Siemens Healthineers (Germany) Market Value
| SHL Stock | 52.10 0.38 0.72% |
| Symbol | Siemens |
Siemens Healthineers '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 Siemens Healthineers' 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 Siemens Healthineers.
| 06/25/2024 |
| 12/22/2024 |
If you would invest 0.00 in Siemens Healthineers on June 25, 2024 and sell it all today you would earn a total of 0.00 from holding Siemens Healthineers AG or generate 0.0% return on investment in Siemens Healthineers over 180 days. Siemens Healthineers is related to or competes with Abbott Laboratories, Medtronic PLC, Stryker, Boston Scientific, Edwards Lifesciences, and Align Technology. More
Siemens Healthineers 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 Siemens Healthineers' 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 Siemens Healthineers AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | 0.0642 | |||
| Maximum Drawdown | 8.89 | |||
| Value At Risk | (1.69) | |||
| Potential Upside | 2.97 |
Siemens Healthineers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siemens Healthineers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siemens Healthineers' standard deviation. In reality, there are many statistical measures that can use Siemens Healthineers historical prices to predict the future Siemens Healthineers' volatility.| Risk Adjusted Performance | 0.072 | |||
| Jensen Alpha | 0.11 | |||
| Total Risk Alpha | 0.0793 | |||
| Sortino Ratio | 0.0869 | |||
| Treynor Ratio | 0.2031 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siemens Healthineers' 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.
Siemens Healthineers Backtested Returns
Currently, Siemens Healthineers AG is very steady. Siemens Healthineers owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.085, which indicates the firm had a 0.085% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Siemens Healthineers AG, which you can use to evaluate the volatility of the company. Please validate Siemens Healthineers' Coefficient Of Variation of 1181.99, risk adjusted performance of 0.072, and Semi Deviation of 1.03 to confirm if the risk estimate we provide is consistent with the expected return of 0.13%. Siemens Healthineers has a performance score of 6 on a scale of 0 to 100. The entity has a beta of 0.61, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Siemens Healthineers' returns are expected to increase less than the market. However, during the bear market, the loss of holding Siemens Healthineers is expected to be smaller as well. Siemens Healthineers right now has a risk of 1.58%. Please validate Siemens Healthineers jensen alpha, semi variance, day typical price, as well as the relationship between the maximum drawdown and accumulation distribution , to decide if Siemens Healthineers will be following its existing price patterns.
Auto-correlation | 0.12 |
Insignificant predictability
Siemens Healthineers AG has insignificant predictability. Overlapping area represents the amount of predictability between Siemens Healthineers time series from 25th of June 2024 to 23rd of September 2024 and 23rd of September 2024 to 22nd 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 Siemens Healthineers price movement. The serial correlation of 0.12 indicates that less than 12.0% of current Siemens Healthineers price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.12 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 2.61 |
Siemens Healthineers lagged returns against current returns
Autocorrelation, which is Siemens Healthineers 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 Siemens Healthineers' stock expected returns. We can calculate the autocorrelation of Siemens Healthineers returns to help us make a trade decision. For example, suppose you find that Siemens Healthineers 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 |
Siemens Healthineers 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 Siemens Healthineers stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siemens Healthineers stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siemens Healthineers stock over time.
Current vs Lagged Prices |
| Timeline |
Siemens Healthineers Lagged Returns
When evaluating Siemens Healthineers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siemens Healthineers stock have on its future price. Siemens Healthineers 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, Siemens Healthineers autocorrelation shows the relationship between Siemens Healthineers stock current value and its past values and can show if there is a momentum factor associated with investing in Siemens Healthineers AG.
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 Siemens Stock Analysis
When running Siemens Healthineers' price analysis, check to measure Siemens Healthineers' 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 Siemens Healthineers is operating at the current time. Most of Siemens Healthineers' value examination focuses on studying past and present price action to predict the probability of Siemens Healthineers' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siemens Healthineers' price. Additionally, you may evaluate how the addition of Siemens Healthineers to your portfolios can decrease your overall portfolio volatility.