SIMON PPTY GROUP Market Value
| 828807DE4 | 90.50 6.29 6.50% |
| Symbol | SIMON |
SIMON '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 SIMON'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 SIMON.
| 03/02/2024 |
| 11/27/2024 |
If you would invest 0.00 in SIMON on March 2, 2024 and sell it all today you would earn a total of 0.00 from holding SIMON PPTY GROUP or generate 0.0% return on investment in SIMON over 270 days. SIMON is related to or competes with Neogen, Xponential Fitness, Global E, Alvotech, Viemed Healthcare, Entravision Communications, and Merit Medical. More
SIMON 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 SIMON'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 SIMON PPTY GROUP upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 4.16 | |||
| Value At Risk | (1.53) | |||
| Potential Upside | 0.7067 |
SIMON Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIMON's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIMON's standard deviation. In reality, there are many statistical measures that can use SIMON historical prices to predict the future SIMON's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | 4.55 |
SIMON PPTY GROUP Backtested Returns
SIMON PPTY GROUP owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the bond had a -0.12% return per unit of standard deviation over the last 3 months. SIMON PPTY GROUP exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SIMON's variance of 0.698, and Risk Adjusted Performance of (0.09) to confirm the risk estimate we provide. The entity has a beta of -0.025, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SIMON are expected to decrease at a much lower rate. During the bear market, SIMON is likely to outperform the market.
Auto-correlation | -0.25 |
Weak reverse predictability
SIMON PPTY GROUP has weak reverse predictability. Overlapping area represents the amount of predictability between SIMON time series from 2nd of March 2024 to 15th of July 2024 and 15th of July 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 SIMON PPTY GROUP price movement. The serial correlation of -0.25 indicates that over 25.0% of current SIMON price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.25 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.63 |
SIMON PPTY GROUP lagged returns against current returns
Autocorrelation, which is SIMON 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 SIMON's bond expected returns. We can calculate the autocorrelation of SIMON returns to help us make a trade decision. For example, suppose you find that SIMON 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 |
SIMON 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 SIMON bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIMON bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIMON bond over time.
Current vs Lagged Prices |
| Timeline |
SIMON Lagged Returns
When evaluating SIMON's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIMON bond have on its future price. SIMON 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, SIMON autocorrelation shows the relationship between SIMON bond current value and its past values and can show if there is a momentum factor associated with investing in SIMON PPTY GROUP.
Regressed Prices |
| Timeline |
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SIMON financial ratios help investors to determine whether SIMON 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 SIMON with respect to the benefits of owning SIMON security.