SINGAPORE EXUNSPADR15 (Germany) Market Value
| SOUU Stock | EUR 16.50 0.10 0.61% |
| Symbol | SINGAPORE |
SINGAPORE EXUNSPADR15 '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 SINGAPORE EXUNSPADR15'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 SINGAPORE EXUNSPADR15.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in SINGAPORE EXUNSPADR15 on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding SINGAPORE EXUNSPADR15 or generate 0.0% return on investment in SINGAPORE EXUNSPADR15 over 30 days. SINGAPORE EXUNSPADR15 is related to or competes with ASX, Superior Plus, Origin Agritech, INTUITIVE SURGICAL, Intel, and Reliance Steel. Singapore Exchange Limited, together with its subsidiaries, operates as an integrated securities and derivatives exchang... More
SINGAPORE EXUNSPADR15 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 SINGAPORE EXUNSPADR15'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 SINGAPORE EXUNSPADR15 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.42 | |||
| Information Ratio | 0.1006 | |||
| Maximum Drawdown | 14.68 | |||
| Value At Risk | (2.56) | |||
| Potential Upside | 3.64 |
SINGAPORE EXUNSPADR15 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SINGAPORE EXUNSPADR15's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SINGAPORE EXUNSPADR15's standard deviation. In reality, there are many statistical measures that can use SINGAPORE EXUNSPADR15 historical prices to predict the future SINGAPORE EXUNSPADR15's volatility.| Risk Adjusted Performance | 0.1124 | |||
| Jensen Alpha | 0.2964 | |||
| Total Risk Alpha | 0.0376 | |||
| Sortino Ratio | 0.0922 | |||
| Treynor Ratio | 1.72 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SINGAPORE EXUNSPADR15'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.
SINGAPORE EXUNSPADR15 Backtested Returns
At this point, SINGAPORE EXUNSPADR15 is very steady. SINGAPORE EXUNSPADR15 owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.092, which indicates the firm had a 0.092% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for SINGAPORE EXUNSPADR15, which you can use to evaluate the volatility of the company. Please validate SINGAPORE EXUNSPADR15's risk adjusted performance of 0.1124, and Coefficient Of Variation of 685.92 to confirm if the risk estimate we provide is consistent with the expected return of 0.17%. SINGAPORE EXUNSPADR15 has a performance score of 7 on a scale of 0 to 100. The entity has a beta of 0.18, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SINGAPORE EXUNSPADR15's returns are expected to increase less than the market. However, during the bear market, the loss of holding SINGAPORE EXUNSPADR15 is expected to be smaller as well. SINGAPORE EXUNSPADR15 currently has a risk of 1.85%. Please validate SINGAPORE EXUNSPADR15 potential upside, skewness, and the relationship between the maximum drawdown and semi variance , to decide if SINGAPORE EXUNSPADR15 will be following its existing price patterns.
Auto-correlation | -0.53 |
Good reverse predictability
SINGAPORE EXUNSPADR15 has good reverse predictability. Overlapping area represents the amount of predictability between SINGAPORE EXUNSPADR15 time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 SINGAPORE EXUNSPADR15 price movement. The serial correlation of -0.53 indicates that about 53.0% of current SINGAPORE EXUNSPADR15 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
SINGAPORE EXUNSPADR15 lagged returns against current returns
Autocorrelation, which is SINGAPORE EXUNSPADR15 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 SINGAPORE EXUNSPADR15's stock expected returns. We can calculate the autocorrelation of SINGAPORE EXUNSPADR15 returns to help us make a trade decision. For example, suppose you find that SINGAPORE EXUNSPADR15 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 |
SINGAPORE EXUNSPADR15 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 SINGAPORE EXUNSPADR15 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SINGAPORE EXUNSPADR15 stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SINGAPORE EXUNSPADR15 stock over time.
Current vs Lagged Prices |
| Timeline |
SINGAPORE EXUNSPADR15 Lagged Returns
When evaluating SINGAPORE EXUNSPADR15's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SINGAPORE EXUNSPADR15 stock have on its future price. SINGAPORE EXUNSPADR15 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, SINGAPORE EXUNSPADR15 autocorrelation shows the relationship between SINGAPORE EXUNSPADR15 stock current value and its past values and can show if there is a momentum factor associated with investing in SINGAPORE EXUNSPADR15.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SINGAPORE Stock
SINGAPORE EXUNSPADR15 financial ratios help investors to determine whether SINGAPORE 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 SINGAPORE with respect to the benefits of owning SINGAPORE EXUNSPADR15 security.