SBI Holdings (Germany) Market Value
| ZOF Stock | 24.40 0.20 0.81% |
| Symbol | SBI |
SBI Holdings '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 SBI Holdings' 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 SBI Holdings.
| 12/10/2024 |
| 01/09/2025 |
If you would invest 0.00 in SBI Holdings on December 10, 2024 and sell it all today you would earn a total of 0.00 from holding SBI Holdings or generate 0.0% return on investment in SBI Holdings over 30 days. SBI Holdings is related to or competes with ANGANG STEEL, CALTAGIRONE EDITORE, Mitsubishi Materials, Summit Materials, and STEEL DYNAMICS. More
SBI Holdings 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 SBI Holdings' 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 SBI Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.87 | |||
| Information Ratio | 0.1632 | |||
| Maximum Drawdown | 9.52 | |||
| Value At Risk | (2.86) | |||
| Potential Upside | 4.2 |
SBI Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SBI Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SBI Holdings' standard deviation. In reality, there are many statistical measures that can use SBI Holdings historical prices to predict the future SBI Holdings' volatility.| Risk Adjusted Performance | 0.1468 | |||
| Jensen Alpha | 0.3566 | |||
| Total Risk Alpha | 0.3115 | |||
| Sortino Ratio | 0.1813 | |||
| Treynor Ratio | 9.6 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SBI Holdings' 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.
SBI Holdings Backtested Returns
SBI Holdings appears to be not too volatile, given 3 months investment horizon. SBI Holdings owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the company had a 0.18% return per unit of volatility over the last 3 months. We have found twenty-seven technical indicators for SBI Holdings, which you can use to evaluate the volatility of the entity. Please review SBI Holdings' Downside Deviation of 1.87, market risk adjusted performance of 9.61, and Risk Adjusted Performance of 0.1468 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SBI Holdings holds a performance score of 13. The firm has a beta of 0.0372, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SBI Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding SBI Holdings is expected to be smaller as well. Please check SBI Holdings' downside variance, and the relationship between the treynor ratio and kurtosis , to make a quick decision on whether SBI Holdings' existing price patterns will revert.
Auto-correlation | 0.17 |
Very weak predictability
SBI Holdings has very weak predictability. Overlapping area represents the amount of predictability between SBI Holdings time series from 10th of December 2024 to 25th of December 2024 and 25th of December 2024 to 9th of January 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 SBI Holdings price movement. The serial correlation of 0.17 indicates that over 17.0% of current SBI Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
SBI Holdings lagged returns against current returns
Autocorrelation, which is SBI Holdings 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 SBI Holdings' stock expected returns. We can calculate the autocorrelation of SBI Holdings returns to help us make a trade decision. For example, suppose you find that SBI Holdings 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 |
SBI Holdings 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 SBI Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SBI Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SBI Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
SBI Holdings Lagged Returns
When evaluating SBI Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SBI Holdings stock have on its future price. SBI Holdings 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, SBI Holdings autocorrelation shows the relationship between SBI Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in SBI Holdings.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for SBI Stock Analysis
When running SBI Holdings' price analysis, check to measure SBI Holdings' 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 SBI Holdings is operating at the current time. Most of SBI Holdings' value examination focuses on studying past and present price action to predict the probability of SBI Holdings' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SBI Holdings' price. Additionally, you may evaluate how the addition of SBI Holdings to your portfolios can decrease your overall portfolio volatility.