Sigdo Koppers (Chile) Market Value
| SK Stock | CLP 1,035 5.40 0.52% |
| Symbol | Sigdo |
Sigdo Koppers '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 Sigdo Koppers' 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 Sigdo Koppers.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Sigdo Koppers on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Sigdo Koppers or generate 0.0% return on investment in Sigdo Koppers over 540 days. Sigdo Koppers is related to or competes with Salfacorp, Sociedad Matriz, Multiexport Foods, Las Condes, Vapores, Enjoy SA, and Ripley Corp. Sigdo Koppers S.A., together with its subsidiaries, engages in services, industrial, and commercial and automotive busin... More
Sigdo Koppers 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 Sigdo Koppers' 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 Sigdo Koppers upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 4.13 | |||
| Value At Risk | (0.91) | |||
| Potential Upside | 0.5469 |
Sigdo Koppers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sigdo Koppers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sigdo Koppers' standard deviation. In reality, there are many statistical measures that can use Sigdo Koppers historical prices to predict the future Sigdo Koppers' volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | (4.41) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sigdo Koppers' 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.
Sigdo Koppers Backtested Returns
Sigdo Koppers owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0662, which indicates the firm had a -0.0662% return per unit of risk over the last 3 months. Sigdo Koppers exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sigdo Koppers' Risk Adjusted Performance of (0.14), coefficient of variation of (540.99), and Variance of 0.6239 to confirm the risk estimate we provide. The entity has a beta of 0.0354, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sigdo Koppers' returns are expected to increase less than the market. However, during the bear market, the loss of holding Sigdo Koppers is expected to be smaller as well. At this point, Sigdo Koppers has a negative expected return of -0.0426%. Please make sure to validate Sigdo Koppers' value at risk, as well as the relationship between the daily balance of power and price action indicator , to decide if Sigdo Koppers performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.46 |
Modest reverse predictability
Sigdo Koppers has modest reverse predictability. Overlapping area represents the amount of predictability between Sigdo Koppers time series from 8th of June 2023 to 4th of March 2024 and 4th of March 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 Sigdo Koppers price movement. The serial correlation of -0.46 indicates that about 46.0% of current Sigdo Koppers price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.46 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 4445.52 |
Sigdo Koppers lagged returns against current returns
Autocorrelation, which is Sigdo Koppers 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 Sigdo Koppers' stock expected returns. We can calculate the autocorrelation of Sigdo Koppers returns to help us make a trade decision. For example, suppose you find that Sigdo Koppers 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 |
Sigdo Koppers 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 Sigdo Koppers stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sigdo Koppers stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sigdo Koppers stock over time.
Current vs Lagged Prices |
| Timeline |
Sigdo Koppers Lagged Returns
When evaluating Sigdo Koppers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sigdo Koppers stock have on its future price. Sigdo Koppers 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, Sigdo Koppers autocorrelation shows the relationship between Sigdo Koppers stock current value and its past values and can show if there is a momentum factor associated with investing in Sigdo Koppers.
Regressed Prices |
| Timeline |
Pair Trading with Sigdo Koppers
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 Sigdo Koppers 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 Sigdo Koppers will appreciate offsetting losses from the drop in the long position's value.Moving against Sigdo Stock
The ability to find closely correlated positions to Sigdo Koppers could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sigdo Koppers 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 Sigdo Koppers - 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 Sigdo Koppers to buy it.
The correlation of Sigdo Koppers 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 Sigdo Koppers moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sigdo Koppers 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 Sigdo Koppers 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 Sigdo Stock
Sigdo Koppers financial ratios help investors to determine whether Sigdo 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 Sigdo with respect to the benefits of owning Sigdo Koppers security.