Lagged Returns
When evaluating Sparta AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparta AG stock have on its future price. Sparta AG 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, Sparta AG autocorrelation shows the relationship between Sparta AG stock current value and its past values and can show if there is a momentum factor associated with investing in Sparta AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Sparta Stock
Sparta AG financial ratios help investors to determine whether Sparta 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 Sparta with respect to the benefits of owning Sparta AG security.