SAF Tehnika (Germany) Market Value
| VTZ Stock | EUR 5.40 0.12 2.27% |
| Symbol | SAF |
SAF Tehnika '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 SAF Tehnika'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 SAF Tehnika.
| 06/14/2023 |
| 06/08/2024 |
If you would invest 0.00 in SAF Tehnika on June 14, 2023 and sell it all today you would earn a total of 0.00 from holding SAF Tehnika AS or generate 0.0% return on investment in SAF Tehnika over 360 days. SAF Tehnika is related to or competes with Cisco Systems, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, NorAm Drilling, and Talanx AG. AS SAF Tehnika designs, manufactures, and distributes digital microwave transmission equipment worldwide More
SAF Tehnika 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 SAF Tehnika'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 SAF Tehnika AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 9.66 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 1.94 |
SAF Tehnika Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAF Tehnika's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAF Tehnika's standard deviation. In reality, there are many statistical measures that can use SAF Tehnika historical prices to predict the future SAF Tehnika's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | 0.5278 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SAF Tehnika'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.
SAF Tehnika AS Backtested Returns
SAF Tehnika AS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.16, which indicates the company had a -0.16% return per unit of volatility over the last 3 months. SAF Tehnika AS exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SAF Tehnika's Market Risk Adjusted Performance of 0.5378, standard deviation of 1.44, and Risk Adjusted Performance of (0.12) to confirm the risk estimate we provide. The firm has a beta of -0.56, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning SAF Tehnika are expected to decrease at a much lower rate. During the bear market, SAF Tehnika is likely to outperform the market. At this point, SAF Tehnika AS has a negative expected return of -0.24%. Please make sure to validate SAF Tehnika's information ratio, potential upside, rate of daily change, as well as the relationship between the total risk alpha and kurtosis , to decide if SAF Tehnika AS performance from the past will be repeated in the future.
Auto-correlation | 0.87 |
Very good predictability
SAF Tehnika AS has very good predictability. Overlapping area represents the amount of predictability between SAF Tehnika time series from 14th of June 2023 to 11th of December 2023 and 11th of December 2023 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 SAF Tehnika AS price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current SAF Tehnika price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.87 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
SAF Tehnika AS lagged returns against current returns
Autocorrelation, which is SAF Tehnika 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 SAF Tehnika's stock expected returns. We can calculate the autocorrelation of SAF Tehnika returns to help us make a trade decision. For example, suppose you find that SAF Tehnika 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 |
SAF Tehnika 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 SAF Tehnika stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAF Tehnika stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAF Tehnika stock over time.
Current vs Lagged Prices |
| Timeline |
SAF Tehnika Lagged Returns
When evaluating SAF Tehnika's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAF Tehnika stock have on its future price. SAF Tehnika 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, SAF Tehnika autocorrelation shows the relationship between SAF Tehnika stock current value and its past values and can show if there is a momentum factor associated with investing in SAF Tehnika AS.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
| VTSNX | Vanguard Total International | |
| VBTIX | Vanguard Total Bond | |
| VMCIX | Vanguard Mid Cap Index | |
| GOOGL | Alphabet Inc Class A | |
| AMZN | Amazon Inc |
Other Information on Investing in SAF Stock
SAF Tehnika financial ratios help investors to determine whether SAF Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in SAF with respect to the benefits of owning SAF Tehnika security.