Sparebanken Sor (Norway) Market Value
| SOR Stock | NOK 149.60 0.20 0.13% |
| Symbol | Sparebanken |
Sparebanken Sor '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 Sparebanken Sor'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 Sparebanken Sor.
| 03/04/2024 |
| 06/02/2024 |
If you would invest 0.00 in Sparebanken Sor on March 4, 2024 and sell it all today you would earn a total of 0.00 from holding Sparebanken Sor or generate 0.0% return on investment in Sparebanken Sor over 90 days. Sparebanken Sor is related to or competes with Totens Sparebank, and Sparebank. Sparebanken Sr operates as an independent savings bank in Norway More
Sparebanken Sor 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 Sparebanken Sor'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 Sparebanken Sor upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | 0.1108 | |||
| Maximum Drawdown | 10.47 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 2.02 |
Sparebanken Sor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparebanken Sor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparebanken Sor's standard deviation. In reality, there are many statistical measures that can use Sparebanken Sor historical prices to predict the future Sparebanken Sor's volatility.| Risk Adjusted Performance | 0.0943 | |||
| Jensen Alpha | 0.2047 | |||
| Total Risk Alpha | 0.1149 | |||
| Sortino Ratio | 0.12 | |||
| Treynor Ratio | (0.99) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sparebanken Sor'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.
Sparebanken Sor Backtested Returns
Sparebanken Sor appears to be very steady, given 3 months investment horizon. Sparebanken Sor owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have found thirty technical indicators for Sparebanken Sor, which you can use to evaluate the volatility of the company. Please review Sparebanken Sor's Risk Adjusted Performance of 0.0943, coefficient of variation of 706.01, and Semi Deviation of 1.05 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sparebanken Sor holds a performance score of 10. The entity has a beta of -0.2, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sparebanken Sor are expected to decrease at a much lower rate. During the bear market, Sparebanken Sor is likely to outperform the market. Please check Sparebanken Sor's maximum drawdown, skewness, and the relationship between the total risk alpha and downside variance , to make a quick decision on whether Sparebanken Sor's existing price patterns will revert.
Auto-correlation | 0.72 |
Good predictability
Sparebanken Sor has good predictability. Overlapping area represents the amount of predictability between Sparebanken Sor time series from 4th of March 2024 to 18th of April 2024 and 18th of April 2024 to 2nd 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 Sparebanken Sor price movement. The serial correlation of 0.72 indicates that around 72.0% of current Sparebanken Sor price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 8.71 |
Sparebanken Sor lagged returns against current returns
Autocorrelation, which is Sparebanken Sor 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 Sparebanken Sor's stock expected returns. We can calculate the autocorrelation of Sparebanken Sor returns to help us make a trade decision. For example, suppose you find that Sparebanken Sor 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 |
Sparebanken Sor 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 Sparebanken Sor stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparebanken Sor stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparebanken Sor stock over time.
Current vs Lagged Prices |
| Timeline |
Sparebanken Sor Lagged Returns
When evaluating Sparebanken Sor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparebanken Sor stock have on its future price. Sparebanken Sor 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, Sparebanken Sor autocorrelation shows the relationship between Sparebanken Sor stock current value and its past values and can show if there is a momentum factor associated with investing in Sparebanken Sor.
Regressed Prices |
| Timeline |
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Check out Sparebanken Sor Correlation, Sparebanken Sor Volatility and Sparebanken Sor Alpha and Beta module to complement your research on Sparebanken Sor. 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 Sparebanken Stock analysis
When running Sparebanken Sor's price analysis, check to measure Sparebanken Sor'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 Sparebanken Sor is operating at the current time. Most of Sparebanken Sor's value examination focuses on studying past and present price action to predict the probability of Sparebanken Sor's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sparebanken Sor's price. Additionally, you may evaluate how the addition of Sparebanken Sor to your portfolios can decrease your overall portfolio volatility.
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Sparebanken Sor 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.