Johnson Johnson (Germany) Market Value
| JNJ Stock | EUR 149.34 2.66 1.75% |
| Symbol | Johnson |
Johnson Johnson '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 Johnson'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 Johnson.
| 12/12/2024 |
| 03/12/2025 |
If you would invest 0.00 in Johnson Johnson on December 12, 2024 and sell it all today you would earn a total of 0.00 from holding Johnson Johnson or generate 0.0% return on investment in Johnson Johnson over 90 days. Johnson Johnson is related to or competes with NEWELL RUBBERMAID, Caseys General, Mitsubishi Materials, Sumitomo Rubber, H2O Retailing, MARKET VECTR, and COSTCO WHOLESALE. More
Johnson Johnson 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 Johnson'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 Johnson upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | 0.1664 | |||
| Maximum Drawdown | 6.62 | |||
| Value At Risk | (1.93) | |||
| Potential Upside | 2.02 |
Johnson Johnson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johnson Johnson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johnson Johnson's standard deviation. In reality, there are many statistical measures that can use Johnson Johnson historical prices to predict the future Johnson Johnson's volatility.| Risk Adjusted Performance | 0.0582 | |||
| Jensen Alpha | 0.05 | |||
| Total Risk Alpha | 0.2634 | |||
| Sortino Ratio | 0.1589 | |||
| Treynor Ratio | (0.45) |
Johnson Johnson Backtested Returns
As of now, Johnson Stock is very steady. Johnson Johnson holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had a 0.1 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Johnson Johnson, which you can use to evaluate the volatility of the firm. Please check out Johnson Johnson's Risk Adjusted Performance of 0.0582, downside deviation of 1.27, and Market Risk Adjusted Performance of (0.44) to validate if the risk estimate we provide is consistent with the expected return of 0.13%. Johnson Johnson has a performance score of 8 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.16, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Johnson Johnson are expected to decrease at a much lower rate. During the bear market, Johnson Johnson is likely to outperform the market. Johnson Johnson right now retains a risk of 1.24%. Please check out Johnson Johnson coefficient of variation, sortino ratio, potential upside, as well as the relationship between the jensen alpha and maximum drawdown , to decide if Johnson Johnson will be following its current trending patterns.
Auto-correlation | 0.57 |
Modest predictability
Johnson Johnson has modest predictability. Overlapping area represents the amount of predictability between Johnson Johnson time series from 12th of December 2024 to 26th of January 2025 and 26th of January 2025 to 12th 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 Johnson Johnson price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current Johnson Johnson price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 23.86 |
Johnson Johnson lagged returns against current returns
Autocorrelation, which is Johnson Johnson 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 Johnson's stock expected returns. We can calculate the autocorrelation of Johnson Johnson returns to help us make a trade decision. For example, suppose you find that Johnson Johnson 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 Johnson 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 Johnson stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johnson Johnson stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johnson Johnson stock over time.
Current vs Lagged Prices |
| Timeline |
Johnson Johnson Lagged Returns
When evaluating Johnson Johnson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johnson Johnson stock have on its future price. Johnson Johnson 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 Johnson autocorrelation shows the relationship between Johnson Johnson stock current value and its past values and can show if there is a momentum factor associated with investing in Johnson Johnson.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectAdditional Information and Resources on Investing in Johnson Stock
When determining whether Johnson Johnson is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Johnson Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Johnson Johnson Stock. Highlighted below are key reports to facilitate an investment decision about Johnson Johnson Stock:Check out Johnson Johnson Correlation, Johnson Johnson Volatility and Johnson Johnson Alpha and Beta module to complement your research on Johnson Johnson. To learn how to invest in Johnson Stock, please use our How to Invest in Johnson Johnson guide.You can also try the Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
Johnson Johnson technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.