Storebrand Global (Ireland) Market Value
| 0P0001EC8K | 2,208 0.00 0.00% |
| Symbol | Storebrand |
Storebrand Global '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 Storebrand Global's fund 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 Storebrand Global.
| 06/21/2022 |
| 06/10/2024 |
If you would invest 0.00 in Storebrand Global on June 21, 2022 and sell it all today you would earn a total of 0.00 from holding Storebrand Global Solutions or generate 0.0% return on investment in Storebrand Global over 720 days.
Storebrand Global 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 Storebrand Global's fund 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 Storebrand Global Solutions upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7506 | |||
| Information Ratio | 0.0867 | |||
| Maximum Drawdown | 2.84 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.23 |
Storebrand Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Storebrand Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Storebrand Global's standard deviation. In reality, there are many statistical measures that can use Storebrand Global historical prices to predict the future Storebrand Global's volatility.| Risk Adjusted Performance | 0.0705 | |||
| Jensen Alpha | 0.0705 | |||
| Total Risk Alpha | 0.0611 | |||
| Sortino Ratio | 0.083 | |||
| Treynor Ratio | (0.79) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Storebrand Global'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.
Storebrand Global Backtested Returns
We consider Storebrand Global very steady. Storebrand Global owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0726, which indicates the fund had a 0.0726% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Storebrand Global Solutions, which you can use to evaluate the volatility of the fund. Please validate Storebrand Global's Coefficient Of Variation of 900.2, risk adjusted performance of 0.0705, and Semi Deviation of 0.5872 to confirm if the risk estimate we provide is consistent with the expected return of 0.0519%. The entity has a beta of -0.0886, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Storebrand Global are expected to decrease at a much lower rate. During the bear market, Storebrand Global is likely to outperform the market.
Auto-correlation | 0.84 |
Very good predictability
Storebrand Global Solutions has very good predictability. Overlapping area represents the amount of predictability between Storebrand Global time series from 21st of June 2022 to 16th of June 2023 and 16th of June 2023 to 10th of June 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 Storebrand Global price movement. The serial correlation of 0.84 indicates that around 84.0% of current Storebrand Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 12.2 K |
Storebrand Global lagged returns against current returns
Autocorrelation, which is Storebrand Global fund'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 Storebrand Global's fund expected returns. We can calculate the autocorrelation of Storebrand Global returns to help us make a trade decision. For example, suppose you find that Storebrand Global has exhibited high autocorrelation historically, and you observe that the fund 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 |
Storebrand Global 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 Storebrand Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Storebrand Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Storebrand Global fund over time.
Current vs Lagged Prices |
| Timeline |
Storebrand Global Lagged Returns
When evaluating Storebrand Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Storebrand Global fund have on its future price. Storebrand Global 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, Storebrand Global autocorrelation shows the relationship between Storebrand Global fund current value and its past values and can show if there is a momentum factor associated with investing in Storebrand Global Solutions.
Regressed Prices |
| Timeline |
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