Grupo SBF (Brazil) Market Value
| SBFG3 Stock | BRL 11.85 0.29 2.39% |
| Symbol | Grupo |
Grupo SBF '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 Grupo SBF'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 Grupo SBF.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Grupo SBF on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Grupo SBF SA or generate 0.0% return on investment in Grupo SBF over 30 days. Grupo SBF is related to or competes with Mitre Realty, Mliuz SA, and Direcional Engenharia. Grupo SBF S.A. engages in the retail and wholesale of sports products under the Centauro brand in Latin America More
Grupo SBF 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 Grupo SBF'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 Grupo SBF SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 17.75 | |||
| Value At Risk | (4.58) | |||
| Potential Upside | 3.95 |
Grupo SBF Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grupo SBF's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grupo SBF's standard deviation. In reality, there are many statistical measures that can use Grupo SBF historical prices to predict the future Grupo SBF's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.58) | |||
| Total Risk Alpha | (0.92) | |||
| Treynor Ratio | (1.49) |
Grupo SBF SA Backtested Returns
Grupo SBF SA holds Efficiency (Sharpe) Ratio of -0.26, which attests that the entity had a -0.26% return per unit of risk over the last 3 months. Grupo SBF SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grupo SBF's Standard Deviation of 2.83, risk adjusted performance of (0.14), and Market Risk Adjusted Performance of (1.48) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.36, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Grupo SBF's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grupo SBF is expected to be smaller as well. At this point, Grupo SBF SA has a negative expected return of -0.67%. Please make sure to check out Grupo SBF's kurtosis, daily balance of power, and the relationship between the skewness and accumulation distribution , to decide if Grupo SBF SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.70 |
Good predictability
Grupo SBF SA has good predictability. Overlapping area represents the amount of predictability between Grupo SBF time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Grupo SBF SA price movement. The serial correlation of 0.7 indicates that around 70.0% of current Grupo SBF price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 0.53 |
Grupo SBF SA lagged returns against current returns
Autocorrelation, which is Grupo SBF 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 Grupo SBF's stock expected returns. We can calculate the autocorrelation of Grupo SBF returns to help us make a trade decision. For example, suppose you find that Grupo SBF 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 |
Grupo SBF 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 Grupo SBF stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grupo SBF stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grupo SBF stock over time.
Current vs Lagged Prices |
| Timeline |
Grupo SBF Lagged Returns
When evaluating Grupo SBF's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grupo SBF stock have on its future price. Grupo SBF 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, Grupo SBF autocorrelation shows the relationship between Grupo SBF stock current value and its past values and can show if there is a momentum factor associated with investing in Grupo SBF SA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Grupo Stock Analysis
When running Grupo SBF's price analysis, check to measure Grupo SBF'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 Grupo SBF is operating at the current time. Most of Grupo SBF's value examination focuses on studying past and present price action to predict the probability of Grupo SBF's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Grupo SBF's price. Additionally, you may evaluate how the addition of Grupo SBF to your portfolios can decrease your overall portfolio volatility.