Safran SA (Germany) Market Value
| SEJ1 Stock | EUR 210.20 4.00 1.94% |
| Symbol | Safran |
Safran 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 Safran 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 Safran SA.
| 11/13/2024 |
| 12/13/2024 |
If you would invest 0.00 in Safran SA on November 13, 2024 and sell it all today you would earn a total of 0.00 from holding Safran SA or generate 0.0% return on investment in Safran SA over 30 days. Safran SA is related to or competes with JAPAN AIRLINES, United Airlines, LG Display, SINGAPORE AIRLINES, Universal Display, and AEGEAN AIRLINES. Safran SA, together with its subsidiaries, engages in the aerospace and defense businesses worldwide More
Safran 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 Safran 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 Safran SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.54 | |||
| Value At Risk | (2.28) | |||
| Potential Upside | 2.57 |
Safran SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Safran SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Safran SA's standard deviation. In reality, there are many statistical measures that can use Safran SA historical prices to predict the future Safran SA's volatility.| Risk Adjusted Performance | 0.0525 | |||
| Jensen Alpha | 0.0406 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1973 |
Safran SA Backtested Returns
At this point, Safran SA is very steady. Safran SA owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.048, which indicates the firm had a 0.048% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Safran SA, which you can use to evaluate the volatility of the company. Please validate Safran SA's Semi Deviation of 1.24, risk adjusted performance of 0.0525, and Coefficient Of Variation of 1527.73 to confirm if the risk estimate we provide is consistent with the expected return of 0.0693%. Safran SA has a performance score of 3 on a scale of 0 to 100. The entity has a beta of 0.43, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Safran SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Safran SA is expected to be smaller as well. Safran SA right now has a risk of 1.44%. Please validate Safran SA jensen alpha, sortino ratio, and the relationship between the information ratio and total risk alpha , to decide if Safran SA will be following its existing price patterns.
Auto-correlation | -0.4 |
Poor reverse predictability
Safran SA has poor reverse predictability. Overlapping area represents the amount of predictability between Safran SA time series from 13th of November 2024 to 28th of November 2024 and 28th of November 2024 to 13th 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 Safran SA price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Safran SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 37.27 |
Safran SA lagged returns against current returns
Autocorrelation, which is Safran 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 Safran SA's stock expected returns. We can calculate the autocorrelation of Safran SA returns to help us make a trade decision. For example, suppose you find that Safran 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 |
Safran 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 Safran SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Safran SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Safran SA stock over time.
Current vs Lagged Prices |
| Timeline |
Safran SA Lagged Returns
When evaluating Safran SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Safran SA stock have on its future price. Safran 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, Safran SA autocorrelation shows the relationship between Safran SA stock current value and its past values and can show if there is a momentum factor associated with investing in Safran SA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Safran Stock
Safran SA financial ratios help investors to determine whether Safran 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 Safran with respect to the benefits of owning Safran SA security.