SONASID (Morocco) Market Value
| SONASID Stock | 1,421 16.00 1.14% |
| Symbol | SONASID |
SONASID '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 SONASID'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 SONASID.
| 12/13/2024 |
| 03/13/2025 |
If you would invest 0.00 in SONASID on December 13, 2024 and sell it all today you would earn a total of 0.00 from holding SONASID or generate 0.0% return on investment in SONASID over 90 days.
SONASID 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 SONASID'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 SONASID upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.57 | |||
| Information Ratio | 0.2692 | |||
| Maximum Drawdown | 12.32 | |||
| Value At Risk | (4.16) | |||
| Potential Upside | 6.44 |
SONASID Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SONASID's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SONASID's standard deviation. In reality, there are many statistical measures that can use SONASID historical prices to predict the future SONASID's volatility.| Risk Adjusted Performance | 0.1966 | |||
| Jensen Alpha | 0.606 | |||
| Total Risk Alpha | 1.07 | |||
| Sortino Ratio | 0.296 | |||
| Treynor Ratio | (2.78) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SONASID'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.
SONASID Backtested Returns
SONASID appears to be very steady, given 3 months investment horizon. SONASID owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.23, which indicates the firm had a 0.23 % return per unit of standard deviation over the last 3 months. By evaluating SONASID's technical indicators, you can evaluate if the expected return of 0.68% is justified by implied risk. Please review SONASID's risk adjusted performance of 0.1966, and Coefficient Of Variation of 438.75 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SONASID holds a performance score of 18. The entity has a beta of -0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SONASID are expected to decrease at a much lower rate. During the bear market, SONASID is likely to outperform the market. Please check SONASID's value at risk, as well as the relationship between the skewness and day median price , to make a quick decision on whether SONASID's existing price patterns will revert.
Auto-correlation | 0.82 |
Very good predictability
SONASID has very good predictability. Overlapping area represents the amount of predictability between SONASID 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 SONASID price movement. The serial correlation of 0.82 indicates that around 82.0% of current SONASID price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 18 K |
SONASID lagged returns against current returns
Autocorrelation, which is SONASID 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 SONASID's stock expected returns. We can calculate the autocorrelation of SONASID returns to help us make a trade decision. For example, suppose you find that SONASID 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 |
SONASID 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 SONASID stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SONASID stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SONASID stock over time.
Current vs Lagged Prices |
| Timeline |
SONASID Lagged Returns
When evaluating SONASID's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SONASID stock have on its future price. SONASID 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, SONASID autocorrelation shows the relationship between SONASID stock current value and its past values and can show if there is a momentum factor associated with investing in SONASID.
Regressed Prices |
| Timeline |