S IMMO (Austria) Market Value
SPI Stock | EUR 17.50 0.12 0.68% |
Symbol | SPI |
S IMMO '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 S IMMO'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 S IMMO.
02/28/2024 |
| 03/29/2024 |
If you would invest 0.00 in S IMMO on February 28, 2024 and sell it all today you would earn a total of 0.00 from holding S IMMO AG or generate 0.0% return on investment in S IMMO over 30 days. S IMMO is related to or competes with SBM Offshore, Erste Group, Wiener Privatbank, Vienna Insurance, and UNIQA Insurance. More
S IMMO 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 S IMMO'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 S IMMO AG upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.8396 | |||
Information Ratio | 0.294 | |||
Maximum Drawdown | 7.76 | |||
Value At Risk | (1.11) | |||
Potential Upside | 2.48 |
S IMMO Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for S IMMO's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as S IMMO's standard deviation. In reality, there are many statistical measures that can use S IMMO historical prices to predict the future S IMMO's volatility.Risk Adjusted Performance | 0.2264 | |||
Jensen Alpha | 0.5594 | |||
Total Risk Alpha | 0.2154 | |||
Sortino Ratio | 0.4579 | |||
Treynor Ratio | (1.27) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of S IMMO'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.
S IMMO AG Backtested Returns
S IMMO appears to be very steady, given 3 months investment horizon. S IMMO AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.39, which indicates the company had a 0.39% return per unit of volatility over the last 3 months. By examining S IMMO's technical indicators, you can evaluate if the expected return of 0.5% is justified by implied risk. Please review S IMMO's Risk Adjusted Performance of 0.2264, market risk adjusted performance of (1.26), and Coefficient Of Variation of 251.8 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, S IMMO holds a performance score of 30. The firm has a beta of -0.4, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning S IMMO are expected to decrease at a much lower rate. During the bear market, S IMMO is likely to outperform the market. Please check S IMMO's treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to make a quick decision on whether S IMMO's existing price patterns will revert.
Auto-correlation | 0.79 |
Good predictability
S IMMO AG has good predictability. Overlapping area represents the amount of predictability between S IMMO time series from 28th of February 2024 to 14th of March 2024 and 14th of March 2024 to 29th of March 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 S IMMO AG price movement. The serial correlation of 0.79 indicates that around 79.0% of current S IMMO price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.79 | |
Spearman Rank Test | 0.97 | |
Residual Average | 0.0 | |
Price Variance | 0.42 |
S IMMO AG lagged returns against current returns
Autocorrelation, which is S IMMO 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 S IMMO's stock expected returns. We can calculate the autocorrelation of S IMMO returns to help us make a trade decision. For example, suppose you find that S IMMO 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 |
S IMMO 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 S IMMO stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if S IMMO stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in S IMMO stock over time.
Current vs Lagged Prices |
Timeline |
S IMMO Lagged Returns
When evaluating S IMMO's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of S IMMO stock have on its future price. S IMMO 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, S IMMO autocorrelation shows the relationship between S IMMO stock current value and its past values and can show if there is a momentum factor associated with investing in S IMMO AG.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards S IMMO in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, S IMMO's short interest history, or implied volatility extrapolated from S IMMO options trading.
Currently Active Assets on Macroaxis
Check out S IMMO Correlation, S IMMO Volatility and S IMMO Alpha and Beta module to complement your research on S IMMO. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Complementary Tools for SPI Stock analysis
When running S IMMO's price analysis, check to measure S IMMO'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 S IMMO is operating at the current time. Most of S IMMO's value examination focuses on studying past and present price action to predict the probability of S IMMO's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move S IMMO's price. Additionally, you may evaluate how the addition of S IMMO to your portfolios can decrease your overall portfolio volatility.
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S IMMO technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.