SUN (Mauritius) Market Value
| SUN Stock | 40.00 1.25 3.03% |
| Symbol | SUN |
SUN '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 SUN'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 SUN.
| 06/20/2024 |
| 12/17/2024 |
If you would invest 0.00 in SUN on June 20, 2024 and sell it all today you would earn a total of 0.00 from holding SUN LIMITED or generate 0.0% return on investment in SUN over 180 days.
SUN 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 SUN'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 SUN LIMITED upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 41.91 | |||
| Value At Risk | (3.24) | |||
| Potential Upside | 3.39 |
SUN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SUN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SUN's standard deviation. In reality, there are many statistical measures that can use SUN historical prices to predict the future SUN's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.76) | |||
| Treynor Ratio | (4.75) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SUN'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.
SUN LIMITED Backtested Returns
SUN LIMITED owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0457, which indicates the firm had a -0.0457% return per unit of standard deviation over the last 3 months. SUN LIMITED exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SUN's risk adjusted performance of (0.02), and Variance of 27.76 to confirm the risk estimate we provide. The entity has a beta of 0.0439, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SUN's returns are expected to increase less than the market. However, during the bear market, the loss of holding SUN is expected to be smaller as well. At this point, SUN LIMITED has a negative expected return of -0.25%. Please make sure to validate SUN's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if SUN LIMITED performance from the past will be repeated at some future point.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
SUN LIMITED has almost perfect reverse predictability. Overlapping area represents the amount of predictability between SUN time series from 20th of June 2024 to 18th of September 2024 and 18th of September 2024 to 17th 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 SUN LIMITED price movement. The serial correlation of -0.71 indicates that around 71.0% of current SUN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 58.16 |
SUN LIMITED lagged returns against current returns
Autocorrelation, which is SUN 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 SUN's stock expected returns. We can calculate the autocorrelation of SUN returns to help us make a trade decision. For example, suppose you find that SUN 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 |
SUN 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 SUN stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SUN stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SUN stock over time.
Current vs Lagged Prices |
| Timeline |
SUN Lagged Returns
When evaluating SUN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SUN stock have on its future price. SUN 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, SUN autocorrelation shows the relationship between SUN stock current value and its past values and can show if there is a momentum factor associated with investing in SUN LIMITED.
Regressed Prices |
| Timeline |
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