Smurfit Kappa (Ireland) Market Value
| SK3 Stock | EUR 45.22 0.38 0.83% |
| Symbol | Smurfit |
Smurfit Kappa '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 Smurfit Kappa'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 Smurfit Kappa.
| 03/07/2024 |
| 06/05/2024 |
If you would invest 0.00 in Smurfit Kappa on March 7, 2024 and sell it all today you would earn a total of 0.00 from holding Smurfit Kappa Group or generate 0.0% return on investment in Smurfit Kappa over 90 days. Smurfit Kappa is related to or competes with CRH PLC, Kingspan Group, Kerry, Glanbia PLC, and Bank of Ireland. More
Smurfit Kappa 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 Smurfit Kappa'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 Smurfit Kappa Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.11 | |||
| Information Ratio | 0.1637 | |||
| Maximum Drawdown | 7.56 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 2.01 |
Smurfit Kappa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Smurfit Kappa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Smurfit Kappa's standard deviation. In reality, there are many statistical measures that can use Smurfit Kappa historical prices to predict the future Smurfit Kappa's volatility.| Risk Adjusted Performance | 0.1168 | |||
| Jensen Alpha | 0.2182 | |||
| Total Risk Alpha | 0.1992 | |||
| Sortino Ratio | 0.1886 | |||
| Treynor Ratio | 7.14 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Smurfit Kappa'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.
Smurfit Kappa Group Backtested Returns
Smurfit Kappa appears to be very steady, given 3 months investment horizon. Smurfit Kappa Group owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Smurfit Kappa Group, which you can use to evaluate the volatility of the company. Please review Smurfit Kappa's Semi Deviation of 0.7961, risk adjusted performance of 0.1168, and Coefficient Of Variation of 558.82 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Smurfit Kappa holds a performance score of 16. The entity has a beta of 0.0306, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Smurfit Kappa's returns are expected to increase less than the market. However, during the bear market, the loss of holding Smurfit Kappa is expected to be smaller as well. Please check Smurfit Kappa's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether Smurfit Kappa's existing price patterns will revert.
Auto-correlation | 0.52 |
Modest predictability
Smurfit Kappa Group has modest predictability. Overlapping area represents the amount of predictability between Smurfit Kappa time series from 7th of March 2024 to 21st of April 2024 and 21st of April 2024 to 5th 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 Smurfit Kappa Group price movement. The serial correlation of 0.52 indicates that about 52.0% of current Smurfit Kappa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 3.43 |
Smurfit Kappa Group lagged returns against current returns
Autocorrelation, which is Smurfit Kappa 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 Smurfit Kappa's stock expected returns. We can calculate the autocorrelation of Smurfit Kappa returns to help us make a trade decision. For example, suppose you find that Smurfit Kappa 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 |
Smurfit Kappa 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 Smurfit Kappa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Smurfit Kappa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Smurfit Kappa stock over time.
Current vs Lagged Prices |
| Timeline |
Smurfit Kappa Lagged Returns
When evaluating Smurfit Kappa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Smurfit Kappa stock have on its future price. Smurfit Kappa 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, Smurfit Kappa autocorrelation shows the relationship between Smurfit Kappa stock current value and its past values and can show if there is a momentum factor associated with investing in Smurfit Kappa Group.
Regressed Prices |
| Timeline |
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When running Smurfit Kappa's price analysis, check to measure Smurfit Kappa'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 Smurfit Kappa is operating at the current time. Most of Smurfit Kappa's value examination focuses on studying past and present price action to predict the probability of Smurfit Kappa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Smurfit Kappa's price. Additionally, you may evaluate how the addition of Smurfit Kappa to your portfolios can decrease your overall portfolio volatility.