Siegfried Holding (Switzerland) Market Value
| SFZN Stock | CHF 903.00 8.00 0.89% |
| Symbol | Siegfried |
Siegfried Holding '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 Siegfried Holding'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 Siegfried Holding.
| 12/18/2024 |
| 03/18/2025 |
If you would invest 0.00 in Siegfried Holding on December 18, 2024 and sell it all today you would earn a total of 0.00 from holding Siegfried Holding or generate 0.0% return on investment in Siegfried Holding over 90 days. Siegfried Holding is related to or competes with Bachem Holding, VAT Group, Tecan Group, Straumann Holding, and Lonza Group. Siegfried Holding AG engages in the life sciences business worldwide More
Siegfried Holding 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 Siegfried Holding'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 Siegfried Holding upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 9.07 | |||
| Value At Risk | (3.37) | |||
| Potential Upside | 1.52 |
Siegfried Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siegfried Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siegfried Holding's standard deviation. In reality, there are many statistical measures that can use Siegfried Holding historical prices to predict the future Siegfried Holding's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | (0.41) |
Siegfried Holding Backtested Returns
Siegfried Holding owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0945, which indicates the firm had a -0.0945 % return per unit of risk over the last 3 months. Siegfried Holding exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siegfried Holding's Coefficient Of Variation of (619.26), risk adjusted performance of (0.14), and Variance of 2.75 to confirm the risk estimate we provide. The entity has a beta of 0.67, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Siegfried Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Siegfried Holding is expected to be smaller as well. At this point, Siegfried Holding has a negative expected return of -0.14%. Please make sure to validate Siegfried Holding's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Siegfried Holding performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.59 |
Good reverse predictability
Siegfried Holding has good reverse predictability. Overlapping area represents the amount of predictability between Siegfried Holding time series from 18th of December 2024 to 1st of February 2025 and 1st of February 2025 to 18th of March 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 Siegfried Holding price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current Siegfried Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 2899.79 |
Siegfried Holding lagged returns against current returns
Autocorrelation, which is Siegfried Holding 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 Siegfried Holding's stock expected returns. We can calculate the autocorrelation of Siegfried Holding returns to help us make a trade decision. For example, suppose you find that Siegfried Holding 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 |
Siegfried Holding 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 Siegfried Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siegfried Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siegfried Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Siegfried Holding Lagged Returns
When evaluating Siegfried Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siegfried Holding stock have on its future price. Siegfried Holding 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, Siegfried Holding autocorrelation shows the relationship between Siegfried Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Siegfried Holding.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Siegfried Stock Analysis
When running Siegfried Holding's price analysis, check to measure Siegfried Holding'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 Siegfried Holding is operating at the current time. Most of Siegfried Holding's value examination focuses on studying past and present price action to predict the probability of Siegfried Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siegfried Holding's price. Additionally, you may evaluate how the addition of Siegfried Holding to your portfolios can decrease your overall portfolio volatility.