SCHALTBAU HOLDING (Germany) Market Value
| SLT Stock | EUR 59.50 1.00 1.71% |
| Symbol | SCHALTBAU |
SCHALTBAU HOLDING '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 SCHALTBAU HOLDING'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 SCHALTBAU HOLDING.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in SCHALTBAU HOLDING on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding SCHALTBAU HOLDING or generate 0.0% return on investment in SCHALTBAU HOLDING over 30 days. SCHALTBAU HOLDING is related to or competes with SCANSOURCE, MICRONIC MYDATA, DATAGROUP, PUBLIC STORAGE, Science Applications, Datang International, and Datadog. More
SCHALTBAU HOLDING 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 SCHALTBAU HOLDING'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 SCHALTBAU HOLDING upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 6.05 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 1.74 |
SCHALTBAU HOLDING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SCHALTBAU HOLDING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SCHALTBAU HOLDING's standard deviation. In reality, there are many statistical measures that can use SCHALTBAU HOLDING historical prices to predict the future SCHALTBAU HOLDING's volatility.| Risk Adjusted Performance | 0.0238 | |||
| Jensen Alpha | 0.0104 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.213 |
SCHALTBAU HOLDING Backtested Returns
As of now, SCHALTBAU Stock is very steady. SCHALTBAU HOLDING owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0286, which indicates the company had a 0.0286% return per unit of volatility over the last 3 months. We have found twenty-seven technical indicators for SCHALTBAU HOLDING, which you can use to evaluate the volatility of the entity. Please validate SCHALTBAU HOLDING's Downside Deviation of 1.71, market risk adjusted performance of 0.223, and Risk Adjusted Performance of 0.0238 to confirm if the risk estimate we provide is consistent with the expected return of 0.0331%. SCHALTBAU HOLDING has a performance score of 2 on a scale of 0 to 100. The firm has a beta of 0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SCHALTBAU HOLDING's returns are expected to increase less than the market. However, during the bear market, the loss of holding SCHALTBAU HOLDING is expected to be smaller as well. SCHALTBAU HOLDING now has a risk of 1.16%. Please validate SCHALTBAU HOLDING treynor ratio, downside variance, and the relationship between the total risk alpha and value at risk , to decide if SCHALTBAU HOLDING will be following its existing price patterns.
Auto-correlation | 0.24 |
Weak predictability
SCHALTBAU HOLDING has weak predictability. Overlapping area represents the amount of predictability between SCHALTBAU HOLDING time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 SCHALTBAU HOLDING price movement. The serial correlation of 0.24 indicates that over 24.0% of current SCHALTBAU HOLDING price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 0.4 |
SCHALTBAU HOLDING lagged returns against current returns
Autocorrelation, which is SCHALTBAU HOLDING 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 SCHALTBAU HOLDING's stock expected returns. We can calculate the autocorrelation of SCHALTBAU HOLDING returns to help us make a trade decision. For example, suppose you find that SCHALTBAU HOLDING 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 |
SCHALTBAU HOLDING 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 SCHALTBAU HOLDING stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SCHALTBAU HOLDING stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SCHALTBAU HOLDING stock over time.
Current vs Lagged Prices |
| Timeline |
SCHALTBAU HOLDING Lagged Returns
When evaluating SCHALTBAU HOLDING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SCHALTBAU HOLDING stock have on its future price. SCHALTBAU HOLDING 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, SCHALTBAU HOLDING autocorrelation shows the relationship between SCHALTBAU HOLDING stock current value and its past values and can show if there is a momentum factor associated with investing in SCHALTBAU HOLDING.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in SCHALTBAU Stock
SCHALTBAU HOLDING financial ratios help investors to determine whether SCHALTBAU 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 SCHALTBAU with respect to the benefits of owning SCHALTBAU HOLDING security.