Spirent Communications (Germany) Market Value
| BW8 Stock | EUR 2.06 0.02 0.98% |
| Symbol | Spirent |
Spirent Communications '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 Spirent Communications' 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 Spirent Communications.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Spirent Communications on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Spirent Communications plc or generate 0.0% return on investment in Spirent Communications over 360 days. Spirent Communications is related to or competes with Deutsche Telekom, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, NorAm Drilling, and Talanx AG. Spirent Communications plc provides solutions to develop devices and equipment and to operate networks worldwide More
Spirent Communications 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 Spirent Communications' 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 Spirent Communications plc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 3.92 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 1.94 |
Spirent Communications Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Spirent Communications' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Spirent Communications' standard deviation. In reality, there are many statistical measures that can use Spirent Communications historical prices to predict the future Spirent Communications' volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (0.06) |
Spirent Communications Backtested Returns
Spirent Communications owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0112, which indicates the firm had a -0.0112% return per unit of risk over the last 3 months. Spirent Communications plc exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Spirent Communications' Coefficient Of Variation of (3,777), variance of 0.8787, and Risk Adjusted Performance of (0.02) to confirm the risk estimate we provide. The entity has a beta of 0.54, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Spirent Communications' returns are expected to increase less than the market. However, during the bear market, the loss of holding Spirent Communications is expected to be smaller as well. At this point, Spirent Communications has a negative expected return of -0.0104%. Please make sure to validate Spirent Communications' standard deviation, information ratio, total risk alpha, as well as the relationship between the variance and jensen alpha , to decide if Spirent Communications performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.45 |
Modest reverse predictability
Spirent Communications plc has modest reverse predictability. Overlapping area represents the amount of predictability between Spirent Communications time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 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 Spirent Communications price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Spirent Communications price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.45 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Spirent Communications lagged returns against current returns
Autocorrelation, which is Spirent Communications 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 Spirent Communications' stock expected returns. We can calculate the autocorrelation of Spirent Communications returns to help us make a trade decision. For example, suppose you find that Spirent Communications 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 |
Spirent Communications 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 Spirent Communications stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Spirent Communications stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Spirent Communications stock over time.
Current vs Lagged Prices |
| Timeline |
Spirent Communications Lagged Returns
When evaluating Spirent Communications' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Spirent Communications stock have on its future price. Spirent Communications 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, Spirent Communications autocorrelation shows the relationship between Spirent Communications stock current value and its past values and can show if there is a momentum factor associated with investing in Spirent Communications plc.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Spirent Stock
Spirent Communications financial ratios help investors to determine whether Spirent 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 Spirent with respect to the benefits of owning Spirent Communications security.