Johnson Johnson (Germany) Market Value
| JNJ Stock | EUR 141.20 1.38 0.99% |
| 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.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Johnson Johnson on November 5, 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 60 days. Johnson Johnson is related to or competes with Apple, Apple, Apple, Apple, Microsoft, Microsoft, and Microsoft. 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.
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 3.93 | |||
| Value At Risk | (1.37) | |||
| Potential Upside | 1.48 |
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 | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | 1.04 |
Johnson Johnson Backtested Returns
Johnson Johnson holds Efficiency (Sharpe) Ratio of -0.0437, which attests that the entity had a -0.0437% return per unit of risk over the last 3 months. Johnson Johnson exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Johnson Johnson's Standard Deviation of 0.8648, risk adjusted performance of (0.01), and Market Risk Adjusted Performance of 1.05 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.0224, 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. At this point, Johnson Johnson has a negative expected return of -0.0366%. Please make sure to check out Johnson Johnson's value at risk, accumulation distribution, and the relationship between the treynor ratio and skewness , to decide if Johnson Johnson performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.13 |
Insignificant predictability
Johnson Johnson has insignificant predictability. Overlapping area represents the amount of predictability between Johnson Johnson time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th of January 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 0.13 indicates that less than 13.0% of current Johnson Johnson price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 1.29 |
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 |
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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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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.