Salzgitter (Germany) Market Value
| SZG Stock | 16.40 0.56 3.30% |
| Symbol | Salzgitter |
Salzgitter '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 Salzgitter'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 Salzgitter.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Salzgitter on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Salzgitter AG or generate 0.0% return on investment in Salzgitter over 30 days. Salzgitter is related to or competes with Jupiter Fund, Sabra Health, Corporate Travel, Perdoceo Education, EHEALTH, Ramsay Health, and CeoTronics. More
Salzgitter 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 Salzgitter'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 Salzgitter AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.03 | |||
| Information Ratio | 0.0079 | |||
| Maximum Drawdown | 47.3 | |||
| Value At Risk | (4.49) | |||
| Potential Upside | 3.29 |
Salzgitter Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Salzgitter's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Salzgitter's standard deviation. In reality, there are many statistical measures that can use Salzgitter historical prices to predict the future Salzgitter's volatility.| Risk Adjusted Performance | 0.0338 | |||
| Jensen Alpha | 0.2433 | |||
| Total Risk Alpha | (0.74) | |||
| Sortino Ratio | 0.0142 | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Salzgitter'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.
Salzgitter AG Backtested Returns
Salzgitter appears to be somewhat reliable, given 3 months investment horizon. Salzgitter AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.037, which indicates the firm had a 0.037% return per unit of risk over the last 3 months. We have found thirty technical indicators for Salzgitter AG, which you can use to evaluate the volatility of the company. Please review Salzgitter's Risk Adjusted Performance of 0.0338, semi deviation of 2.78, and Coefficient Of Variation of 3034.42 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Salzgitter holds a performance score of 2. The entity has a beta of -0.57, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Salzgitter are expected to decrease at a much lower rate. During the bear market, Salzgitter is likely to outperform the market. Please check Salzgitter's expected short fall, and the relationship between the maximum drawdown and rate of daily change , to make a quick decision on whether Salzgitter's existing price patterns will revert.
Auto-correlation | -0.59 |
Good reverse predictability
Salzgitter AG has good reverse predictability. Overlapping area represents the amount of predictability between Salzgitter time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Salzgitter AG price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Salzgitter price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.23 |
Salzgitter AG lagged returns against current returns
Autocorrelation, which is Salzgitter 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 Salzgitter's stock expected returns. We can calculate the autocorrelation of Salzgitter returns to help us make a trade decision. For example, suppose you find that Salzgitter 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 |
Salzgitter 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 Salzgitter stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Salzgitter stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Salzgitter stock over time.
Current vs Lagged Prices |
| Timeline |
Salzgitter Lagged Returns
When evaluating Salzgitter's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Salzgitter stock have on its future price. Salzgitter 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, Salzgitter autocorrelation shows the relationship between Salzgitter stock current value and its past values and can show if there is a momentum factor associated with investing in Salzgitter 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 Salzgitter Stock Analysis
When running Salzgitter's price analysis, check to measure Salzgitter'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 Salzgitter is operating at the current time. Most of Salzgitter's value examination focuses on studying past and present price action to predict the probability of Salzgitter's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Salzgitter's price. Additionally, you may evaluate how the addition of Salzgitter to your portfolios can decrease your overall portfolio volatility.