Cofina SGPS (Germany) Market Value
| 112 Stock | 30.60 0.70 2.34% |
| Symbol | Cofina |
Cofina SGPS '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 Cofina SGPS'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 Cofina SGPS.
| 11/28/2024 |
| 12/28/2024 |
If you would invest 0.00 in Cofina SGPS on November 28, 2024 and sell it all today you would earn a total of 0.00 from holding Cofina SGPS SA or generate 0.0% return on investment in Cofina SGPS over 30 days.
Cofina SGPS 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 Cofina SGPS'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 Cofina SGPS SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.03 | |||
| Information Ratio | 0.1082 | |||
| Maximum Drawdown | 12.68 | |||
| Value At Risk | (2.38) | |||
| Potential Upside | 3.91 |
Cofina SGPS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cofina SGPS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cofina SGPS's standard deviation. In reality, there are many statistical measures that can use Cofina SGPS historical prices to predict the future Cofina SGPS's volatility.| Risk Adjusted Performance | 0.1038 | |||
| Jensen Alpha | 0.2564 | |||
| Total Risk Alpha | 0.2101 | |||
| Sortino Ratio | 0.1247 | |||
| Treynor Ratio | 0.3245 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Cofina SGPS'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.
Cofina SGPS SA Backtested Returns
Cofina SGPS appears to be very steady, given 3 months investment horizon. Cofina SGPS SA secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Cofina SGPS SA, which you can use to evaluate the volatility of the firm. Please makes use of Cofina SGPS's risk adjusted performance of 0.1038, and Mean Deviation of 1.67 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Cofina SGPS holds a performance score of 10. The firm shows a Beta (market volatility) of 0.85, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Cofina SGPS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Cofina SGPS is expected to be smaller as well. Please check Cofina SGPS's mean deviation, standard deviation, treynor ratio, as well as the relationship between the downside deviation and total risk alpha , to make a quick decision on whether Cofina SGPS's price patterns will revert.
Auto-correlation | 0.29 |
Poor predictability
Cofina SGPS SA has poor predictability. Overlapping area represents the amount of predictability between Cofina SGPS time series from 28th of November 2024 to 13th of December 2024 and 13th of December 2024 to 28th of December 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 Cofina SGPS SA price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Cofina SGPS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 0.38 |
Cofina SGPS SA lagged returns against current returns
Autocorrelation, which is Cofina SGPS 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 Cofina SGPS's stock expected returns. We can calculate the autocorrelation of Cofina SGPS returns to help us make a trade decision. For example, suppose you find that Cofina SGPS 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 |
Cofina SGPS 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 Cofina SGPS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cofina SGPS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cofina SGPS stock over time.
Current vs Lagged Prices |
| Timeline |
Cofina SGPS Lagged Returns
When evaluating Cofina SGPS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cofina SGPS stock have on its future price. Cofina SGPS 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, Cofina SGPS autocorrelation shows the relationship between Cofina SGPS stock current value and its past values and can show if there is a momentum factor associated with investing in Cofina SGPS SA.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Cofina Stock Analysis
When running Cofina SGPS's price analysis, check to measure Cofina SGPS'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 Cofina SGPS is operating at the current time. Most of Cofina SGPS's value examination focuses on studying past and present price action to predict the probability of Cofina SGPS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Cofina SGPS's price. Additionally, you may evaluate how the addition of Cofina SGPS to your portfolios can decrease your overall portfolio volatility.