Sociedad Qumica (Chile) Market Value
| SQM-A Stock | CLP 34,502 299.00 0.86% |
| Symbol | Sociedad |
Sociedad Qumica '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 Qumica'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 Qumica.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Sociedad Qumica on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding Sociedad Qumica y or generate 0.0% return on investment in Sociedad Qumica over 690 days. Sociedad Qumica is related to or competes with Energia Latina, Embotelladora Andina, Administradora Americana, and Las Condes. Sociedad Qumica y Minera de Chile S.A. produces and distributes specialty plant nutrients, iodine and its derivatives, l... More
Sociedad Qumica 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 Qumica'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 Qumica y upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.21 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 9.95 | |||
| Value At Risk | (3.08) | |||
| Potential Upside | 4.17 |
Sociedad Qumica Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sociedad Qumica's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sociedad Qumica's standard deviation. In reality, there are many statistical measures that can use Sociedad Qumica historical prices to predict the future Sociedad Qumica's volatility.| Risk Adjusted Performance | 0.0431 | |||
| Jensen Alpha | 0.1171 | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.32) |
Sociedad Qumica y Backtested Returns
Currently, Sociedad Qumica y is very steady. Sociedad Qumica y owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0233, which indicates the firm had a 0.0233% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sociedad Qumica y, which you can use to evaluate the volatility of the company. Please validate Sociedad Qumica's Semi Deviation of 1.59, coefficient of variation of 2073.72, and Risk Adjusted Performance of 0.0431 to confirm if the risk estimate we provide is consistent with the expected return of 0.0471%. Sociedad Qumica has a performance score of 1 on a scale of 0 to 100. The entity has a beta of -0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sociedad Qumica are expected to decrease at a much lower rate. During the bear market, Sociedad Qumica is likely to outperform the market. Sociedad Qumica y right now has a risk of 2.03%. Please validate Sociedad Qumica downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Sociedad Qumica will be following its existing price patterns.
Auto-correlation | 0.28 |
Poor predictability
Sociedad Qumica y has poor predictability. Overlapping area represents the amount of predictability between Sociedad Qumica time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 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 Qumica y price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Sociedad Qumica price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 22.4 M |
Sociedad Qumica y lagged returns against current returns
Autocorrelation, which is Sociedad Qumica 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 Qumica's stock expected returns. We can calculate the autocorrelation of Sociedad Qumica returns to help us make a trade decision. For example, suppose you find that Sociedad Qumica 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 Qumica 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 Qumica stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sociedad Qumica stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sociedad Qumica stock over time.
Current vs Lagged Prices |
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Sociedad Qumica Lagged Returns
When evaluating Sociedad Qumica's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sociedad Qumica stock have on its future price. Sociedad Qumica 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 Qumica autocorrelation shows the relationship between Sociedad Qumica stock current value and its past values and can show if there is a momentum factor associated with investing in Sociedad Qumica y.
Regressed Prices |
| Timeline |
Pair Trading with Sociedad Qumica
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 Qumica 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 Qumica will appreciate offsetting losses from the drop in the long position's value.Moving against Sociedad Stock
The ability to find closely correlated positions to Sociedad Qumica 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 Qumica 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 Qumica - 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 Qumica y to buy it.
The correlation of Sociedad Qumica 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 Qumica moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sociedad Qumica y 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 Qumica 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.Additional Tools for Sociedad Stock Analysis
When running Sociedad Qumica's price analysis, check to measure Sociedad Qumica'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 Sociedad Qumica is operating at the current time. Most of Sociedad Qumica's value examination focuses on studying past and present price action to predict the probability of Sociedad Qumica's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sociedad Qumica's price. Additionally, you may evaluate how the addition of Sociedad Qumica to your portfolios can decrease your overall portfolio volatility.