SIG Combibloc (Switzerland) Market Value
| SIGN Stock | CHF 17.66 0.04 0.23% |
| Symbol | SIG |
SIG Combibloc '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 SIG Combibloc'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 SIG Combibloc.
| 09/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in SIG Combibloc on September 29, 2024 and sell it all today you would earn a total of 0.00 from holding SIG Combibloc Group or generate 0.0% return on investment in SIG Combibloc over 60 days. SIG Combibloc is related to or competes with Softwareone Holding, Burckhardt Compression, Arbonia AG, Belimo Holding, and Bachem Holding. SIG Combibloc Group AG provides aseptic carton packaging systems and solutions for beverage and liquid food products More
SIG Combibloc 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 SIG Combibloc'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 SIG Combibloc Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.75 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 8.41 | |||
| Value At Risk | (3.27) | |||
| Potential Upside | 2.79 |
SIG Combibloc Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIG Combibloc's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIG Combibloc's standard deviation. In reality, there are many statistical measures that can use SIG Combibloc historical prices to predict the future SIG Combibloc's volatility.| Risk Adjusted Performance | 0.0198 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.25) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0541 |
SIG Combibloc Group Backtested Returns
SIG Combibloc Group owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0053, which indicates the firm had a -0.0053% return per unit of volatility over the last 3 months. SIG Combibloc Group exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SIG Combibloc's coefficient of variation of 5413.48, and Risk Adjusted Performance of 0.0198 to confirm the risk estimate we provide. The entity has a beta of 0.42, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SIG Combibloc's returns are expected to increase less than the market. However, during the bear market, the loss of holding SIG Combibloc is expected to be smaller as well. At this point, SIG Combibloc Group has a negative expected return of -0.0093%. Please make sure to validate SIG Combibloc's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if SIG Combibloc Group performance from the past will be repeated at future time.
Auto-correlation | 0.22 |
Weak predictability
SIG Combibloc Group has weak predictability. Overlapping area represents the amount of predictability between SIG Combibloc time series from 29th of September 2024 to 29th of October 2024 and 29th of October 2024 to 28th of November 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 SIG Combibloc Group price movement. The serial correlation of 0.22 indicates that over 22.0% of current SIG Combibloc price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.25 |
SIG Combibloc Group lagged returns against current returns
Autocorrelation, which is SIG Combibloc 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 SIG Combibloc's stock expected returns. We can calculate the autocorrelation of SIG Combibloc returns to help us make a trade decision. For example, suppose you find that SIG Combibloc 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 |
SIG Combibloc 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 SIG Combibloc stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIG Combibloc stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIG Combibloc stock over time.
Current vs Lagged Prices |
| Timeline |
SIG Combibloc Lagged Returns
When evaluating SIG Combibloc's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIG Combibloc stock have on its future price. SIG Combibloc 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, SIG Combibloc autocorrelation shows the relationship between SIG Combibloc stock current value and its past values and can show if there is a momentum factor associated with investing in SIG Combibloc Group.
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 SIG Stock Analysis
When running SIG Combibloc's price analysis, check to measure SIG Combibloc'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 SIG Combibloc is operating at the current time. Most of SIG Combibloc's value examination focuses on studying past and present price action to predict the probability of SIG Combibloc's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SIG Combibloc's price. Additionally, you may evaluate how the addition of SIG Combibloc to your portfolios can decrease your overall portfolio volatility.