SAB Finance (Czech Republic) Market Value
| SABFG Stock | CZK 1,050 20.00 1.94% |
| Symbol | SAB |
SAB Finance '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 SAB Finance'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 SAB Finance.
| 05/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in SAB Finance on May 9, 2023 and sell it all today you would earn a total of 0.00 from holding SAB Finance as or generate 0.0% return on investment in SAB Finance over 570 days. SAB Finance is related to or competes with Vienna Insurance, Komercni Banka, UNIQA Insurance, and Erste Group. The company was founded in 1999 and is headquartered in Zln, Czech Republic More
SAB Finance 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 SAB Finance'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 SAB Finance as upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 3.79 | |||
| Value At Risk | (1.87) | |||
| Potential Upside | 0.9615 |
SAB Finance Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAB Finance's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAB Finance's standard deviation. In reality, there are many statistical measures that can use SAB Finance historical prices to predict the future SAB Finance's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | 0.1708 |
SAB Finance as Backtested Returns
SAB Finance as retains Efficiency (Sharpe Ratio) of -0.0366, which indicates the company had a -0.0366% return per unit of risk over the last 3 months. SAB Finance exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SAB Finance's Market Risk Adjusted Performance of 0.1808, coefficient of variation of (3,142), and Information Ratio of (0.19) to confirm the risk estimate we provide. The firm owns a Beta (Systematic Risk) of -0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SAB Finance are expected to decrease at a much lower rate. During the bear market, SAB Finance is likely to outperform the market. At this point, SAB Finance as has a negative expected return of -0.0272%. Please make sure to validate SAB Finance's information ratio, skewness, price action indicator, as well as the relationship between the treynor ratio and rate of daily change , to decide if SAB Finance as performance from the past will be repeated in the future.
Auto-correlation | 0.77 |
Good predictability
SAB Finance as has good predictability. Overlapping area represents the amount of predictability between SAB Finance time series from 9th of May 2023 to 18th of February 2024 and 18th of February 2024 to 29th 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 SAB Finance as price movement. The serial correlation of 0.77 indicates that around 77.0% of current SAB Finance price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 923.17 |
SAB Finance as lagged returns against current returns
Autocorrelation, which is SAB Finance 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 SAB Finance's stock expected returns. We can calculate the autocorrelation of SAB Finance returns to help us make a trade decision. For example, suppose you find that SAB Finance 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 |
SAB Finance 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 SAB Finance stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAB Finance stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAB Finance stock over time.
Current vs Lagged Prices |
| Timeline |
SAB Finance Lagged Returns
When evaluating SAB Finance's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAB Finance stock have on its future price. SAB Finance 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, SAB Finance autocorrelation shows the relationship between SAB Finance stock current value and its past values and can show if there is a momentum factor associated with investing in SAB Finance as.
Regressed Prices |
| Timeline |
Pair Trading with SAB Finance
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 SAB Finance 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 SAB Finance will appreciate offsetting losses from the drop in the long position's value.Moving against SAB Stock
The ability to find closely correlated positions to SAB Finance could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SAB Finance 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 SAB Finance - 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 SAB Finance as to buy it.
The correlation of SAB Finance 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 SAB Finance moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SAB Finance as 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 SAB Finance 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.Additional Tools for SAB Stock Analysis
When running SAB Finance's price analysis, check to measure SAB Finance'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 SAB Finance is operating at the current time. Most of SAB Finance's value examination focuses on studying past and present price action to predict the probability of SAB Finance's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SAB Finance's price. Additionally, you may evaluate how the addition of SAB Finance to your portfolios can decrease your overall portfolio volatility.