Spirent Communications (UK) Market Value
| SPT Stock | 176.50 1.80 1.01% |
| Symbol | Spirent |
Spirent Communications '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 Spirent Communications' 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 Spirent Communications.
| 01/02/2023 |
| 12/22/2024 |
If you would invest 0.00 in Spirent Communications on January 2, 2023 and sell it all today you would earn a total of 0.00 from holding Spirent Communications plc or generate 0.0% return on investment in Spirent Communications over 720 days. Spirent Communications is related to or competes with Catalyst Media, Grand Vision, Vitec Software, Advanced Medical, Medical Properties, AcadeMedia, and Alfa Financial. Spirent Communications is entity of United Kingdom More
Spirent Communications 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 Spirent Communications' 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 Spirent Communications plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6944 | |||
| Information Ratio | 0.0229 | |||
| Maximum Drawdown | 4.74 | |||
| Value At Risk | (1.10) | |||
| Potential Upside | 1.17 |
Spirent Communications Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Spirent Communications' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Spirent Communications' standard deviation. In reality, there are many statistical measures that can use Spirent Communications historical prices to predict the future Spirent Communications' volatility.| Risk Adjusted Performance | 0.049 | |||
| Jensen Alpha | 0.0432 | |||
| Total Risk Alpha | 0.0179 | |||
| Sortino Ratio | 0.0277 | |||
| Treynor Ratio | (0.52) |
Spirent Communications Backtested Returns
At this point, Spirent Communications is very steady. Spirent Communications owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0611, which indicates the firm had a 0.0611% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Spirent Communications plc, which you can use to evaluate the volatility of the company. Please validate Spirent Communications' Risk Adjusted Performance of 0.049, coefficient of variation of 1637.75, and Semi Deviation of 0.5926 to confirm if the risk estimate we provide is consistent with the expected return of 0.0514%. Spirent Communications has a performance score of 4 on a scale of 0 to 100. The entity has a beta of -0.0792, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Spirent Communications are expected to decrease at a much lower rate. During the bear market, Spirent Communications is likely to outperform the market. Spirent Communications right now has a risk of 0.84%. Please validate Spirent Communications total risk alpha, downside variance, daily balance of power, as well as the relationship between the maximum drawdown and skewness , to decide if Spirent Communications will be following its existing price patterns.
Auto-correlation | -0.55 |
Good reverse predictability
Spirent Communications plc has good reverse predictability. Overlapping area represents the amount of predictability between Spirent Communications 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 Spirent Communications price movement. The serial correlation of -0.55 indicates that about 55.0% of current Spirent Communications price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 646.75 |
Spirent Communications lagged returns against current returns
Autocorrelation, which is Spirent Communications 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 Spirent Communications' stock expected returns. We can calculate the autocorrelation of Spirent Communications returns to help us make a trade decision. For example, suppose you find that Spirent Communications 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 |
Spirent Communications 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 Spirent Communications stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Spirent Communications stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Spirent Communications stock over time.
Current vs Lagged Prices |
| Timeline |
Spirent Communications Lagged Returns
When evaluating Spirent Communications' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Spirent Communications stock have on its future price. Spirent Communications 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, Spirent Communications autocorrelation shows the relationship between Spirent Communications stock current value and its past values and can show if there is a momentum factor associated with investing in Spirent Communications plc.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Spirent Stock
Spirent Communications financial ratios help investors to determine whether Spirent 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 Spirent with respect to the benefits of owning Spirent Communications security.