Hitachi (Germany) Market Value
| HIA1 Stock | EUR 24.76 0.55 2.17% |
| Symbol | Hitachi |
Hitachi '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'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.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Hitachi on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Hitachi or generate 0.0% return on investment in Hitachi over 30 days. Hitachi is related to or competes with ITOCHU, Marubeni, Sumitomo, Superior Plus, SIVERS SEMICONDUCTORS, NorAm Drilling, and Norsk Hydro. Hitachi, Ltd. provides information and telecommunication systems, social infrastructure and industrial systems, electron... More
Hitachi 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'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 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.61 | |||
| Information Ratio | 0.0665 | |||
| Maximum Drawdown | 11.8 | |||
| Value At Risk | (4.44) | |||
| Potential Upside | 4.04 |
Hitachi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hitachi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hitachi's standard deviation. In reality, there are many statistical measures that can use Hitachi historical prices to predict the future Hitachi's volatility.| Risk Adjusted Performance | 0.0908 | |||
| Jensen Alpha | 0.261 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | 0.0642 | |||
| Treynor Ratio | 1.53 |
Hitachi Backtested Returns
Hitachi appears to be not too volatile, given 3 months investment horizon. Hitachi holds Efficiency (Sharpe) Ratio of 0.0892, which attests that the entity had a 0.0892% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Hitachi, which you can use to evaluate the volatility of the firm. Please utilize Hitachi's Market Risk Adjusted Performance of 1.54, risk adjusted performance of 0.0908, and Downside Deviation of 2.61 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Hitachi holds a performance score of 7. The company retains a Market Volatility (i.e., Beta) of 0.18, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Hitachi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hitachi is expected to be smaller as well. Please check Hitachi's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Hitachi's current trending patterns will revert.
Auto-correlation | -0.7 |
Very good reverse predictability
Hitachi has very good reverse predictability. Overlapping area represents the amount of predictability between Hitachi time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 price movement. The serial correlation of -0.7 indicates that around 70.0% of current Hitachi price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 1.25 |
Hitachi lagged returns against current returns
Autocorrelation, which is Hitachi 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's stock expected returns. We can calculate the autocorrelation of Hitachi returns to help us make a trade decision. For example, suppose you find that Hitachi 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hitachi stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hitachi stock over time.
Current vs Lagged Prices |
| Timeline |
Hitachi Lagged Returns
When evaluating Hitachi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hitachi stock have on its future price. Hitachi 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 autocorrelation shows the relationship between Hitachi stock current value and its past values and can show if there is a momentum factor associated with investing in Hitachi.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Hitachi Stock
Hitachi 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 security.