Umicore SA (Germany) Market Value
| NVJP Stock | EUR 10.33 0.38 3.82% |
| Symbol | Umicore |
Umicore SA '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 Umicore SA'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 Umicore SA.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Umicore SA on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Umicore SA or generate 0.0% return on investment in Umicore SA over 360 days. Umicore SA is related to or competes with Retail Estates, FAST RETAIL, Ross Stores, Richardson Electronics, Fast Retailing, and QURATE RETAIL. Umicore S.A. operates as a materials technology and recycling company worldwide More
Umicore SA 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 Umicore SA'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 Umicore SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 12.38 | |||
| Value At Risk | (4.05) | |||
| Potential Upside | 4.21 |
Umicore SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Umicore SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Umicore SA's standard deviation. In reality, there are many statistical measures that can use Umicore SA historical prices to predict the future Umicore SA's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.46) | |||
| Treynor Ratio | 1.42 |
Umicore SA Backtested Returns
At this point, Umicore SA is somewhat reliable. Umicore SA owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0065, which indicates the firm had a 0.0065% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Umicore SA, which you can use to evaluate the volatility of the company. Please validate Umicore SA's Risk Adjusted Performance of (0.01), variance of 6.49, and Coefficient Of Variation of (3,779) to confirm if the risk estimate we provide is consistent with the expected return of 0.0163%. The entity has a beta of -0.0547, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Umicore SA are expected to decrease at a much lower rate. During the bear market, Umicore SA is likely to outperform the market. Umicore SA right now has a risk of 2.52%. Please validate Umicore SA jensen alpha, treynor ratio, value at risk, as well as the relationship between the total risk alpha and maximum drawdown , to decide if Umicore SA will be following its existing price patterns.
Auto-correlation | 0.70 |
Good predictability
Umicore SA has good predictability. Overlapping area represents the amount of predictability between Umicore SA 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 Umicore SA price movement. The serial correlation of 0.7 indicates that around 70.0% of current Umicore SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 2.42 |
Umicore SA lagged returns against current returns
Autocorrelation, which is Umicore SA 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 Umicore SA's stock expected returns. We can calculate the autocorrelation of Umicore SA returns to help us make a trade decision. For example, suppose you find that Umicore SA 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 |
Umicore SA 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 Umicore SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Umicore SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Umicore SA stock over time.
Current vs Lagged Prices |
| Timeline |
Umicore SA Lagged Returns
When evaluating Umicore SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Umicore SA stock have on its future price. Umicore SA 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, Umicore SA autocorrelation shows the relationship between Umicore SA stock current value and its past values and can show if there is a momentum factor associated with investing in Umicore SA.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Umicore Stock
Umicore SA financial ratios help investors to determine whether Umicore Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Umicore with respect to the benefits of owning Umicore SA security.