East Japan (Germany) Market Value
| EJR Stock | EUR 16.65 0.19 1.13% |
| Symbol | East |
East Japan '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 East Japan'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 East Japan.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in East Japan on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding East Japan Railway or generate 0.0% return on investment in East Japan over 30 days. East Japan is related to or competes with Union Pacific, Canadian National, CSX, MTR, CRRC, Central Japan, and East Japan. East Japan Railway Company operates as a passenger railway company in Japan More
East Japan 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 East Japan'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 East Japan Railway upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 8.34 | |||
| Value At Risk | (3.26) | |||
| Potential Upside | 2.93 |
East Japan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for East Japan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as East Japan's standard deviation. In reality, there are many statistical measures that can use East Japan historical prices to predict the future East Japan's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | 1.51 |
East Japan Railway Backtested Returns
East Japan Railway secures Sharpe Ratio (or Efficiency) of -0.0591, which denotes the company had a -0.0591% return per unit of risk over the last 3 months. East Japan Railway exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm East Japan's Variance of 3.69, mean deviation of 1.45, and Standard Deviation of 1.92 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0954, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning East Japan are expected to decrease at a much lower rate. During the bear market, East Japan is likely to outperform the market. At this point, East Japan Railway has a negative expected return of -0.11%. Please make sure to confirm East Japan's treynor ratio, daily balance of power, price action indicator, as well as the relationship between the skewness and day median price , to decide if East Japan Railway performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.68 |
Very good reverse predictability
East Japan Railway has very good reverse predictability. Overlapping area represents the amount of predictability between East Japan time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 2024 to 22nd 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 East Japan Railway price movement. The serial correlation of -0.68 indicates that around 68.0% of current East Japan price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.68 | |
| Spearman Rank Test | -0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
East Japan Railway lagged returns against current returns
Autocorrelation, which is East Japan 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 East Japan's stock expected returns. We can calculate the autocorrelation of East Japan returns to help us make a trade decision. For example, suppose you find that East Japan 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 |
East Japan 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 East Japan stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if East Japan stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in East Japan stock over time.
Current vs Lagged Prices |
| Timeline |
East Japan Lagged Returns
When evaluating East Japan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of East Japan stock have on its future price. East Japan 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, East Japan autocorrelation shows the relationship between East Japan stock current value and its past values and can show if there is a momentum factor associated with investing in East Japan Railway.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in East Stock
East Japan financial ratios help investors to determine whether East 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 East with respect to the benefits of owning East Japan security.