TDK (Germany) Market Value
| TDK Stock | EUR 12.01 0.40 3.45% |
| Symbol | TDK |
TDK '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 TDK'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 TDK.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in TDK on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding TDK Corporation or generate 0.0% return on investment in TDK over 540 days. TDK is related to or competes with Murata Manufacturing, Corning Incorporated, and . TDK Corporation, together with its subsidiaries, manufactures and sells electronic components in Japan, Europe, China, A... More
TDK 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 TDK'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 TDK Corporation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.64 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 11.41 | |||
| Value At Risk | (4.66) | |||
| Potential Upside | 3.85 |
TDK Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TDK's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TDK's standard deviation. In reality, there are many statistical measures that can use TDK historical prices to predict the future TDK's volatility.| Risk Adjusted Performance | 0.0129 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.38) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0185 |
TDK Corporation Backtested Returns
TDK Corporation owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0051, which indicates the firm had a -0.0051% return per unit of volatility over the last 3 months. TDK Corporation exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate TDK's coefficient of variation of 13070.07, and Risk Adjusted Performance of 0.0129 to confirm the risk estimate we provide. The entity has a beta of 0.52, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, TDK's returns are expected to increase less than the market. However, during the bear market, the loss of holding TDK is expected to be smaller as well. At this point, TDK Corporation has a negative expected return of -0.013%. Please make sure to validate TDK's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to decide if TDK Corporation performance from the past will be repeated at future time.
Auto-correlation | 0.56 |
Modest predictability
TDK Corporation has modest predictability. Overlapping area represents the amount of predictability between TDK time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th of November 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 TDK Corporation price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current TDK price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 1.99 |
TDK Corporation lagged returns against current returns
Autocorrelation, which is TDK 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 TDK's stock expected returns. We can calculate the autocorrelation of TDK returns to help us make a trade decision. For example, suppose you find that TDK 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 |
TDK 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 TDK stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TDK stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TDK stock over time.
Current vs Lagged Prices |
| Timeline |
TDK Lagged Returns
When evaluating TDK's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TDK stock have on its future price. TDK 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, TDK autocorrelation shows the relationship between TDK stock current value and its past values and can show if there is a momentum factor associated with investing in TDK Corporation.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in TDK Stock
TDK financial ratios help investors to determine whether TDK 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 TDK with respect to the benefits of owning TDK security.