Strabag SE (Austria) Market Value
STR Stock | EUR 39.20 0.60 1.55% |
Symbol | Strabag |
Strabag SE '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 Strabag SE'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 Strabag SE.
12/15/2022 |
| 12/04/2024 |
If you would invest 0.00 in Strabag SE on December 15, 2022 and sell it all today you would earn a total of 0.00 from holding Strabag SE or generate 0.0% return on investment in Strabag SE over 720 days. Strabag SE is related to or competes with Voestalpine, Wienerberger, OMV Aktiengesellscha, Raiffeisen Bank, and Andritz AG. More
Strabag SE 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 Strabag SE'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 Strabag SE upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.3 | |||
Information Ratio | (0.05) | |||
Maximum Drawdown | 9.5 | |||
Value At Risk | (2.22) | |||
Potential Upside | 2.26 |
Strabag SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Strabag SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Strabag SE's standard deviation. In reality, there are many statistical measures that can use Strabag SE historical prices to predict the future Strabag SE's volatility.Risk Adjusted Performance | 0.0264 | |||
Jensen Alpha | (0.01) | |||
Total Risk Alpha | (0.17) | |||
Sortino Ratio | (0.05) | |||
Treynor Ratio | 0.0751 |
Strabag SE Backtested Returns
Strabag SE is very steady at the moment. Strabag SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0661, which indicates the firm had a 0.0661% return per unit of risk over the last 3 months. We have found thirty technical indicators for Strabag SE, which you can use to evaluate the volatility of the company. Please validate Strabag SE's Coefficient Of Variation of 3557.97, risk adjusted performance of 0.0264, and Semi Deviation of 1.22 to confirm if the risk estimate we provide is consistent with the expected return of 0.0991%. Strabag SE has a performance score of 5 on a scale of 0 to 100. The entity has a beta of 0.43, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Strabag SE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Strabag SE is expected to be smaller as well. Strabag SE right now has a risk of 1.5%. Please validate Strabag SE potential upside, as well as the relationship between the kurtosis and day typical price , to decide if Strabag SE will be following its existing price patterns.
Auto-correlation | 0.14 |
Insignificant predictability
Strabag SE has insignificant predictability. Overlapping area represents the amount of predictability between Strabag SE time series from 15th of December 2022 to 10th of December 2023 and 10th of December 2023 to 4th 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 Strabag SE price movement. The serial correlation of 0.14 indicates that less than 14.0% of current Strabag SE price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.14 | |
Spearman Rank Test | 0.28 | |
Residual Average | 0.0 | |
Price Variance | 4.5 |
Strabag SE lagged returns against current returns
Autocorrelation, which is Strabag SE 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 Strabag SE's stock expected returns. We can calculate the autocorrelation of Strabag SE returns to help us make a trade decision. For example, suppose you find that Strabag SE 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 |
Strabag SE 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 Strabag SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Strabag SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Strabag SE stock over time.
Current vs Lagged Prices |
Timeline |
Strabag SE Lagged Returns
When evaluating Strabag SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Strabag SE stock have on its future price. Strabag SE 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, Strabag SE autocorrelation shows the relationship between Strabag SE stock current value and its past values and can show if there is a momentum factor associated with investing in Strabag SE.
Regressed Prices |
Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Strabag Stock
Strabag SE financial ratios help investors to determine whether Strabag 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 Strabag with respect to the benefits of owning Strabag SE security.