Eli Lilly And Stock Market Value
| LLY Stock | 28.58 0.32 1.13% |
| Symbol | Eli |
Eli Lilly '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 Eli Lilly'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 Eli Lilly.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in Eli Lilly on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding Eli Lilly and or generate 0.0% return on investment in Eli Lilly over 30 days. Eli Lilly is related to or competes with Millbank Mining, Calian Technologies, Xtract One, Sparx Technology, East Side, Fairfax Financial, and Financial. Eli Lilly is entity of Canada. It is traded as Stock on NEO exchange. More
Eli Lilly 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 Eli Lilly'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 Eli Lilly and upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 9.52 | |||
| Value At Risk | (3.54) | |||
| Potential Upside | 2.98 |
Eli Lilly Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Eli Lilly's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Eli Lilly's standard deviation. In reality, there are many statistical measures that can use Eli Lilly historical prices to predict the future Eli Lilly's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.28) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | (0.37) |
Eli Lilly Backtested Returns
Eli Lilly secures Sharpe Ratio (or Efficiency) of -0.14, which denotes the company had a -0.14% return per unit of risk over the last 3 months. Eli Lilly and exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Eli Lilly's Variance of 3.73, mean deviation of 1.35, and Standard Deviation of 1.93 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.72, which means possible diversification benefits within a given portfolio. As returns on the market increase, Eli Lilly's returns are expected to increase less than the market. However, during the bear market, the loss of holding Eli Lilly is expected to be smaller as well. At this point, Eli Lilly has a negative expected return of -0.27%. Please make sure to confirm Eli Lilly's treynor ratio, accumulation distribution, price action indicator, as well as the relationship between the potential upside and day median price , to decide if Eli Lilly performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.86 |
Excellent reverse predictability
Eli Lilly and has excellent reverse predictability. Overlapping area represents the amount of predictability between Eli Lilly time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd 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 Eli Lilly price movement. The serial correlation of -0.86 indicates that approximately 86.0% of current Eli Lilly price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.86 | |
| Spearman Rank Test | -0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 0.3 |
Eli Lilly lagged returns against current returns
Autocorrelation, which is Eli Lilly 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 Eli Lilly's stock expected returns. We can calculate the autocorrelation of Eli Lilly returns to help us make a trade decision. For example, suppose you find that Eli Lilly 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 |
Eli Lilly 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 Eli Lilly stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Eli Lilly stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Eli Lilly stock over time.
Current vs Lagged Prices |
| Timeline |
Eli Lilly Lagged Returns
When evaluating Eli Lilly's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Eli Lilly stock have on its future price. Eli Lilly 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, Eli Lilly autocorrelation shows the relationship between Eli Lilly stock current value and its past values and can show if there is a momentum factor associated with investing in Eli Lilly and.
Regressed Prices |
| Timeline |
Pair Trading with Eli Lilly
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Eli Lilly position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Eli Lilly will appreciate offsetting losses from the drop in the long position's value.Moving against Eli Stock
| 0.87 | DAY | Dayforce | PairCorr |
| 0.83 | IAG | iA Financial | PairCorr |
| 0.83 | RBA | Ritchie Bros Auctioneers | PairCorr |
| 0.82 | BAM | Brookfield Asset Man | PairCorr |
| 0.81 | JPM | JPMorgan Chase | PairCorr |
The ability to find closely correlated positions to Eli Lilly could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Eli Lilly when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Eli Lilly - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Eli Lilly and to buy it.
The correlation of Eli Lilly is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Eli Lilly moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Eli Lilly moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Eli Lilly can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Eli Lilly Correlation, Eli Lilly Volatility and Eli Lilly Alpha and Beta module to complement your research on Eli Lilly. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Eli Lilly 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.