Rolls-Royce Holdings (Germany) Market Value
| RRU Stock | EUR 9.68 0.26 2.76% |
| Symbol | Rolls-Royce |
Rolls-Royce Holdings '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 Rolls-Royce Holdings' 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 Rolls-Royce Holdings.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in Rolls-Royce Holdings on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding Rolls Royce Holdings plc or generate 0.0% return on investment in Rolls-Royce Holdings over 90 days. Rolls-Royce Holdings is related to or competes with Yokohama Rubber, IBU-tec Advanced, Air Lease, APPLIED MATERIALS, Global Ship, Sixt Leasing, and Heidelberg Materials. Rolls-Royce Holdings plc operates as an industrial technology company worldwide More
Rolls-Royce Holdings 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 Rolls-Royce Holdings' 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 Rolls Royce Holdings plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.46 | |||
| Information Ratio | 0.1977 | |||
| Maximum Drawdown | 25.96 | |||
| Value At Risk | (2.54) | |||
| Potential Upside | 4.06 |
Rolls-Royce Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Rolls-Royce Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Rolls-Royce Holdings' standard deviation. In reality, there are many statistical measures that can use Rolls-Royce Holdings historical prices to predict the future Rolls-Royce Holdings' volatility.| Risk Adjusted Performance | 0.1515 | |||
| Jensen Alpha | 0.5458 | |||
| Total Risk Alpha | 0.8935 | |||
| Sortino Ratio | 0.249 | |||
| Treynor Ratio | 1.34 |
Rolls Royce Holdings Backtested Returns
Rolls-Royce Holdings appears to be somewhat reliable, given 3 months investment horizon. Rolls Royce Holdings maintains Sharpe Ratio (i.e., Efficiency) of 0.18, which implies the firm had a 0.18 % return per unit of risk over the last 3 months. By analyzing Rolls-Royce Holdings' technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please evaluate Rolls-Royce Holdings' Semi Deviation of 2.12, risk adjusted performance of 0.1515, and Coefficient Of Variation of 603.15 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Rolls-Royce Holdings holds a performance score of 14. The company holds a Beta of 0.38, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Rolls-Royce Holdings' returns are expected to increase less than the market. However, during the bear market, the loss of holding Rolls-Royce Holdings is expected to be smaller as well. Please check Rolls-Royce Holdings' value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Rolls-Royce Holdings' historical price patterns will revert.
Auto-correlation | 0.63 |
Good predictability
Rolls Royce Holdings plc has good predictability. Overlapping area represents the amount of predictability between Rolls-Royce Holdings time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th 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 Rolls Royce Holdings price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Rolls-Royce Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 1.04 |
Rolls Royce Holdings lagged returns against current returns
Autocorrelation, which is Rolls-Royce Holdings 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 Rolls-Royce Holdings' stock expected returns. We can calculate the autocorrelation of Rolls-Royce Holdings returns to help us make a trade decision. For example, suppose you find that Rolls-Royce Holdings 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 |
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Rolls-Royce Holdings 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 Rolls-Royce Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Rolls-Royce Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Rolls-Royce Holdings stock over time.
Current vs Lagged Prices |
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Rolls-Royce Holdings Lagged Returns
When evaluating Rolls-Royce Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Rolls-Royce Holdings stock have on its future price. Rolls-Royce Holdings 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, Rolls-Royce Holdings autocorrelation shows the relationship between Rolls-Royce Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Rolls Royce Holdings plc.
Regressed Prices |
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Currently Active Assets on Macroaxis
Other Information on Investing in Rolls-Royce Stock
Rolls-Royce Holdings financial ratios help investors to determine whether Rolls-Royce 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 Rolls-Royce with respect to the benefits of owning Rolls-Royce Holdings security.