Sumitomo Mitsui Trust Stock Market Value
| CMTDF Stock | USD 25.70 2.30 9.83% |
| Symbol | Sumitomo |
Sumitomo Mitsui '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 Sumitomo Mitsui's pink sheet 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 Sumitomo Mitsui.
| 10/25/2024 |
| 12/24/2024 |
If you would invest 0.00 in Sumitomo Mitsui on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Sumitomo Mitsui Trust or generate 0.0% return on investment in Sumitomo Mitsui over 60 days. Sumitomo Mitsui is related to or competes with Banco Bradesco, Itau Unibanco, Lloyds Banking, Deutsche Bank, and Banco Santander. Sumitomo Mitsui Trust Holdings, Inc. operates as a trust bank in Japan and internationally More
Sumitomo Mitsui 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 Sumitomo Mitsui's pink sheet 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 Sumitomo Mitsui Trust upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 6.29 | |||
| Information Ratio | 0.0174 | |||
| Maximum Drawdown | 24.78 | |||
| Value At Risk | (5.32) | |||
| Potential Upside | 6.19 |
Sumitomo Mitsui Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sumitomo Mitsui's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sumitomo Mitsui's standard deviation. In reality, there are many statistical measures that can use Sumitomo Mitsui historical prices to predict the future Sumitomo Mitsui's volatility.| Risk Adjusted Performance | 0.0291 | |||
| Jensen Alpha | 0.0843 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0095 | |||
| Treynor Ratio | (1.53) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sumitomo Mitsui'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.
Sumitomo Mitsui Trust Backtested Returns
Sumitomo Mitsui appears to be not too volatile, given 3 months investment horizon. Sumitomo Mitsui Trust owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.092, which indicates the firm had a 0.092% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Sumitomo Mitsui Trust, which you can use to evaluate the volatility of the company. Please review Sumitomo Mitsui's Risk Adjusted Performance of 0.0291, coefficient of variation of 3704.51, and Semi Deviation of 2.3 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sumitomo Mitsui holds a performance score of 7. The entity has a beta of -0.0543, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sumitomo Mitsui are expected to decrease at a much lower rate. During the bear market, Sumitomo Mitsui is likely to outperform the market. Please check Sumitomo Mitsui's potential upside, daily balance of power, and the relationship between the treynor ratio and expected short fall , to make a quick decision on whether Sumitomo Mitsui's existing price patterns will revert.
Auto-correlation | 0.56 |
Modest predictability
Sumitomo Mitsui Trust has modest predictability. Overlapping area represents the amount of predictability between Sumitomo Mitsui time series from 25th of October 2024 to 24th of November 2024 and 24th of November 2024 to 24th 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 Sumitomo Mitsui Trust price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Sumitomo Mitsui price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 1.48 |
Sumitomo Mitsui Trust lagged returns against current returns
Autocorrelation, which is Sumitomo Mitsui pink sheet'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 Sumitomo Mitsui's pink sheet expected returns. We can calculate the autocorrelation of Sumitomo Mitsui returns to help us make a trade decision. For example, suppose you find that Sumitomo Mitsui has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Sumitomo Mitsui 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 Sumitomo Mitsui pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sumitomo Mitsui pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sumitomo Mitsui pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Sumitomo Mitsui Lagged Returns
When evaluating Sumitomo Mitsui's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sumitomo Mitsui pink sheet have on its future price. Sumitomo Mitsui 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, Sumitomo Mitsui autocorrelation shows the relationship between Sumitomo Mitsui pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Sumitomo Mitsui Trust.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Sumitomo Pink Sheet
Sumitomo Mitsui financial ratios help investors to determine whether Sumitomo Pink Sheet 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 Sumitomo with respect to the benefits of owning Sumitomo Mitsui security.