Snc Lavalin Group Stock Market Value
| ATRL Stock | 75.24 0.20 0.27% |
| Symbol | SNC |
SNC Lavalin Group Price To Book Ratio
SNC Lavalin '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 SNC Lavalin'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 SNC Lavalin.
| 11/29/2024 |
| 12/29/2024 |
If you would invest 0.00 in SNC Lavalin on November 29, 2024 and sell it all today you would earn a total of 0.00 from holding SNC Lavalin Group or generate 0.0% return on investment in SNC Lavalin over 30 days. SNC Lavalin is related to or competes with Lion One, Advent Wireless, Enduro Metals, Cogeco Communications, Canlan Ice, and Precious Metals. SNC Lavalin is entity of Canada. It is traded as Stock on TO exchange. More
SNC Lavalin 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 SNC Lavalin'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 SNC Lavalin Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.89 | |||
| Information Ratio | 0.1958 | |||
| Maximum Drawdown | 19.29 | |||
| Value At Risk | (2.36) | |||
| Potential Upside | 2.86 |
SNC Lavalin Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SNC Lavalin's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SNC Lavalin's standard deviation. In reality, there are many statistical measures that can use SNC Lavalin historical prices to predict the future SNC Lavalin's volatility.| Risk Adjusted Performance | 0.1732 | |||
| Jensen Alpha | 0.5127 | |||
| Total Risk Alpha | 0.4381 | |||
| Sortino Ratio | 0.2565 | |||
| Treynor Ratio | (2.00) |
SNC Lavalin Group Backtested Returns
SNC Lavalin appears to be very steady, given 3 months investment horizon. SNC Lavalin Group retains Efficiency (Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of volatility over the last 3 months. By inspecting SNC Lavalin's technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please review SNC Lavalin's risk adjusted performance of 0.1732, and Downside Deviation of 1.89 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SNC Lavalin holds a performance score of 16. The entity owns a Beta (Systematic Risk) of -0.25, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SNC Lavalin are expected to decrease at a much lower rate. During the bear market, SNC Lavalin is likely to outperform the market. Please check SNC Lavalin's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether SNC Lavalin's current price history will revert.
Auto-correlation | 0.09 |
Virtually no predictability
SNC Lavalin Group has virtually no predictability. Overlapping area represents the amount of predictability between SNC Lavalin time series from 29th of November 2024 to 14th of December 2024 and 14th of December 2024 to 29th 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 SNC Lavalin Group price movement. The serial correlation of 0.09 indicates that less than 9.0% of current SNC Lavalin price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.44 |
SNC Lavalin Group lagged returns against current returns
Autocorrelation, which is SNC Lavalin 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 SNC Lavalin's stock expected returns. We can calculate the autocorrelation of SNC Lavalin returns to help us make a trade decision. For example, suppose you find that SNC Lavalin 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 |
SNC Lavalin 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 SNC Lavalin stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SNC Lavalin stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SNC Lavalin stock over time.
Current vs Lagged Prices |
| Timeline |
SNC Lavalin Lagged Returns
When evaluating SNC Lavalin's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SNC Lavalin stock have on its future price. SNC Lavalin 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, SNC Lavalin autocorrelation shows the relationship between SNC Lavalin stock current value and its past values and can show if there is a momentum factor associated with investing in SNC Lavalin Group.
Regressed Prices |
| Timeline |
Pair Trading with SNC Lavalin
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if SNC Lavalin position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SNC Lavalin will appreciate offsetting losses from the drop in the long position's value.Moving together with SNC Stock
Moving against SNC Stock
The ability to find closely correlated positions to SNC Lavalin could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SNC Lavalin when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SNC Lavalin - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SNC Lavalin Group to buy it.
The correlation of SNC Lavalin is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SNC Lavalin moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SNC Lavalin Group moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for SNC Lavalin can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in SNC Stock
SNC Lavalin financial ratios help investors to determine whether SNC Stock 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 SNC with respect to the benefits of owning SNC Lavalin security.