Sogn Sparebank (Norway) Market Value
| SOGN Stock | NOK 183.00 3.10 1.67% |
| Symbol | Sogn |
Sogn Sparebank '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 Sogn Sparebank'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 Sogn Sparebank.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Sogn Sparebank on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Sogn Sparebank or generate 0.0% return on investment in Sogn Sparebank over 30 days. Sogn Sparebank is related to or competes with Holand Og, Totens Sparebank, and Sparebank. Indre Sogn Sparebank provides banking products and services in Norway More
Sogn Sparebank 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 Sogn Sparebank'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 Sogn Sparebank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.18 | |||
| Information Ratio | 0.0482 | |||
| Maximum Drawdown | 12.62 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 3.49 |
Sogn Sparebank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sogn Sparebank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sogn Sparebank's standard deviation. In reality, there are many statistical measures that can use Sogn Sparebank historical prices to predict the future Sogn Sparebank's volatility.| Risk Adjusted Performance | 0.0619 | |||
| Jensen Alpha | 0.1639 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0452 | |||
| 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 Sogn Sparebank'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.
Sogn Sparebank Backtested Returns
Sogn Sparebank appears to be very steady, given 3 months investment horizon. Sogn Sparebank owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the firm had a 0.11% return per unit of risk over the last 3 months. We have found thirty technical indicators for Sogn Sparebank, which you can use to evaluate the volatility of the company. Please review Sogn Sparebank's Coefficient Of Variation of 1148.63, risk adjusted performance of 0.0619, and Semi Deviation of 1.56 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sogn Sparebank holds a performance score of 8. The entity has a beta of 0.0605, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sogn Sparebank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sogn Sparebank is expected to be smaller as well. Please check Sogn Sparebank's coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Sogn Sparebank's existing price patterns will revert.
Auto-correlation | 0.09 |
Virtually no predictability
Sogn Sparebank has virtually no predictability. Overlapping area represents the amount of predictability between Sogn Sparebank time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Sogn Sparebank price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Sogn Sparebank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | -0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 4.42 |
Sogn Sparebank lagged returns against current returns
Autocorrelation, which is Sogn Sparebank 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 Sogn Sparebank's stock expected returns. We can calculate the autocorrelation of Sogn Sparebank returns to help us make a trade decision. For example, suppose you find that Sogn Sparebank 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 |
Sogn Sparebank 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 Sogn Sparebank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sogn Sparebank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sogn Sparebank stock over time.
Current vs Lagged Prices |
| Timeline |
Sogn Sparebank Lagged Returns
When evaluating Sogn Sparebank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sogn Sparebank stock have on its future price. Sogn Sparebank 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, Sogn Sparebank autocorrelation shows the relationship between Sogn Sparebank stock current value and its past values and can show if there is a momentum factor associated with investing in Sogn Sparebank.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Sogn Sparebank in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Sogn Sparebank's short interest history, or implied volatility extrapolated from Sogn Sparebank options trading.
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Check out Sogn Sparebank Correlation, Sogn Sparebank Volatility and Sogn Sparebank Alpha and Beta module to complement your research on Sogn Sparebank. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Complementary Tools for Sogn Stock analysis
When running Sogn Sparebank's price analysis, check to measure Sogn Sparebank'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 Sogn Sparebank is operating at the current time. Most of Sogn Sparebank's value examination focuses on studying past and present price action to predict the probability of Sogn Sparebank's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sogn Sparebank's price. Additionally, you may evaluate how the addition of Sogn Sparebank to your portfolios can decrease your overall portfolio volatility.
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Sogn Sparebank 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.