Beiersdorf Aktiengesellscha (Germany) Market Value
| BEI Stock | 123.75 1.10 0.90% |
| Symbol | Beiersdorf |
Beiersdorf Aktiengesellscha '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 Beiersdorf Aktiengesellscha'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 Beiersdorf Aktiengesellscha.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Beiersdorf Aktiengesellscha on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Beiersdorf Aktiengesellschaft or generate 0.0% return on investment in Beiersdorf Aktiengesellscha over 180 days. Beiersdorf Aktiengesellscha is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. More
Beiersdorf Aktiengesellscha 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 Beiersdorf Aktiengesellscha'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 Beiersdorf Aktiengesellschaft upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 6.53 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 2.06 |
Beiersdorf Aktiengesellscha Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beiersdorf Aktiengesellscha's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beiersdorf Aktiengesellscha's standard deviation. In reality, there are many statistical measures that can use Beiersdorf Aktiengesellscha historical prices to predict the future Beiersdorf Aktiengesellscha's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.29) | |||
| Treynor Ratio | 1.23 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Beiersdorf Aktiengesellscha'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.
Beiersdorf Aktiengesellscha Backtested Returns
Beiersdorf Aktiengesellscha secures Sharpe Ratio (or Efficiency) of -0.0651, which signifies that the company had a -0.0651% return per unit of risk over the last 3 months. Beiersdorf Aktiengesellschaft exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Beiersdorf Aktiengesellscha's Risk Adjusted Performance of (0.06), standard deviation of 1.15, and Mean Deviation of 0.8568 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0818, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Beiersdorf Aktiengesellscha are expected to decrease at a much lower rate. During the bear market, Beiersdorf Aktiengesellscha is likely to outperform the market. At this point, Beiersdorf Aktiengesellscha has a negative expected return of -0.0756%. Please make sure to confirm Beiersdorf Aktiengesellscha's skewness, and the relationship between the total risk alpha and rate of daily change , to decide if Beiersdorf Aktiengesellscha performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.55 |
Modest predictability
Beiersdorf Aktiengesellschaft has modest predictability. Overlapping area represents the amount of predictability between Beiersdorf Aktiengesellscha time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Beiersdorf Aktiengesellscha price movement. The serial correlation of 0.55 indicates that about 55.0% of current Beiersdorf Aktiengesellscha price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 15.62 |
Beiersdorf Aktiengesellscha lagged returns against current returns
Autocorrelation, which is Beiersdorf Aktiengesellscha 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 Beiersdorf Aktiengesellscha's stock expected returns. We can calculate the autocorrelation of Beiersdorf Aktiengesellscha returns to help us make a trade decision. For example, suppose you find that Beiersdorf Aktiengesellscha 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 |
Beiersdorf Aktiengesellscha 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 Beiersdorf Aktiengesellscha stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beiersdorf Aktiengesellscha stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beiersdorf Aktiengesellscha stock over time.
Current vs Lagged Prices |
| Timeline |
Beiersdorf Aktiengesellscha Lagged Returns
When evaluating Beiersdorf Aktiengesellscha's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beiersdorf Aktiengesellscha stock have on its future price. Beiersdorf Aktiengesellscha 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, Beiersdorf Aktiengesellscha autocorrelation shows the relationship between Beiersdorf Aktiengesellscha stock current value and its past values and can show if there is a momentum factor associated with investing in Beiersdorf Aktiengesellschaft.
Regressed Prices |
| Timeline |
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When running Beiersdorf Aktiengesellscha's price analysis, check to measure Beiersdorf Aktiengesellscha'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 Beiersdorf Aktiengesellscha is operating at the current time. Most of Beiersdorf Aktiengesellscha's value examination focuses on studying past and present price action to predict the probability of Beiersdorf Aktiengesellscha's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Beiersdorf Aktiengesellscha's price. Additionally, you may evaluate how the addition of Beiersdorf Aktiengesellscha to your portfolios can decrease your overall portfolio volatility.