Siemens Energy (Germany) Market Value
| ENR Stock | 50.70 0.70 1.40% |
| Symbol | Siemens |
Siemens Energy '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 Siemens Energy'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 Siemens Energy.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in Siemens Energy on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding Siemens Energy AG or generate 0.0% return on investment in Siemens Energy over 30 days. Siemens Energy is related to or competes with SIEMENS AG, Siemens Aktiengesellscha, Siemens Aktiengesellscha, Schneider Electric, Atlas Copco, RATIONAL Aktiengesellscha, and Otis Worldwide. More
Siemens Energy 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 Siemens Energy'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 Siemens Energy AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.16 | |||
| Information Ratio | 0.2265 | |||
| Maximum Drawdown | 23.3 | |||
| Value At Risk | (3.92) | |||
| Potential Upside | 3.65 |
Siemens Energy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siemens Energy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siemens Energy's standard deviation. In reality, there are many statistical measures that can use Siemens Energy historical prices to predict the future Siemens Energy's volatility.| Risk Adjusted Performance | 0.1952 | |||
| Jensen Alpha | 0.7294 | |||
| Total Risk Alpha | 0.6331 | |||
| Sortino Ratio | 0.3233 | |||
| Treynor Ratio | (1.58) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siemens Energy'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.
Siemens Energy AG Backtested Returns
Siemens Energy appears to be very steady, given 3 months investment horizon. Siemens Energy AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.22, which indicates the firm had a 0.22% return per unit of risk over the last 3 months. By inspecting Siemens Energy's technical indicators, you can evaluate if the expected return of 0.69% is justified by implied risk. Please review Siemens Energy's Coefficient Of Variation of 421.95, semi deviation of 1.46, and Risk Adjusted Performance of 0.1952 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Siemens Energy holds a performance score of 17. The entity has a beta of -0.45, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Siemens Energy are expected to decrease at a much lower rate. During the bear market, Siemens Energy is likely to outperform the market. Please check Siemens Energy's downside variance, day median price, and the relationship between the treynor ratio and kurtosis , to make a quick decision on whether Siemens Energy's existing price patterns will revert.
Auto-correlation | 0.16 |
Very weak predictability
Siemens Energy AG has very weak predictability. Overlapping area represents the amount of predictability between Siemens Energy 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 Siemens Energy AG price movement. The serial correlation of 0.16 indicates that over 16.0% of current Siemens Energy price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.82 |
Siemens Energy AG lagged returns against current returns
Autocorrelation, which is Siemens Energy 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 Siemens Energy's stock expected returns. We can calculate the autocorrelation of Siemens Energy returns to help us make a trade decision. For example, suppose you find that Siemens Energy 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 |
Siemens Energy 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 Siemens Energy stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siemens Energy stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siemens Energy stock over time.
Current vs Lagged Prices |
| Timeline |
Siemens Energy Lagged Returns
When evaluating Siemens Energy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siemens Energy stock have on its future price. Siemens Energy 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, Siemens Energy autocorrelation shows the relationship between Siemens Energy stock current value and its past values and can show if there is a momentum factor associated with investing in Siemens Energy AG.
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 Siemens Stock Analysis
When running Siemens Energy's price analysis, check to measure Siemens Energy'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 Siemens Energy is operating at the current time. Most of Siemens Energy's value examination focuses on studying past and present price action to predict the probability of Siemens Energy's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siemens Energy's price. Additionally, you may evaluate how the addition of Siemens Energy to your portfolios can decrease your overall portfolio volatility.