SM Prime (Philippines) Market Value
| SMPH Stock | 26.40 0.10 0.38% |
| Symbol | SMPH |
SM Prime '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 SM Prime'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 SM Prime.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in SM Prime on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding SM Prime Holdings or generate 0.0% return on investment in SM Prime over 180 days.
SM Prime 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 SM Prime'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 SM Prime Holdings upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 9.59 | |||
| Value At Risk | (3.40) | |||
| Potential Upside | 3.45 |
SM Prime Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SM Prime's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SM Prime's standard deviation. In reality, there are many statistical measures that can use SM Prime historical prices to predict the future SM Prime's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.54) | |||
| Treynor Ratio | 0.1921 |
SM Prime Holdings Backtested Returns
SM Prime Holdings retains Efficiency (Sharpe Ratio) of -0.094, which indicates the firm had a -0.094% return per unit of price deviation over the last 3 months. SM Prime exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SM Prime's Mean Deviation of 1.77, standard deviation of 2.15, and Risk Adjusted Performance of (0.05) to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.94, which indicates possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning SM Prime are expected to decrease slowly. On the other hand, during market turmoil, SM Prime is expected to outperform it slightly. At this point, SM Prime Holdings has a negative expected return of -0.2%. Please make sure to validate SM Prime's market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if SM Prime Holdings performance from the past will be repeated sooner or later.
Auto-correlation | -0.49 |
Modest reverse predictability
SM Prime Holdings has modest reverse predictability. Overlapping area represents the amount of predictability between SM Prime time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th 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 SM Prime Holdings price movement. The serial correlation of -0.49 indicates that about 49.0% of current SM Prime price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.49 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 3.61 |
SM Prime Holdings lagged returns against current returns
Autocorrelation, which is SM Prime 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 SM Prime's stock expected returns. We can calculate the autocorrelation of SM Prime returns to help us make a trade decision. For example, suppose you find that SM Prime 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 |
SM Prime 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 SM Prime stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SM Prime stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SM Prime stock over time.
Current vs Lagged Prices |
| Timeline |
SM Prime Lagged Returns
When evaluating SM Prime's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SM Prime stock have on its future price. SM Prime 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, SM Prime autocorrelation shows the relationship between SM Prime stock current value and its past values and can show if there is a momentum factor associated with investing in SM Prime Holdings.
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 SMPH Stock Analysis
When running SM Prime's price analysis, check to measure SM Prime'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 SM Prime is operating at the current time. Most of SM Prime's value examination focuses on studying past and present price action to predict the probability of SM Prime's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SM Prime's price. Additionally, you may evaluate how the addition of SM Prime to your portfolios can decrease your overall portfolio volatility.