SHIN ETSU (Germany) Market Value
| SEH Stock | 31.61 0.54 1.68% |
| Symbol | SHIN |
SHIN ETSU '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 SHIN ETSU'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 SHIN ETSU.
| 09/19/2024 |
| 12/18/2024 |
If you would invest 0.00 in SHIN ETSU on September 19, 2024 and sell it all today you would earn a total of 0.00 from holding SHIN ETSU CHEMICAL or generate 0.0% return on investment in SHIN ETSU over 90 days. SHIN ETSU is related to or competes with Apple, Apple, Apple, Apple, Apple, Microsoft, and Microsoft. More
SHIN ETSU 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 SHIN ETSU'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 SHIN ETSU CHEMICAL upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 8.99 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 2.94 |
SHIN ETSU Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SHIN ETSU's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SHIN ETSU's standard deviation. In reality, there are many statistical measures that can use SHIN ETSU historical prices to predict the future SHIN ETSU's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.33) | |||
| Treynor Ratio | (0.39) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SHIN ETSU'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.
SHIN ETSU CHEMICAL Backtested Returns
SHIN ETSU CHEMICAL owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.11, which indicates the firm had a -0.11% return per unit of volatility over the last 3 months. SHIN ETSU CHEMICAL exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SHIN ETSU's risk adjusted performance of (0.06), and Variance of 3.58 to confirm the risk estimate we provide. The entity has a beta of 0.46, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SHIN ETSU's returns are expected to increase less than the market. However, during the bear market, the loss of holding SHIN ETSU is expected to be smaller as well. At this point, SHIN ETSU CHEMICAL has a negative expected return of -0.21%. Please make sure to validate SHIN ETSU's skewness, and the relationship between the total risk alpha and rate of daily change , to decide if SHIN ETSU CHEMICAL performance from the past will be repeated at future time.
Auto-correlation | 0.55 |
Modest predictability
SHIN ETSU CHEMICAL has modest predictability. Overlapping area represents the amount of predictability between SHIN ETSU time series from 19th of September 2024 to 3rd of November 2024 and 3rd of November 2024 to 18th 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 SHIN ETSU CHEMICAL price movement. The serial correlation of 0.55 indicates that about 55.0% of current SHIN ETSU price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.8 |
SHIN ETSU CHEMICAL lagged returns against current returns
Autocorrelation, which is SHIN ETSU 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 SHIN ETSU's stock expected returns. We can calculate the autocorrelation of SHIN ETSU returns to help us make a trade decision. For example, suppose you find that SHIN ETSU 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 |
SHIN ETSU 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 SHIN ETSU stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SHIN ETSU stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SHIN ETSU stock over time.
Current vs Lagged Prices |
| Timeline |
SHIN ETSU Lagged Returns
When evaluating SHIN ETSU's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SHIN ETSU stock have on its future price. SHIN ETSU 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, SHIN ETSU autocorrelation shows the relationship between SHIN ETSU stock current value and its past values and can show if there is a momentum factor associated with investing in SHIN ETSU CHEMICAL.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for SHIN Stock Analysis
When running SHIN ETSU's price analysis, check to measure SHIN ETSU'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 SHIN ETSU is operating at the current time. Most of SHIN ETSU's value examination focuses on studying past and present price action to predict the probability of SHIN ETSU's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SHIN ETSU's price. Additionally, you may evaluate how the addition of SHIN ETSU to your portfolios can decrease your overall portfolio volatility.