SOFTWARE MANSION (Poland) Market Value
| SWM Stock | 30.00 1.00 3.23% |
| Symbol | SOFTWARE |
SOFTWARE MANSION '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 SOFTWARE MANSION'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 SOFTWARE MANSION.
| 02/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in SOFTWARE MANSION on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding SOFTWARE MANSION SPOLKA or generate 0.0% return on investment in SOFTWARE MANSION over 270 days.
SOFTWARE MANSION 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 SOFTWARE MANSION'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 SOFTWARE MANSION SPOLKA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 9.93 | |||
| Value At Risk | (4.09) | |||
| Potential Upside | 3.56 |
SOFTWARE MANSION Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SOFTWARE MANSION's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SOFTWARE MANSION's standard deviation. In reality, there are many statistical measures that can use SOFTWARE MANSION historical prices to predict the future SOFTWARE MANSION's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (1.09) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SOFTWARE MANSION'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.
SOFTWARE MANSION SPOLKA Backtested Returns
SOFTWARE MANSION SPOLKA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0766, which indicates the firm had a -0.0766% return per unit of volatility over the last 3 months. SOFTWARE MANSION SPOLKA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SOFTWARE MANSION's risk adjusted performance of (0.04), and Variance of 5.01 to confirm the risk estimate we provide. The entity has a beta of 0.12, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SOFTWARE MANSION's returns are expected to increase less than the market. However, during the bear market, the loss of holding SOFTWARE MANSION is expected to be smaller as well. At this point, SOFTWARE MANSION SPOLKA has a negative expected return of -0.18%. Please make sure to validate SOFTWARE MANSION's value at risk, as well as the relationship between the daily balance of power and price action indicator , to decide if SOFTWARE MANSION SPOLKA performance from the past will be repeated at future time.
Auto-correlation | 0.09 |
Virtually no predictability
SOFTWARE MANSION SPOLKA has virtually no predictability. Overlapping area represents the amount of predictability between SOFTWARE MANSION time series from 27th of February 2024 to 11th of July 2024 and 11th of July 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 SOFTWARE MANSION SPOLKA price movement. The serial correlation of 0.09 indicates that less than 9.0% of current SOFTWARE MANSION price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 2.55 |
SOFTWARE MANSION SPOLKA lagged returns against current returns
Autocorrelation, which is SOFTWARE MANSION 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 SOFTWARE MANSION's stock expected returns. We can calculate the autocorrelation of SOFTWARE MANSION returns to help us make a trade decision. For example, suppose you find that SOFTWARE MANSION 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 |
SOFTWARE MANSION 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 SOFTWARE MANSION stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SOFTWARE MANSION stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SOFTWARE MANSION stock over time.
Current vs Lagged Prices |
| Timeline |
SOFTWARE MANSION Lagged Returns
When evaluating SOFTWARE MANSION's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SOFTWARE MANSION stock have on its future price. SOFTWARE MANSION 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, SOFTWARE MANSION autocorrelation shows the relationship between SOFTWARE MANSION stock current value and its past values and can show if there is a momentum factor associated with investing in SOFTWARE MANSION SPOLKA.
Regressed Prices |
| Timeline |
Pair Trading with SOFTWARE MANSION
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if SOFTWARE MANSION position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SOFTWARE MANSION will appreciate offsetting losses from the drop in the long position's value.Moving against SOFTWARE Stock
The ability to find closely correlated positions to SOFTWARE MANSION could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SOFTWARE MANSION when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SOFTWARE MANSION - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SOFTWARE MANSION SPOLKA to buy it.
The correlation of SOFTWARE MANSION is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SOFTWARE MANSION moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SOFTWARE MANSION SPOLKA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for SOFTWARE MANSION can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for SOFTWARE Stock Analysis
When running SOFTWARE MANSION's price analysis, check to measure SOFTWARE MANSION'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 SOFTWARE MANSION is operating at the current time. Most of SOFTWARE MANSION's value examination focuses on studying past and present price action to predict the probability of SOFTWARE MANSION's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SOFTWARE MANSION's price. Additionally, you may evaluate how the addition of SOFTWARE MANSION to your portfolios can decrease your overall portfolio volatility.