Sif Holding (Netherlands) Market Value
| SIFG Stock | EUR 10.20 0.06 0.59% |
| Symbol | Sif |
Sif Holding '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 Sif Holding'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 Sif Holding.
| 05/09/2024 |
| 06/08/2024 |
If you would invest 0.00 in Sif Holding on May 9, 2024 and sell it all today you would earn a total of 0.00 from holding Sif Holding NV or generate 0.0% return on investment in Sif Holding over 30 days. Sif Holding is related to or competes with Koninklijke Vopak, SBM Offshore, IShares Core, Pershing Square, IShares III, Wolters Kluwer, and Koninklijke Philips. Sif Holding N.V. manufactures and sells steel tubulars for the offshore wind, and oil and gas markets in the Netherlands... More
Sif Holding 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 Sif Holding'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 Sif Holding NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | 0.0252 | |||
| Maximum Drawdown | 10.72 | |||
| Value At Risk | (2.14) | |||
| Potential Upside | 3.37 |
Sif Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sif Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sif Holding's standard deviation. In reality, there are many statistical measures that can use Sif Holding historical prices to predict the future Sif Holding's volatility.| Risk Adjusted Performance | 0.0286 | |||
| Jensen Alpha | 0.0479 | |||
| Total Risk Alpha | 0.0286 | |||
| Sortino Ratio | 0.0236 | |||
| Treynor Ratio | 4.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sif Holding'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.
Sif Holding NV Backtested Returns
We consider Sif Holding not too volatile. Sif Holding NV owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0216, which indicates the firm had a 0.0216% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sif Holding NV, which you can use to evaluate the volatility of the company. Please validate Sif Holding's Semi Deviation of 1.54, coefficient of variation of 2766.59, and Risk Adjusted Performance of 0.0286 to confirm if the risk estimate we provide is consistent with the expected return of 0.035%. Sif Holding has a performance score of 1 on a scale of 0 to 100. The entity has a beta of 0.0119, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sif Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sif Holding is expected to be smaller as well. Sif Holding NV right now has a risk of 1.63%. Please validate Sif Holding jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Sif Holding will be following its existing price patterns.
Auto-correlation | -0.29 |
Weak reverse predictability
Sif Holding NV has weak reverse predictability. Overlapping area represents the amount of predictability between Sif Holding time series from 9th of May 2024 to 24th of May 2024 and 24th of May 2024 to 8th of June 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 Sif Holding NV price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current Sif Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.29 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Sif Holding NV lagged returns against current returns
Autocorrelation, which is Sif Holding 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 Sif Holding's stock expected returns. We can calculate the autocorrelation of Sif Holding returns to help us make a trade decision. For example, suppose you find that Sif Holding 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 |
Sif Holding 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 Sif Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sif Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sif Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Sif Holding Lagged Returns
When evaluating Sif Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sif Holding stock have on its future price. Sif Holding 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, Sif Holding autocorrelation shows the relationship between Sif Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Sif Holding NV.
Regressed Prices |
| Timeline |
Pair Trading with Sif Holding
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 Sif Holding 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 Sif Holding will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Sif Holding could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sif Holding 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 Sif Holding - 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 Sif Holding NV to buy it.
The correlation of Sif Holding 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 Sif Holding moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sif Holding NV 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 Sif Holding 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 Sif Stock Analysis
When running Sif Holding's price analysis, check to measure Sif Holding'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 Sif Holding is operating at the current time. Most of Sif Holding's value examination focuses on studying past and present price action to predict the probability of Sif Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sif Holding's price. Additionally, you may evaluate how the addition of Sif Holding to your portfolios can decrease your overall portfolio volatility.