San Miguel (Philippines) Market Value
| SMC2I Stock | 71.85 0.65 0.90% |
| Symbol | San |
San Miguel '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 San Miguel'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 San Miguel.
| 12/13/2024 |
| 03/13/2025 |
If you would invest 0.00 in San Miguel on December 13, 2024 and sell it all today you would earn a total of 0.00 from holding San Miguel Corp or generate 0.0% return on investment in San Miguel over 90 days.
San Miguel 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 San Miguel'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 San Miguel Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.1782 | |||
| Maximum Drawdown | 5.21 | |||
| Value At Risk | (1.55) | |||
| Potential Upside | 2.07 |
San Miguel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for San Miguel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as San Miguel's standard deviation. In reality, there are many statistical measures that can use San Miguel historical prices to predict the future San Miguel's volatility.| Risk Adjusted Performance | 0.0519 | |||
| Jensen Alpha | 0.0601 | |||
| Total Risk Alpha | 0.2011 | |||
| Sortino Ratio | 0.172 | |||
| Treynor Ratio | 0.6251 |
San Miguel Corp Backtested Returns
San Miguel Corp owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0104, which indicates the firm had a -0.0104 % return per unit of risk over the last 3 months. San Miguel Corp exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate San Miguel's Semi Deviation of 0.7566, coefficient of variation of 1652.81, and Risk Adjusted Performance of 0.0519 to confirm the risk estimate we provide. The entity has a beta of 0.08, which indicates not very significant fluctuations relative to the market. As returns on the market increase, San Miguel's returns are expected to increase less than the market. However, during the bear market, the loss of holding San Miguel is expected to be smaller as well. At this point, San Miguel Corp has a negative expected return of -0.0106%. Please make sure to validate San Miguel's sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if San Miguel Corp performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.24 |
Weak reverse predictability
San Miguel Corp has weak reverse predictability. Overlapping area represents the amount of predictability between San Miguel time series from 13th of December 2024 to 27th of January 2025 and 27th of January 2025 to 13th 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 San Miguel Corp price movement. The serial correlation of -0.24 indicates that over 24.0% of current San Miguel price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
San Miguel Corp lagged returns against current returns
Autocorrelation, which is San Miguel 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 San Miguel's stock expected returns. We can calculate the autocorrelation of San Miguel returns to help us make a trade decision. For example, suppose you find that San Miguel 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 |
San Miguel 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 San Miguel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if San Miguel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in San Miguel stock over time.
Current vs Lagged Prices |
| Timeline |
San Miguel Lagged Returns
When evaluating San Miguel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of San Miguel stock have on its future price. San Miguel 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, San Miguel autocorrelation shows the relationship between San Miguel stock current value and its past values and can show if there is a momentum factor associated with investing in San Miguel Corp.
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 San Stock Analysis
When running San Miguel's price analysis, check to measure San Miguel'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 San Miguel is operating at the current time. Most of San Miguel's value examination focuses on studying past and present price action to predict the probability of San Miguel's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move San Miguel's price. Additionally, you may evaluate how the addition of San Miguel to your portfolios can decrease your overall portfolio volatility.