Johnson Matthey (UK) Market Value
| JMAT Stock | 1,405 17.00 1.22% |
| Symbol | Johnson |
Johnson Matthey '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 Johnson Matthey'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 Johnson Matthey.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Johnson Matthey on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Johnson Matthey PLC or generate 0.0% return on investment in Johnson Matthey over 30 days. Johnson Matthey is related to or competes with Givaudan, Antofagasta PLC, Ferrexpo PLC, Atalaya Mining, Amaroq Minerals, Central Asia, and Anglo Asian. Johnson Matthey is entity of United Kingdom More
Johnson Matthey 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 Johnson Matthey'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 Johnson Matthey PLC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 14.54 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 2.03 |
Johnson Matthey Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johnson Matthey's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johnson Matthey's standard deviation. In reality, there are many statistical measures that can use Johnson Matthey historical prices to predict the future Johnson Matthey's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.47) | |||
| Treynor Ratio | 0.4869 |
Johnson Matthey PLC Backtested Returns
Johnson Matthey PLC holds Efficiency (Sharpe) Ratio of -0.0853, which attests that the entity had a -0.0853% return per unit of risk over the last 3 months. Johnson Matthey PLC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Johnson Matthey's Risk Adjusted Performance of (0.05), market risk adjusted performance of 0.4969, and Standard Deviation of 2.2 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.35, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Johnson Matthey are expected to decrease at a much lower rate. During the bear market, Johnson Matthey is likely to outperform the market. At this point, Johnson Matthey PLC has a negative expected return of -0.19%. Please make sure to check out Johnson Matthey's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Johnson Matthey PLC performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.53 |
Modest predictability
Johnson Matthey PLC has modest predictability. Overlapping area represents the amount of predictability between Johnson Matthey time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Johnson Matthey PLC price movement. The serial correlation of 0.53 indicates that about 53.0% of current Johnson Matthey price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 5344.08 |
Johnson Matthey PLC lagged returns against current returns
Autocorrelation, which is Johnson Matthey 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 Johnson Matthey's stock expected returns. We can calculate the autocorrelation of Johnson Matthey returns to help us make a trade decision. For example, suppose you find that Johnson Matthey 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 |
Johnson Matthey 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 Johnson Matthey stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johnson Matthey stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johnson Matthey stock over time.
Current vs Lagged Prices |
| Timeline |
Johnson Matthey Lagged Returns
When evaluating Johnson Matthey's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johnson Matthey stock have on its future price. Johnson Matthey 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, Johnson Matthey autocorrelation shows the relationship between Johnson Matthey stock current value and its past values and can show if there is a momentum factor associated with investing in Johnson Matthey PLC.
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 Johnson Stock Analysis
When running Johnson Matthey's price analysis, check to measure Johnson Matthey'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 Johnson Matthey is operating at the current time. Most of Johnson Matthey's value examination focuses on studying past and present price action to predict the probability of Johnson Matthey's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Johnson Matthey's price. Additionally, you may evaluate how the addition of Johnson Matthey to your portfolios can decrease your overall portfolio volatility.