Advanced Drainage (Germany) Market Value
| 6DA Stock | EUR 108.65 2.25 2.03% |
| Symbol | Advanced |
Advanced Drainage '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 Advanced Drainage'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 Advanced Drainage.
| 02/05/2024 |
| 12/31/2024 |
If you would invest 0.00 in Advanced Drainage on February 5, 2024 and sell it all today you would earn a total of 0.00 from holding Advanced Drainage Systems or generate 0.0% return on investment in Advanced Drainage over 330 days. Advanced Drainage is related to or competes with Sumitomo Rubber, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, and NorAm Drilling. Advanced Drainage Systems, Inc. designs, manufactures, and markets thermoplastic corrugated pipes and related water mana... More
Advanced Drainage 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 Advanced Drainage'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 Advanced Drainage Systems upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 20.79 | |||
| Value At Risk | (3.15) | |||
| Potential Upside | 2.49 |
Advanced Drainage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Advanced Drainage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Advanced Drainage's standard deviation. In reality, there are many statistical measures that can use Advanced Drainage historical prices to predict the future Advanced Drainage's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.30) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (2.49) |
Advanced Drainage Systems Backtested Returns
Advanced Drainage Systems secures Sharpe Ratio (or Efficiency) of -0.16, which signifies that the company had a -0.16% return per unit of risk over the last 3 months. Advanced Drainage Systems exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Advanced Drainage's Mean Deviation of 1.54, standard deviation of 2.43, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Advanced Drainage's returns are expected to increase less than the market. However, during the bear market, the loss of holding Advanced Drainage is expected to be smaller as well. At this point, Advanced Drainage Systems has a negative expected return of -0.39%. Please make sure to confirm Advanced Drainage's treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Advanced Drainage Systems performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Advanced Drainage Systems has insignificant reverse predictability. Overlapping area represents the amount of predictability between Advanced Drainage time series from 5th of February 2024 to 19th of July 2024 and 19th of July 2024 to 31st 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 Advanced Drainage Systems price movement. The serial correlation of -0.2 indicates that over 20.0% of current Advanced Drainage price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 130.07 |
Advanced Drainage Systems lagged returns against current returns
Autocorrelation, which is Advanced Drainage 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 Advanced Drainage's stock expected returns. We can calculate the autocorrelation of Advanced Drainage returns to help us make a trade decision. For example, suppose you find that Advanced Drainage 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 |
Advanced Drainage 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 Advanced Drainage stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Advanced Drainage stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Advanced Drainage stock over time.
Current vs Lagged Prices |
| Timeline |
Advanced Drainage Lagged Returns
When evaluating Advanced Drainage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Advanced Drainage stock have on its future price. Advanced Drainage 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, Advanced Drainage autocorrelation shows the relationship between Advanced Drainage stock current value and its past values and can show if there is a momentum factor associated with investing in Advanced Drainage Systems.
Regressed Prices |
| Timeline |
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Additional Information and Resources on Investing in Advanced Stock
When determining whether Advanced Drainage Systems is a strong investment it is important to analyze Advanced Drainage's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Advanced Drainage's future performance. For an informed investment choice regarding Advanced Stock, refer to the following important reports:Check out Advanced Drainage Correlation, Advanced Drainage Volatility and Advanced Drainage Alpha and Beta module to complement your research on Advanced Drainage. You can also try the Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Advanced Drainage 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.