Sartorius Stedim (Germany) Market Value
| 56S1 Stock | EUR 184.25 0.95 0.52% |
| Symbol | Sartorius |
Sartorius Stedim '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 Sartorius Stedim'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 Sartorius Stedim.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in Sartorius Stedim on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding Sartorius Stedim Biotech or generate 0.0% return on investment in Sartorius Stedim over 30 days. Sartorius Stedim is related to or competes with ESSILORLUXOTTICA, Intuitive Surgical, Resmed, ResMed, SARTORIUS, and Sartorius Aktiengesellscha. Sartorius Stedim Biotech S.A. produces and sells instruments and consumables for the biopharmaceutical industry worldwid... More
Sartorius Stedim 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 Sartorius Stedim'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 Sartorius Stedim Biotech upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.41 | |||
| Information Ratio | 0.0144 | |||
| Maximum Drawdown | 26.99 | |||
| Value At Risk | (4.37) | |||
| Potential Upside | 4.2 |
Sartorius Stedim Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sartorius Stedim's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sartorius Stedim's standard deviation. In reality, there are many statistical measures that can use Sartorius Stedim historical prices to predict the future Sartorius Stedim's volatility.| Risk Adjusted Performance | 0.0265 | |||
| Jensen Alpha | 0.0616 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0204 | |||
| Treynor Ratio | 0.1614 |
Sartorius Stedim Biotech Backtested Returns
At this point, Sartorius Stedim is very steady. Sartorius Stedim Biotech owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0429, which indicates the firm had a 0.0429% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Sartorius Stedim Biotech, which you can use to evaluate the volatility of the company. Please validate Sartorius Stedim's Coefficient Of Variation of 4208.87, semi deviation of 2.32, and Risk Adjusted Performance of 0.0265 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. Sartorius Stedim has a performance score of 3 on a scale of 0 to 100. The entity has a beta of 0.44, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sartorius Stedim's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sartorius Stedim is expected to be smaller as well. Sartorius Stedim Biotech right now has a risk of 3.4%. Please validate Sartorius Stedim jensen alpha, sortino ratio, and the relationship between the information ratio and total risk alpha , to decide if Sartorius Stedim will be following its existing price patterns.
Auto-correlation | 0.48 |
Average predictability
Sartorius Stedim Biotech has average predictability. Overlapping area represents the amount of predictability between Sartorius Stedim time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd 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 Sartorius Stedim Biotech price movement. The serial correlation of 0.48 indicates that about 48.0% of current Sartorius Stedim price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 19.19 |
Sartorius Stedim Biotech lagged returns against current returns
Autocorrelation, which is Sartorius Stedim 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 Sartorius Stedim's stock expected returns. We can calculate the autocorrelation of Sartorius Stedim returns to help us make a trade decision. For example, suppose you find that Sartorius Stedim 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 |
Sartorius Stedim 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 Sartorius Stedim stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sartorius Stedim stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sartorius Stedim stock over time.
Current vs Lagged Prices |
| Timeline |
Sartorius Stedim Lagged Returns
When evaluating Sartorius Stedim's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sartorius Stedim stock have on its future price. Sartorius Stedim 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, Sartorius Stedim autocorrelation shows the relationship between Sartorius Stedim stock current value and its past values and can show if there is a momentum factor associated with investing in Sartorius Stedim Biotech.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Sartorius Stock
Sartorius Stedim financial ratios help investors to determine whether Sartorius 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 Sartorius with respect to the benefits of owning Sartorius Stedim security.