Swiss Re (Switzerland) Market Value
| SREN Stock | CHF 100.75 1.10 1.08% |
| Symbol | Swiss |
Swiss Re '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 Swiss Re'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 Swiss Re.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Swiss Re on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Swiss Re AG or generate 0.0% return on investment in Swiss Re over 60 days. Swiss Re is related to or competes with Zurich Insurance, Swiss Life, Novartis, UBS Group, and Swisscom. Swiss Re AG, together with its subsidiaries, provides wholesale reinsurance, insurance, other insurance-based forms of r... More
Swiss Re 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 Swiss Re'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 Swiss Re AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.58 | |||
| Information Ratio | 0.0517 | |||
| Maximum Drawdown | 6.15 | |||
| Value At Risk | (2.43) | |||
| Potential Upside | 2.14 |
Swiss Re Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Swiss Re's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Swiss Re's standard deviation. In reality, there are many statistical measures that can use Swiss Re historical prices to predict the future Swiss Re's volatility.| Risk Adjusted Performance | 0.0846 | |||
| Jensen Alpha | 0.1379 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0411 | |||
| Treynor Ratio | 1.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Swiss Re'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.
Swiss Re AG Backtested Returns
We consider Swiss Re very steady. Swiss Re AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the firm had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Swiss Re AG, which you can use to evaluate the volatility of the company. Please validate Swiss Re's Risk Adjusted Performance of 0.0846, semi deviation of 1.28, and Coefficient Of Variation of 784.26 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. Swiss Re has a performance score of 9 on a scale of 0 to 100. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Swiss Re's returns are expected to increase less than the market. However, during the bear market, the loss of holding Swiss Re is expected to be smaller as well. Swiss Re AG right now has a risk of 1.26%. Please validate Swiss Re total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Swiss Re will be following its existing price patterns.
Auto-correlation | -0.83 |
Excellent reverse predictability
Swiss Re AG has excellent reverse predictability. Overlapping area represents the amount of predictability between Swiss Re time series from 24th of February 2024 to 25th of March 2024 and 25th of March 2024 to 24th of April 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 Swiss Re AG price movement. The serial correlation of -0.83 indicates that around 83.0% of current Swiss Re price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.83 | |
| Spearman Rank Test | -0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 17.07 |
Swiss Re AG lagged returns against current returns
Autocorrelation, which is Swiss Re 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 Swiss Re's stock expected returns. We can calculate the autocorrelation of Swiss Re returns to help us make a trade decision. For example, suppose you find that Swiss Re 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 |
Swiss Re 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 Swiss Re stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Swiss Re stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Swiss Re stock over time.
Current vs Lagged Prices |
| Timeline |
Swiss Re Lagged Returns
When evaluating Swiss Re's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Swiss Re stock have on its future price. Swiss Re 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, Swiss Re autocorrelation shows the relationship between Swiss Re stock current value and its past values and can show if there is a momentum factor associated with investing in Swiss Re AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Swiss Re Correlation, Swiss Re Volatility and Swiss Re Alpha and Beta module to complement your research on Swiss Re. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Complementary Tools for Swiss Stock analysis
When running Swiss Re's price analysis, check to measure Swiss Re'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 Swiss Re is operating at the current time. Most of Swiss Re's value examination focuses on studying past and present price action to predict the probability of Swiss Re's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Swiss Re's price. Additionally, you may evaluate how the addition of Swiss Re to your portfolios can decrease your overall portfolio volatility.
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments |
Swiss Re technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.