Soktas Tekstil (Turkey) Market Value
| SKTAS Stock | TRY 4.65 0.08 1.69% |
| Symbol | Soktas |
Soktas Tekstil '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 Soktas Tekstil'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 Soktas Tekstil.
| 01/02/2023 |
| 12/22/2024 |
If you would invest 0.00 in Soktas Tekstil on January 2, 2023 and sell it all today you would earn a total of 0.00 from holding Soktas Tekstil Sanayi or generate 0.0% return on investment in Soktas Tekstil over 720 days. Soktas Tekstil is related to or competes with Ford Otomotiv, Tofas Turk, Hektas Ticaret, Eregli Demir, and Aksa Akrilik. Sktas Tekstil Sanayi Ve Ticaret A.S., through its subsidiaries, designs, manufactures, and sells fabric and textile prod... More
Soktas Tekstil 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 Soktas Tekstil'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 Soktas Tekstil Sanayi upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.39 | |||
| Information Ratio | 0.022 | |||
| Maximum Drawdown | 17.52 | |||
| Value At Risk | (5.07) | |||
| Potential Upside | 9.88 |
Soktas Tekstil Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Soktas Tekstil's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Soktas Tekstil's standard deviation. In reality, there are many statistical measures that can use Soktas Tekstil historical prices to predict the future Soktas Tekstil's volatility.| Risk Adjusted Performance | 0.0318 | |||
| Jensen Alpha | 0.1003 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0259 | |||
| Treynor Ratio | 0.2496 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Soktas Tekstil'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.
Soktas Tekstil Sanayi Backtested Returns
Soktas Tekstil is relatively risky at the moment. Soktas Tekstil Sanayi owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0194, which indicates the firm had a 0.0194% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Soktas Tekstil Sanayi, which you can use to evaluate the volatility of the company. Please validate Soktas Tekstil's Semi Deviation of 3.18, risk adjusted performance of 0.0318, and Coefficient Of Variation of 3327.37 to confirm if the risk estimate we provide is consistent with the expected return of 0.078%. Soktas Tekstil has a performance score of 1 on a scale of 0 to 100. The entity has a beta of 0.44, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Soktas Tekstil's returns are expected to increase less than the market. However, during the bear market, the loss of holding Soktas Tekstil is expected to be smaller as well. Soktas Tekstil Sanayi right now has a risk of 4.02%. Please validate Soktas Tekstil expected short fall, and the relationship between the maximum drawdown and rate of daily change , to decide if Soktas Tekstil will be following its existing price patterns.
Auto-correlation | -0.48 |
Modest reverse predictability
Soktas Tekstil Sanayi has modest reverse predictability. Overlapping area represents the amount of predictability between Soktas Tekstil time series from 2nd of January 2023 to 28th of December 2023 and 28th of December 2023 to 22nd 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 Soktas Tekstil Sanayi price movement. The serial correlation of -0.48 indicates that about 48.0% of current Soktas Tekstil price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.4 |
Soktas Tekstil Sanayi lagged returns against current returns
Autocorrelation, which is Soktas Tekstil 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 Soktas Tekstil's stock expected returns. We can calculate the autocorrelation of Soktas Tekstil returns to help us make a trade decision. For example, suppose you find that Soktas Tekstil 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 |
Soktas Tekstil 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 Soktas Tekstil stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Soktas Tekstil stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Soktas Tekstil stock over time.
Current vs Lagged Prices |
| Timeline |
Soktas Tekstil Lagged Returns
When evaluating Soktas Tekstil's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Soktas Tekstil stock have on its future price. Soktas Tekstil 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, Soktas Tekstil autocorrelation shows the relationship between Soktas Tekstil stock current value and its past values and can show if there is a momentum factor associated with investing in Soktas Tekstil Sanayi.
Regressed Prices |
| Timeline |
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Other Information on Investing in Soktas Stock
Soktas Tekstil financial ratios help investors to determine whether Soktas 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 Soktas with respect to the benefits of owning Soktas Tekstil security.