Signify NV (Netherlands) Market Value
| LIGHT Stock | EUR 28.48 0.10 0.35% |
| Symbol | Signify |
Signify NV '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 Signify NV'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 Signify NV.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Signify NV on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Signify NV or generate 0.0% return on investment in Signify NV over 180 days. Signify NV is related to or competes with TKH Group, Koninklijke Vopak, and SBM Offshore. Signify N.V., together with its subsidiaries, develops, manufactures, and sells lighting products worldwide More
Signify NV 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 Signify NV'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 Signify NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 7.05 | |||
| Value At Risk | (2.17) | |||
| Potential Upside | 2.27 |
Signify NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Signify NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Signify NV's standard deviation. In reality, there are many statistical measures that can use Signify NV historical prices to predict the future Signify NV's volatility.| Risk Adjusted Performance | (0.001) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.17) | |||
| Treynor Ratio | (0.1) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Signify NV'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.
Signify NV Backtested Returns
Signify NV owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0389, which indicates the firm had a -0.0389% return per unit of risk over the last 3 months. Signify NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Signify NV's Coefficient Of Variation of (8,892), risk adjusted performance of (0.001), and Variance of 2.36 to confirm the risk estimate we provide. The entity has a beta of 0.28, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Signify NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Signify NV is expected to be smaller as well. Signify NV has an expected return of -0.0597%. Please make sure to validate Signify NV maximum drawdown, as well as the relationship between the accumulation distribution and market facilitation index , to decide if Signify NV performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.04 |
Virtually no predictability
Signify NV has virtually no predictability. Overlapping area represents the amount of predictability between Signify NV time series from 22nd of October 2023 to 20th of January 2024 and 20th of January 2024 to 19th of April 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 Signify NV price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current Signify NV price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 2.62 |
Signify NV lagged returns against current returns
Autocorrelation, which is Signify NV 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 Signify NV's stock expected returns. We can calculate the autocorrelation of Signify NV returns to help us make a trade decision. For example, suppose you find that Signify NV 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 |
Signify NV 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 Signify NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Signify NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Signify NV stock over time.
Current vs Lagged Prices |
| Timeline |
Signify NV Lagged Returns
When evaluating Signify NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Signify NV stock have on its future price. Signify NV 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, Signify NV autocorrelation shows the relationship between Signify NV stock current value and its past values and can show if there is a momentum factor associated with investing in Signify NV.
Regressed Prices |
| Timeline |
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Complementary Tools for Signify Stock analysis
When running Signify NV's price analysis, check to measure Signify NV'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 Signify NV is operating at the current time. Most of Signify NV's value examination focuses on studying past and present price action to predict the probability of Signify NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Signify NV's price. Additionally, you may evaluate how the addition of Signify NV to your portfolios can decrease your overall portfolio volatility.
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Signify NV technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.