Holcim AG (Switzerland) Market Value
| HOLN Stock | 100.50 0.80 0.80% |
| Symbol | Holcim |
Holcim AG '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 Holcim AG'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 Holcim AG.
| 12/18/2024 |
| 03/18/2025 |
If you would invest 0.00 in Holcim AG on December 18, 2024 and sell it all today you would earn a total of 0.00 from holding Holcim AG or generate 0.0% return on investment in Holcim AG over 90 days. Holcim AG is related to or competes with Swiss Re, Zurich Insurance, Swiss Life, Novartis, and Sika AG. More
Holcim AG 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 Holcim AG'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 Holcim AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.83 | |||
| Information Ratio | 0.1473 | |||
| Maximum Drawdown | 8.04 | |||
| Value At Risk | (2.36) | |||
| Potential Upside | 2.36 |
Holcim AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Holcim AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Holcim AG's standard deviation. In reality, there are many statistical measures that can use Holcim AG historical prices to predict the future Holcim AG's volatility.| Risk Adjusted Performance | 0.0807 | |||
| Jensen Alpha | 0.2188 | |||
| Total Risk Alpha | 0.3411 | |||
| Sortino Ratio | 0.1329 | |||
| Treynor Ratio | 0.173 |
Holcim AG Backtested Returns
Holcim AG appears to be very steady, given 3 months investment horizon. Holcim AG holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Holcim AG, which you can use to evaluate the volatility of the firm. Please utilize Holcim AG's Market Risk Adjusted Performance of 0.183, risk adjusted performance of 0.0807, and Downside Deviation of 1.83 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Holcim AG holds a performance score of 10. The company retains a Market Volatility (i.e., Beta) of 0.78, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Holcim AG's returns are expected to increase less than the market. However, during the bear market, the loss of holding Holcim AG is expected to be smaller as well. Please check Holcim AG's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Holcim AG's current trending patterns will revert.
Auto-correlation | 0.56 |
Modest predictability
Holcim AG has modest predictability. Overlapping area represents the amount of predictability between Holcim AG time series from 18th of December 2024 to 1st of February 2025 and 1st of February 2025 to 18th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Holcim AG price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Holcim AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 8.64 |
Holcim AG lagged returns against current returns
Autocorrelation, which is Holcim AG 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 Holcim AG's stock expected returns. We can calculate the autocorrelation of Holcim AG returns to help us make a trade decision. For example, suppose you find that Holcim AG 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 |
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Holcim AG 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 Holcim AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Holcim AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Holcim AG stock over time.
Current vs Lagged Prices |
| Timeline |
Holcim AG Lagged Returns
When evaluating Holcim AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Holcim AG stock have on its future price. Holcim AG 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, Holcim AG autocorrelation shows the relationship between Holcim AG stock current value and its past values and can show if there is a momentum factor associated with investing in Holcim 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 Holcim Stock Analysis
When running Holcim AG's price analysis, check to measure Holcim AG'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 Holcim AG is operating at the current time. Most of Holcim AG's value examination focuses on studying past and present price action to predict the probability of Holcim AG's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Holcim AG's price. Additionally, you may evaluate how the addition of Holcim AG to your portfolios can decrease your overall portfolio volatility.