Amgen (Germany) Market Value
| AMG Stock | EUR 250.80 1.75 0.69% |
| Symbol | Amgen |
Amgen '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 Amgen'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 Amgen.
| 12/07/2024 |
| 01/06/2025 |
If you would invest 0.00 in Amgen on December 7, 2024 and sell it all today you would earn a total of 0.00 from holding Amgen Inc or generate 0.0% return on investment in Amgen over 30 days. Amgen is related to or competes with Meiko Electronics, Pure Storage, LPKF Laser, UET United, TERADATA, and Datadog. More
Amgen 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 Amgen'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 Amgen Inc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 14.61 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 2.74 |
Amgen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amgen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amgen's standard deviation. In reality, there are many statistical measures that can use Amgen historical prices to predict the future Amgen's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (0.94) |
Amgen Inc Backtested Returns
Amgen Inc secures Sharpe Ratio (or Efficiency) of -0.093, which signifies that the company had a -0.093% return per unit of standard deviation over the last 3 months. Amgen Inc exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Amgen's mean deviation of 1.23, and Risk Adjusted Performance of (0.06) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Amgen's returns are expected to increase less than the market. However, during the bear market, the loss of holding Amgen is expected to be smaller as well. At this point, Amgen Inc has a negative expected return of -0.2%. Please make sure to confirm Amgen's standard deviation, maximum drawdown, kurtosis, as well as the relationship between the total risk alpha and potential upside , to decide if Amgen Inc performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.27 |
Poor predictability
Amgen Inc has poor predictability. Overlapping area represents the amount of predictability between Amgen time series from 7th of December 2024 to 22nd of December 2024 and 22nd of December 2024 to 6th of January 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 Amgen Inc price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Amgen price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 1.12 |
Amgen Inc lagged returns against current returns
Autocorrelation, which is Amgen 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 Amgen's stock expected returns. We can calculate the autocorrelation of Amgen returns to help us make a trade decision. For example, suppose you find that Amgen 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 |
Amgen 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 Amgen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amgen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amgen stock over time.
Current vs Lagged Prices |
| Timeline |
Amgen Lagged Returns
When evaluating Amgen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amgen stock have on its future price. Amgen 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, Amgen autocorrelation shows the relationship between Amgen stock current value and its past values and can show if there is a momentum factor associated with investing in Amgen Inc.
Regressed Prices |
| Timeline |
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When determining whether Amgen Inc offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Amgen's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Amgen Inc Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Amgen Inc Stock:Check out Amgen Correlation, Amgen Volatility and Amgen Alpha and Beta module to complement your research on Amgen. You can also try the Global Correlations module to find global opportunities by holding instruments from different markets.
Amgen 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.