STEEL DYNAMICS (Germany) Market Value
| SD5 Stock | 120.66 0.42 0.35% |
| Symbol | STEEL |
STEEL DYNAMICS '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 STEEL DYNAMICS'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 STEEL DYNAMICS.
| 02/01/2023 |
| 01/21/2025 |
If you would invest 0.00 in STEEL DYNAMICS on February 1, 2023 and sell it all today you would earn a total of 0.00 from holding STEEL DYNAMICS or generate 0.0% return on investment in STEEL DYNAMICS over 720 days. STEEL DYNAMICS is related to or competes with Apple, Apple, Apple, Apple, Microsoft, Microsoft, and Microsoft. More
STEEL DYNAMICS 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 STEEL DYNAMICS'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 STEEL DYNAMICS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | 0.0142 | |||
| Maximum Drawdown | 10.21 | |||
| Value At Risk | (2.57) | |||
| Potential Upside | 4.85 |
STEEL DYNAMICS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for STEEL DYNAMICS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as STEEL DYNAMICS's standard deviation. In reality, there are many statistical measures that can use STEEL DYNAMICS historical prices to predict the future STEEL DYNAMICS's volatility.| Risk Adjusted Performance | 0.0295 | |||
| Jensen Alpha | 0.0367 | |||
| Total Risk Alpha | (0.0006) | |||
| Sortino Ratio | 0.018 | |||
| Treynor Ratio | 0.0727 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of STEEL DYNAMICS'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.
STEEL DYNAMICS Backtested Returns
Currently, STEEL DYNAMICS is very steady. STEEL DYNAMICS owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0227, which indicates the firm had a 0.0227 % return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for STEEL DYNAMICS, which you can use to evaluate the volatility of the company. Please validate STEEL DYNAMICS's risk adjusted performance of 0.0295, and Coefficient Of Variation of 3578.92 to confirm if the risk estimate we provide is consistent with the expected return of 0.0488%. STEEL DYNAMICS has a performance score of 1 on a scale of 0 to 100. The entity has a beta of 0.69, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, STEEL DYNAMICS's returns are expected to increase less than the market. However, during the bear market, the loss of holding STEEL DYNAMICS is expected to be smaller as well. STEEL DYNAMICS currently has a risk of 2.15%. Please validate STEEL DYNAMICS standard deviation, value at risk, kurtosis, as well as the relationship between the sortino ratio and semi variance , to decide if STEEL DYNAMICS will be following its existing price patterns.
Auto-correlation | 0.02 |
Virtually no predictability
STEEL DYNAMICS has virtually no predictability. Overlapping area represents the amount of predictability between STEEL DYNAMICS time series from 1st of February 2023 to 27th of January 2024 and 27th of January 2024 to 21st of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of STEEL DYNAMICS price movement. The serial correlation of 0.02 indicates that only 2.0% of current STEEL DYNAMICS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 88.85 |
STEEL DYNAMICS lagged returns against current returns
Autocorrelation, which is STEEL DYNAMICS 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 STEEL DYNAMICS's stock expected returns. We can calculate the autocorrelation of STEEL DYNAMICS returns to help us make a trade decision. For example, suppose you find that STEEL DYNAMICS 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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STEEL DYNAMICS 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 STEEL DYNAMICS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if STEEL DYNAMICS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in STEEL DYNAMICS stock over time.
Current vs Lagged Prices |
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STEEL DYNAMICS Lagged Returns
When evaluating STEEL DYNAMICS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of STEEL DYNAMICS stock have on its future price. STEEL DYNAMICS 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, STEEL DYNAMICS autocorrelation shows the relationship between STEEL DYNAMICS stock current value and its past values and can show if there is a momentum factor associated with investing in STEEL DYNAMICS.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for STEEL Stock Analysis
When running STEEL DYNAMICS's price analysis, check to measure STEEL DYNAMICS's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy STEEL DYNAMICS is operating at the current time. Most of STEEL DYNAMICS's value examination focuses on studying past and present price action to predict the probability of STEEL DYNAMICS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move STEEL DYNAMICS's price. Additionally, you may evaluate how the addition of STEEL DYNAMICS to your portfolios can decrease your overall portfolio volatility.