Sociedad Matriz (Chile) Market Value
| SMSAAM Stock | CLP 104.02 1.18 1.15% |
| Symbol | Sociedad |
Sociedad Matriz '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 Sociedad Matriz'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 Sociedad Matriz.
| 05/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Sociedad Matriz on May 9, 2023 and sell it all today you would earn a total of 0.00 from holding Sociedad Matriz SAAM or generate 0.0% return on investment in Sociedad Matriz over 570 days. Sociedad Matriz is related to or competes with Vapores, Empresas CMPC, Empresas Copec, Salfacorp, Multiexport Foods, Las Condes, and Enjoy SA. Sociedad Matriz SAAM S.A. provides towage, port terminals, and logistics services More
Sociedad Matriz 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 Sociedad Matriz'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 Sociedad Matriz SAAM upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 6.12 | |||
| Value At Risk | (2.39) | |||
| Potential Upside | 1.98 |
Sociedad Matriz Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sociedad Matriz's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sociedad Matriz's standard deviation. In reality, there are many statistical measures that can use Sociedad Matriz historical prices to predict the future Sociedad Matriz's volatility.| Risk Adjusted Performance | 4.0E-4 | |||
| Jensen Alpha | 0.0151 | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | 0.0582 |
Sociedad Matriz SAAM Backtested Returns
At this point, Sociedad Matriz is very steady. Sociedad Matriz SAAM owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0263, which indicates the firm had a 0.0263% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Sociedad Matriz SAAM, which you can use to evaluate the volatility of the company. Please validate Sociedad Matriz's Variance of 1.5, coefficient of variation of (22,715), and Risk Adjusted Performance of 4.0E-4 to confirm if the risk estimate we provide is consistent with the expected return of 0.0325%. Sociedad Matriz has a performance score of 2 on a scale of 0 to 100. The entity has a beta of -0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sociedad Matriz are expected to decrease at a much lower rate. During the bear market, Sociedad Matriz is likely to outperform the market. Sociedad Matriz SAAM right now has a risk of 1.24%. Please validate Sociedad Matriz kurtosis, market facilitation index, and the relationship between the value at risk and rate of daily change , to decide if Sociedad Matriz will be following its existing price patterns.
Auto-correlation | -0.6 |
Good reverse predictability
Sociedad Matriz SAAM has good reverse predictability. Overlapping area represents the amount of predictability between Sociedad Matriz 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 Sociedad Matriz SAAM price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Sociedad Matriz price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 25.65 |
Sociedad Matriz SAAM lagged returns against current returns
Autocorrelation, which is Sociedad Matriz 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 Sociedad Matriz's stock expected returns. We can calculate the autocorrelation of Sociedad Matriz returns to help us make a trade decision. For example, suppose you find that Sociedad Matriz 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 |
Sociedad Matriz 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 Sociedad Matriz stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sociedad Matriz stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sociedad Matriz stock over time.
Current vs Lagged Prices |
| Timeline |
Sociedad Matriz Lagged Returns
When evaluating Sociedad Matriz's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sociedad Matriz stock have on its future price. Sociedad Matriz 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, Sociedad Matriz autocorrelation shows the relationship between Sociedad Matriz stock current value and its past values and can show if there is a momentum factor associated with investing in Sociedad Matriz SAAM.
Regressed Prices |
| Timeline |
Pair Trading with Sociedad Matriz
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 Sociedad Matriz 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 Sociedad Matriz will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Sociedad Matriz could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sociedad Matriz 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 Sociedad Matriz - 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 Sociedad Matriz SAAM to buy it.
The correlation of Sociedad Matriz 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 Sociedad Matriz moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sociedad Matriz SAAM 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 Sociedad Matriz 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 Sociedad Stock
Sociedad Matriz financial ratios help investors to determine whether Sociedad 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 Sociedad with respect to the benefits of owning Sociedad Matriz security.