SEGRO Plc (Germany) Market Value
| S4VC Stock | EUR 9.30 0.10 1.09% |
| Symbol | SEGRO |
SEGRO Plc '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 SEGRO Plc'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 SEGRO Plc.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in SEGRO Plc on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding SEGRO Plc or generate 0.0% return on investment in SEGRO Plc over 30 days. SEGRO Plc is related to or competes with EastGroup Properties, Ascendas Real, and Mapletree Industrial. SEGRO is a UK Real Estate Investment Trust , and a leading owner, manager and developer of modern warehouses and light i... More
SEGRO Plc 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 SEGRO Plc'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 SEGRO Plc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 12.07 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 1.96 |
SEGRO Plc Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SEGRO Plc's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SEGRO Plc's standard deviation. In reality, there are many statistical measures that can use SEGRO Plc historical prices to predict the future SEGRO Plc's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | (0.29) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SEGRO Plc'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.
SEGRO Plc Backtested Returns
SEGRO Plc owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0707, which indicates the firm had a -0.0707% return per unit of volatility over the last 3 months. SEGRO Plc exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SEGRO Plc's risk adjusted performance of (0.05), and Variance of 3.18 to confirm the risk estimate we provide. The entity has a beta of 0.52, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SEGRO Plc's returns are expected to increase less than the market. However, during the bear market, the loss of holding SEGRO Plc is expected to be smaller as well. At this point, SEGRO Plc has a negative expected return of -0.13%. Please make sure to validate SEGRO Plc's jensen alpha, treynor ratio, value at risk, as well as the relationship between the total risk alpha and maximum drawdown , to decide if SEGRO Plc performance from the past will be repeated in the future.
Auto-correlation | -0.39 |
Poor reverse predictability
SEGRO Plc has poor reverse predictability. Overlapping area represents the amount of predictability between SEGRO Plc time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 SEGRO Plc price movement. The serial correlation of -0.39 indicates that just about 39.0% of current SEGRO Plc price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
SEGRO Plc lagged returns against current returns
Autocorrelation, which is SEGRO Plc 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 SEGRO Plc's stock expected returns. We can calculate the autocorrelation of SEGRO Plc returns to help us make a trade decision. For example, suppose you find that SEGRO Plc 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 |
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SEGRO Plc 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 SEGRO Plc stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SEGRO Plc stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SEGRO Plc stock over time.
Current vs Lagged Prices |
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SEGRO Plc Lagged Returns
When evaluating SEGRO Plc's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SEGRO Plc stock have on its future price. SEGRO Plc 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, SEGRO Plc autocorrelation shows the relationship between SEGRO Plc stock current value and its past values and can show if there is a momentum factor associated with investing in SEGRO Plc.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SEGRO Stock
SEGRO Plc financial ratios help investors to determine whether SEGRO 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 SEGRO with respect to the benefits of owning SEGRO Plc security.