Stadler Rail (Switzerland) Market Value
| SRAIL Stock | CHF 19.06 0.10 0.53% |
| Symbol | Stadler |
Stadler Rail '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 Stadler Rail'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 Stadler Rail.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Stadler Rail on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Stadler Rail AG or generate 0.0% return on investment in Stadler Rail over 300 days. Stadler Rail is related to or competes with Swiss Life, Swiss Re, Geberit AG, and ABB. Stadler Rail AG, through its subsidiaries, engages in the manufacture and sale of trains in Switzerland, Germany, Austri... More
Stadler Rail 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 Stadler Rail'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 Stadler Rail AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 13.93 | |||
| Value At Risk | (3.95) | |||
| Potential Upside | 1.7 |
Stadler Rail Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Stadler Rail's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Stadler Rail's standard deviation. In reality, there are many statistical measures that can use Stadler Rail historical prices to predict the future Stadler Rail's volatility.| Risk Adjusted Performance | (0.20) | |||
| Jensen Alpha | (0.60) | |||
| Total Risk Alpha | (0.87) | |||
| Treynor Ratio | (1.38) |
Stadler Rail AG Backtested Returns
Stadler Rail AG owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.26, which indicates the firm had a -0.26% return per unit of risk over the last 3 months. Stadler Rail AG exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Stadler Rail's Risk Adjusted Performance of (0.20), coefficient of variation of (366.58), and Variance of 4.02 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, Stadler Rail's returns are expected to increase less than the market. However, during the bear market, the loss of holding Stadler Rail is expected to be smaller as well. At this point, Stadler Rail AG has a negative expected return of -0.52%. Please make sure to validate Stadler Rail's potential upside, and the relationship between the jensen alpha and daily balance of power , to decide if Stadler Rail AG performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.69 |
Good predictability
Stadler Rail AG has good predictability. Overlapping area represents the amount of predictability between Stadler Rail time series from 31st of January 2024 to 29th of June 2024 and 29th of June 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 Stadler Rail AG price movement. The serial correlation of 0.69 indicates that around 69.0% of current Stadler Rail price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 3.45 |
Stadler Rail AG lagged returns against current returns
Autocorrelation, which is Stadler Rail 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 Stadler Rail's stock expected returns. We can calculate the autocorrelation of Stadler Rail returns to help us make a trade decision. For example, suppose you find that Stadler Rail 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 |
Stadler Rail 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 Stadler Rail stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Stadler Rail stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Stadler Rail stock over time.
Current vs Lagged Prices |
| Timeline |
Stadler Rail Lagged Returns
When evaluating Stadler Rail's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Stadler Rail stock have on its future price. Stadler Rail 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, Stadler Rail autocorrelation shows the relationship between Stadler Rail stock current value and its past values and can show if there is a momentum factor associated with investing in Stadler Rail AG.
Regressed Prices |
| Timeline |
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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.Additional Tools for Stadler Stock Analysis
When running Stadler Rail's price analysis, check to measure Stadler Rail'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 Stadler Rail is operating at the current time. Most of Stadler Rail's value examination focuses on studying past and present price action to predict the probability of Stadler Rail's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Stadler Rail's price. Additionally, you may evaluate how the addition of Stadler Rail to your portfolios can decrease your overall portfolio volatility.