Dermapharm Holding (Germany) Market Value
| DMP Stock | 37.80 0.10 0.26% |
| Symbol | Dermapharm |
Dermapharm Holding '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 Dermapharm Holding'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 Dermapharm Holding.
| 06/29/2024 |
| 12/26/2024 |
If you would invest 0.00 in Dermapharm Holding on June 29, 2024 and sell it all today you would earn a total of 0.00 from holding Dermapharm Holding SE or generate 0.0% return on investment in Dermapharm Holding over 180 days. Dermapharm Holding is related to or competes with Merck KGaA, Haleon PLC, LIVZON PHARMAC, SIMCERE PHARMAC, CanSino Biologics, Evotec SE, and Dermapharm Holding. More
Dermapharm Holding 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 Dermapharm Holding'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 Dermapharm Holding SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.53 | |||
| Information Ratio | 0.0753 | |||
| Maximum Drawdown | 10.99 | |||
| Value At Risk | (2.35) | |||
| Potential Upside | 3.97 |
Dermapharm Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dermapharm Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dermapharm Holding's standard deviation. In reality, there are many statistical measures that can use Dermapharm Holding historical prices to predict the future Dermapharm Holding's volatility.| Risk Adjusted Performance | 0.0838 | |||
| Jensen Alpha | 0.1895 | |||
| Total Risk Alpha | 0.1 | |||
| Sortino Ratio | 0.1008 | |||
| Treynor Ratio | (10.61) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Dermapharm Holding'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.
Dermapharm Holding Backtested Returns
Currently, Dermapharm Holding SE is very steady. Dermapharm Holding secures Sharpe Ratio (or Efficiency) of 0.0704, which denotes the company had a 0.0704% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Dermapharm Holding SE, which you can use to evaluate the volatility of the firm. Please confirm Dermapharm Holding's Mean Deviation of 1.37, coefficient of variation of 1029.16, and Downside Deviation of 1.53 to check if the risk estimate we provide is consistent with the expected return of 0.14%. Dermapharm Holding has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0178, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Dermapharm Holding are expected to decrease at a much lower rate. During the bear market, Dermapharm Holding is likely to outperform the market. Dermapharm Holding right now shows a risk of 2.01%. Please confirm Dermapharm Holding downside variance, and the relationship between the treynor ratio and kurtosis , to decide if Dermapharm Holding will be following its price patterns.
Auto-correlation | -0.58 |
Good reverse predictability
Dermapharm Holding SE has good reverse predictability. Overlapping area represents the amount of predictability between Dermapharm Holding time series from 29th of June 2024 to 27th of September 2024 and 27th of September 2024 to 26th 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 Dermapharm Holding price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Dermapharm Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 7.0 |
Dermapharm Holding lagged returns against current returns
Autocorrelation, which is Dermapharm Holding 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 Dermapharm Holding's stock expected returns. We can calculate the autocorrelation of Dermapharm Holding returns to help us make a trade decision. For example, suppose you find that Dermapharm Holding 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 |
Dermapharm Holding 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 Dermapharm Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dermapharm Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dermapharm Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Dermapharm Holding Lagged Returns
When evaluating Dermapharm Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dermapharm Holding stock have on its future price. Dermapharm Holding 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, Dermapharm Holding autocorrelation shows the relationship between Dermapharm Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Dermapharm Holding SE.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Dermapharm Stock Analysis
When running Dermapharm Holding's price analysis, check to measure Dermapharm Holding'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 Dermapharm Holding is operating at the current time. Most of Dermapharm Holding's value examination focuses on studying past and present price action to predict the probability of Dermapharm Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Dermapharm Holding's price. Additionally, you may evaluate how the addition of Dermapharm Holding to your portfolios can decrease your overall portfolio volatility.