Hitachi Construction (Germany) Market Value
| HCM Stock | EUR 21.00 0.20 0.96% |
| Symbol | Hitachi |
Hitachi Construction '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 Hitachi Construction'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 Hitachi Construction.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Hitachi Construction on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Hitachi Construction Machinery or generate 0.0% return on investment in Hitachi Construction over 360 days. Hitachi Construction is related to or competes with Komatsu, CNH Industrial, KUBOTA CORP, Terex, and Sany Heavy. Hitachi Construction Machinery Co., Ltd., together with its subsidiaries, manufactures, sells, services, and rents const... More
Hitachi Construction 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 Hitachi Construction'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 Hitachi Construction Machinery upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 8.63 | |||
| Value At Risk | (3.60) | |||
| Potential Upside | 2.94 |
Hitachi Construction Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hitachi Construction's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hitachi Construction's standard deviation. In reality, there are many statistical measures that can use Hitachi Construction historical prices to predict the future Hitachi Construction's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | (0.07) |
Hitachi Construction Backtested Returns
At this point, Hitachi Construction is very steady. Hitachi Construction holds Efficiency (Sharpe) Ratio of 0.0022, which attests that the entity had a 0.0022% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Hitachi Construction, which you can use to evaluate the volatility of the firm. Please check out Hitachi Construction's Standard Deviation of 1.95, risk adjusted performance of (0.01), and Market Risk Adjusted Performance of (0.06) to validate if the risk estimate we provide is consistent with the expected return of 0.0043%. The company retains a Market Volatility (i.e., Beta) of 0.84, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hitachi Construction's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hitachi Construction is expected to be smaller as well. Hitachi Construction right now retains a risk of 1.97%. Please check out Hitachi Construction skewness, daily balance of power, and the relationship between the potential upside and kurtosis , to decide if Hitachi Construction will be following its current trending patterns.
Auto-correlation | -0.47 |
Modest reverse predictability
Hitachi Construction Machinery has modest reverse predictability. Overlapping area represents the amount of predictability between Hitachi Construction time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 Hitachi Construction price movement. The serial correlation of -0.47 indicates that about 47.0% of current Hitachi Construction price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 3.78 |
Hitachi Construction lagged returns against current returns
Autocorrelation, which is Hitachi Construction 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 Hitachi Construction's stock expected returns. We can calculate the autocorrelation of Hitachi Construction returns to help us make a trade decision. For example, suppose you find that Hitachi Construction 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 |
Hitachi Construction 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 Hitachi Construction stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hitachi Construction stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hitachi Construction stock over time.
Current vs Lagged Prices |
| Timeline |
Hitachi Construction Lagged Returns
When evaluating Hitachi Construction's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hitachi Construction stock have on its future price. Hitachi Construction 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, Hitachi Construction autocorrelation shows the relationship between Hitachi Construction stock current value and its past values and can show if there is a momentum factor associated with investing in Hitachi Construction Machinery.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Hitachi Stock
Hitachi Construction financial ratios help investors to determine whether Hitachi 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 Hitachi with respect to the benefits of owning Hitachi Construction security.