SIGMA HOLDCO B Market Value
| 82660CAA0 | 100.50 1.15 1.16% |
| Symbol | SIGMA |
SIGMA '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 SIGMA's bond 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 SIGMA.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in SIGMA on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding SIGMA HOLDCO B or generate 0.0% return on investment in SIGMA over 30 days. SIGMA is related to or competes with Coca Cola, JPMorgan Chase, Dupont De, Alcoa Corp, Boeing, Microsoft, and Procter Gamble. More
SIGMA 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 SIGMA's bond 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 SIGMA HOLDCO B upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 7.98 | |||
| Information Ratio | 0.0299 | |||
| Maximum Drawdown | 39.81 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.6334 |
SIGMA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIGMA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIGMA's standard deviation. In reality, there are many statistical measures that can use SIGMA historical prices to predict the future SIGMA's volatility.| Risk Adjusted Performance | 0.0432 | |||
| Jensen Alpha | 0.3278 | |||
| Total Risk Alpha | (0.98) | |||
| Sortino Ratio | 0.0329 | |||
| Treynor Ratio | 0.8458 |
SIGMA HOLDCO B Backtested Returns
SIGMA HOLDCO B owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.17, which indicates the bond had a -0.17% return per unit of volatility over the last 3 months. SIGMA HOLDCO B exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SIGMA's risk adjusted performance of 0.0432, and Coefficient Of Variation of 2244.38 to confirm the risk estimate we provide. The entity has a beta of 0.45, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SIGMA's returns are expected to increase less than the market. However, during the bear market, the loss of holding SIGMA is expected to be smaller as well.
Auto-correlation | 0.12 |
Insignificant predictability
SIGMA HOLDCO B has insignificant predictability. Overlapping area represents the amount of predictability between SIGMA time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 SIGMA HOLDCO B price movement. The serial correlation of 0.12 indicates that less than 12.0% of current SIGMA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.12 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 166.4 |
SIGMA HOLDCO B lagged returns against current returns
Autocorrelation, which is SIGMA bond'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 SIGMA's bond expected returns. We can calculate the autocorrelation of SIGMA returns to help us make a trade decision. For example, suppose you find that SIGMA has exhibited high autocorrelation historically, and you observe that the bond 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 |
SIGMA 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 SIGMA bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIGMA bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIGMA bond over time.
Current vs Lagged Prices |
| Timeline |
SIGMA Lagged Returns
When evaluating SIGMA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIGMA bond have on its future price. SIGMA 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, SIGMA autocorrelation shows the relationship between SIGMA bond current value and its past values and can show if there is a momentum factor associated with investing in SIGMA HOLDCO B.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in SIGMA Bond
SIGMA financial ratios help investors to determine whether SIGMA Bond 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 SIGMA with respect to the benefits of owning SIGMA security.