Sigma Healthcare (Australia) Market Value
| SIG Stock | 2.81 0.03 1.08% |
| Symbol | Sigma |
Sigma Healthcare '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 Sigma Healthcare'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 Sigma Healthcare.
| 04/20/2025 |
| 07/19/2025 |
If you would invest 0.00 in Sigma Healthcare on April 20, 2025 and sell it all today you would earn a total of 0.00 from holding Sigma Healthcare or generate 0.0% return on investment in Sigma Healthcare over 90 days. Sigma Healthcare is related to or competes with Clean Seas, Mount Gibson, Australian Agricultural, Ramsay Health, Ironbark Capital, and Sonic Healthcare. Sigma Healthcare is entity of Australia. It is traded as Stock on AU exchange. More
Sigma Healthcare 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 Sigma Healthcare'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 Sigma Healthcare upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 10.73 | |||
| Value At Risk | (3.21) | |||
| Potential Upside | 2.32 |
Sigma Healthcare Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sigma Healthcare's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sigma Healthcare's standard deviation. In reality, there are many statistical measures that can use Sigma Healthcare historical prices to predict the future Sigma Healthcare's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.33) | |||
| Treynor Ratio | 2.28 |
Sigma Healthcare Backtested Returns
Sigma Healthcare owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0356, which indicates the firm had a -0.0356 % return per unit of risk over the last 3 months. Sigma Healthcare exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sigma Healthcare's Variance of 2.94, risk adjusted performance of (0.04), and Coefficient Of Variation of (2,030) to confirm the risk estimate we provide. The entity has a beta of -0.0414, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sigma Healthcare are expected to decrease at a much lower rate. During the bear market, Sigma Healthcare is likely to outperform the market. At this point, Sigma Healthcare has a negative expected return of -0.0629%. Please make sure to validate Sigma Healthcare's jensen alpha, treynor ratio, value at risk, as well as the relationship between the total risk alpha and maximum drawdown , to decide if Sigma Healthcare performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.38 |
Poor reverse predictability
Sigma Healthcare has poor reverse predictability. Overlapping area represents the amount of predictability between Sigma Healthcare time series from 20th of April 2025 to 4th of June 2025 and 4th of June 2025 to 19th of July 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 Sigma Healthcare price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Sigma Healthcare price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Sigma Healthcare lagged returns against current returns
Autocorrelation, which is Sigma Healthcare 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 Sigma Healthcare's stock expected returns. We can calculate the autocorrelation of Sigma Healthcare returns to help us make a trade decision. For example, suppose you find that Sigma Healthcare 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 |
Sigma Healthcare 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 Sigma Healthcare stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sigma Healthcare stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sigma Healthcare stock over time.
Current vs Lagged Prices |
| Timeline |
Sigma Healthcare Lagged Returns
When evaluating Sigma Healthcare's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sigma Healthcare stock have on its future price. Sigma Healthcare 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, Sigma Healthcare autocorrelation shows the relationship between Sigma Healthcare stock current value and its past values and can show if there is a momentum factor associated with investing in Sigma Healthcare.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Sigma Stock Analysis
When running Sigma Healthcare's price analysis, check to measure Sigma Healthcare'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 Sigma Healthcare is operating at the current time. Most of Sigma Healthcare's value examination focuses on studying past and present price action to predict the probability of Sigma Healthcare's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sigma Healthcare's price. Additionally, you may evaluate how the addition of Sigma Healthcare to your portfolios can decrease your overall portfolio volatility.