SCUT SA (Romania) Market Value
| SCBC Stock | 31.00 0.00 0.00% |
| Symbol | SCUT |
SCUT SA '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 SCUT SA'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 SCUT SA.
| 10/13/2024 |
| 12/12/2024 |
If you would invest 0.00 in SCUT SA on October 13, 2024 and sell it all today you would earn a total of 0.00 from holding SCUT SA BACAU or generate 0.0% return on investment in SCUT SA over 60 days.
SCUT SA 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 SCUT SA'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 SCUT SA BACAU upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0737 | |||
| Maximum Drawdown | 15.63 |
SCUT SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SCUT SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SCUT SA's standard deviation. In reality, there are many statistical measures that can use SCUT SA historical prices to predict the future SCUT SA's volatility.| Risk Adjusted Performance | 0.104 | |||
| Jensen Alpha | 0.2301 | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | 0.8982 |
SCUT SA BACAU Backtested Returns
SCUT SA appears to be very steady, given 3 months investment horizon. SCUT SA BACAU owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the company had a 0.14% return per unit of standard deviation over the last 3 months. We have found sixteen technical indicators for SCUT SA BACAU, which you can use to evaluate the volatility of the entity. Please review SCUT SA's Market Risk Adjusted Performance of 0.9082, standard deviation of 2.03, and Risk Adjusted Performance of 0.104 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SCUT SA holds a performance score of 10. The firm has a beta of 0.29, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SCUT SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding SCUT SA is expected to be smaller as well. Please check SCUT SA's standard deviation, information ratio, and the relationship between the coefficient of variation and variance , to make a quick decision on whether SCUT SA's existing price patterns will revert.
Auto-correlation | 0.18 |
Very weak predictability
SCUT SA BACAU has very weak predictability. Overlapping area represents the amount of predictability between SCUT SA time series from 13th of October 2024 to 12th of November 2024 and 12th of November 2024 to 12th 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 SCUT SA BACAU price movement. The serial correlation of 0.18 indicates that over 18.0% of current SCUT SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.39 |
SCUT SA BACAU lagged returns against current returns
Autocorrelation, which is SCUT SA 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 SCUT SA's stock expected returns. We can calculate the autocorrelation of SCUT SA returns to help us make a trade decision. For example, suppose you find that SCUT SA 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 |
SCUT SA 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 SCUT SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SCUT SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SCUT SA stock over time.
Current vs Lagged Prices |
| Timeline |
SCUT SA Lagged Returns
When evaluating SCUT SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SCUT SA stock have on its future price. SCUT SA 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, SCUT SA autocorrelation shows the relationship between SCUT SA stock current value and its past values and can show if there is a momentum factor associated with investing in SCUT SA BACAU.
Regressed Prices |
| Timeline |
Pair Trading with SCUT SA
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if SCUT SA position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SCUT SA will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to SCUT SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SCUT SA when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SCUT SA - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SCUT SA BACAU to buy it.
The correlation of SCUT SA is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SCUT SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SCUT SA BACAU moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for SCUT SA can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.