Siemens (India) Market Value
| SIEMENS Stock | 5,856 67.15 1.13% |
| Symbol | Siemens |
Siemens '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' 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.
| 12/24/2024 |
| 01/23/2025 |
If you would invest 0.00 in Siemens on December 24, 2024 and sell it all today you would earn a total of 0.00 from holding Siemens Limited or generate 0.0% return on investment in Siemens over 30 days. Siemens is related to or competes with Tata Communications, Paramount Communications, ZF Commercial, Jindal Drilling, OnMobile Global, Hi Tech, and DiGiSPICE Technologies. Siemens is entity of India. It is traded as Stock on NSE exchange. More
Siemens 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' 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 Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 17.29 | |||
| Value At Risk | (4.12) | |||
| Potential Upside | 2.88 |
Siemens Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siemens' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siemens' standard deviation. In reality, there are many statistical measures that can use Siemens historical prices to predict the future Siemens' volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.44) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | (0.48) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siemens' 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 Limited Backtested Returns
Siemens Limited owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0906, which indicates the firm had a -0.0906 % return per unit of risk over the last 3 months. Siemens Limited exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siemens' Variance of 5.68, coefficient of variation of (587.99), and Risk Adjusted Performance of (0.14) to confirm the risk estimate we provide. The entity has a beta of 0.86, which indicates possible diversification benefits within a given portfolio. Siemens returns are very sensitive to returns on the market. As the market goes up or down, Siemens is expected to follow. At this point, Siemens Limited has a negative expected return of -0.21%. Please make sure to validate Siemens' skewness, and the relationship between the treynor ratio and rate of daily change , to decide if Siemens Limited performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.59 |
Modest predictability
Siemens Limited has modest predictability. Overlapping area represents the amount of predictability between Siemens time series from 24th of December 2024 to 8th of January 2025 and 8th of January 2025 to 23rd of January 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 Siemens Limited price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Siemens price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 29.5 K |
Siemens Limited lagged returns against current returns
Autocorrelation, which is Siemens 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' stock expected returns. We can calculate the autocorrelation of Siemens returns to help us make a trade decision. For example, suppose you find that Siemens 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siemens stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siemens stock over time.
Current vs Lagged Prices |
| Timeline |
Siemens Lagged Returns
When evaluating Siemens' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siemens stock have on its future price. Siemens 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 autocorrelation shows the relationship between Siemens stock current value and its past values and can show if there is a momentum factor associated with investing in Siemens Limited.
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' price analysis, check to measure Siemens' 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 is operating at the current time. Most of Siemens' value examination focuses on studying past and present price action to predict the probability of Siemens' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siemens' price. Additionally, you may evaluate how the addition of Siemens to your portfolios can decrease your overall portfolio volatility.