Nemetschek (Germany) Market Value
| NEM Stock | 98.60 0.40 0.41% |
| Symbol | Nemetschek |
Nemetschek '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 Nemetschek'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 Nemetschek.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Nemetschek on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Nemetschek AG ON or generate 0.0% return on investment in Nemetschek over 360 days. Nemetschek is related to or competes with Sunny Optical, Brockhaus Capital, SCOTT TECHNOLOGY, CEOTRONICS, CeoTronics, FEMALE HEALTH, and Microchip Technology. More
Nemetschek 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 Nemetschek'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 Nemetschek AG ON upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.38 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.83 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 1.91 |
Nemetschek Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nemetschek's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nemetschek's standard deviation. In reality, there are many statistical measures that can use Nemetschek historical prices to predict the future Nemetschek's volatility.| Risk Adjusted Performance | 0.0502 | |||
| Jensen Alpha | 0.043 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.2592 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Nemetschek's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Nemetschek AG ON Backtested Returns
Currently, Nemetschek AG ON is very steady. Nemetschek AG ON has Sharpe Ratio of 0.0802, which conveys that the firm had a 0.0802% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Nemetschek, which you can use to evaluate the volatility of the firm. Please verify Nemetschek's Risk Adjusted Performance of 0.0502, mean deviation of 1.08, and Downside Deviation of 1.38 to check out if the risk estimate we provide is consistent with the expected return of 0.12%. Nemetschek has a performance score of 6 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.3, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Nemetschek's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nemetschek is expected to be smaller as well. Nemetschek AG ON right now secures a risk of 1.46%. Please verify Nemetschek AG ON treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to decide if Nemetschek AG ON will be following its current price movements.
Auto-correlation | 0.05 |
Virtually no predictability
Nemetschek AG ON has virtually no predictability. Overlapping area represents the amount of predictability between Nemetschek time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 Nemetschek AG ON price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current Nemetschek price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 26.05 |
Nemetschek AG ON lagged returns against current returns
Autocorrelation, which is Nemetschek 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 Nemetschek's stock expected returns. We can calculate the autocorrelation of Nemetschek returns to help us make a trade decision. For example, suppose you find that Nemetschek 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 |
Nemetschek 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 Nemetschek stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nemetschek stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nemetschek stock over time.
Current vs Lagged Prices |
| Timeline |
Nemetschek Lagged Returns
When evaluating Nemetschek's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nemetschek stock have on its future price. Nemetschek 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, Nemetschek autocorrelation shows the relationship between Nemetschek stock current value and its past values and can show if there is a momentum factor associated with investing in Nemetschek AG ON.
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 Nemetschek Stock Analysis
When running Nemetschek's price analysis, check to measure Nemetschek'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 Nemetschek is operating at the current time. Most of Nemetschek's value examination focuses on studying past and present price action to predict the probability of Nemetschek's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Nemetschek's price. Additionally, you may evaluate how the addition of Nemetschek to your portfolios can decrease your overall portfolio volatility.