H+M HEN+MAUUNSPADR (Germany) Market Value
HMSA Stock | EUR 2.80 0.10 3.70% |
Symbol | H+M |
H+M HEN+MAUUNSPADR '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 H+M HEN+MAUUNSPADR'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 H+M HEN+MAUUNSPADR.
12/20/2022 |
| 12/09/2024 |
If you would invest 0.00 in H+M HEN+MAUUNSPADR on December 20, 2022 and sell it all today you would earn a total of 0.00 from holding HM HENMAUUNSPADR 15 or generate 0.0% return on investment in H+M HEN+MAUUNSPADR over 720 days. H+M HEN+MAUUNSPADR is related to or competes with Amkor Technology, BURLINGTON STORES, SPARTAN STORES, ORMAT TECHNOLOGIES, and Digilife Technologies. H M Hennes Mauritz AB provides clothing, accessories, footwear, cosmetics, home textiles, and homeware for women, men, t... More
H+M HEN+MAUUNSPADR 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 H+M HEN+MAUUNSPADR'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 HM HENMAUUNSPADR 15 upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 2.59 | |||
Information Ratio | (0.04) | |||
Maximum Drawdown | 11.3 | |||
Value At Risk | (2.99) | |||
Potential Upside | 3.41 |
H+M HEN+MAUUNSPADR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for H+M HEN+MAUUNSPADR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as H+M HEN+MAUUNSPADR's standard deviation. In reality, there are many statistical measures that can use H+M HEN+MAUUNSPADR historical prices to predict the future H+M HEN+MAUUNSPADR's volatility.Risk Adjusted Performance | 0.0258 | |||
Jensen Alpha | 0.0084 | |||
Total Risk Alpha | (0.33) | |||
Sortino Ratio | (0.03) | |||
Treynor Ratio | 0.1602 |
H+M HEN+MAUUNSPADR Backtested Returns
At this point, H+M HEN+MAUUNSPADR is relatively risky. H+M HEN+MAUUNSPADR retains Efficiency (Sharpe Ratio) of 0.0475, which attests that the entity had a 0.0475% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for H+M HEN+MAUUNSPADR, which you can use to evaluate the volatility of the firm. Please check out H+M HEN+MAUUNSPADR's Market Risk Adjusted Performance of 0.1702, standard deviation of 2.15, and Semi Deviation of 2.07 to validate if the risk estimate we provide is consistent with the expected return of 0.1%. H+M HEN+MAUUNSPADR has a performance score of 3 on a scale of 0 to 100. The company owns a Beta (Systematic Risk) of 0.29, which attests to not very significant fluctuations relative to the market. As returns on the market increase, H+M HEN+MAUUNSPADR's returns are expected to increase less than the market. However, during the bear market, the loss of holding H+M HEN+MAUUNSPADR is expected to be smaller as well. H+M HEN+MAUUNSPADR today owns a risk of 2.14%. Please check out HM HENMAUUNSPADR 15 downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to decide if HM HENMAUUNSPADR 15 will be following its current price history.
Auto-correlation | 0.19 |
Very weak predictability
HM HENMAUUNSPADR 15 has very weak predictability. Overlapping area represents the amount of predictability between H+M HEN+MAUUNSPADR time series from 20th of December 2022 to 15th of December 2023 and 15th of December 2023 to 9th 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 H+M HEN+MAUUNSPADR price movement. The serial correlation of 0.19 indicates that over 19.0% of current H+M HEN+MAUUNSPADR price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.19 | |
Spearman Rank Test | 0.26 | |
Residual Average | 0.0 | |
Price Variance | 0.06 |
H+M HEN+MAUUNSPADR lagged returns against current returns
Autocorrelation, which is H+M HEN+MAUUNSPADR 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 H+M HEN+MAUUNSPADR's stock expected returns. We can calculate the autocorrelation of H+M HEN+MAUUNSPADR returns to help us make a trade decision. For example, suppose you find that H+M HEN+MAUUNSPADR 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 |
H+M HEN+MAUUNSPADR 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 H+M HEN+MAUUNSPADR stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if H+M HEN+MAUUNSPADR stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in H+M HEN+MAUUNSPADR stock over time.
Current vs Lagged Prices |
Timeline |
H+M HEN+MAUUNSPADR Lagged Returns
When evaluating H+M HEN+MAUUNSPADR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of H+M HEN+MAUUNSPADR stock have on its future price. H+M HEN+MAUUNSPADR 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, H+M HEN+MAUUNSPADR autocorrelation shows the relationship between H+M HEN+MAUUNSPADR stock current value and its past values and can show if there is a momentum factor associated with investing in HM HENMAUUNSPADR 15.
Regressed Prices |
Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in H+M Stock
H+M HEN+MAUUNSPADR financial ratios help investors to determine whether H+M 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 H+M with respect to the benefits of owning H+M HEN+MAUUNSPADR security.