Teva Pharmaceutical (Germany) Market Value
| TEV Stock | EUR 21.20 0.70 3.41% |
| Symbol | Teva |
Teva Pharmaceutical '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 Teva Pharmaceutical'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 Teva Pharmaceutical.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in Teva Pharmaceutical on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding Teva Pharmaceutical Industries or generate 0.0% return on investment in Teva Pharmaceutical over 30 days. Teva Pharmaceutical is related to or competes with Zoetis, Takeda Pharmaceutical, Eisai, Shionogi, Catalent, Ipsen SA, and Dr Reddys. Teva Pharmaceutical Industries Limited, a pharmaceutical company, develops, manufactures, markets, and distributes gener... More
Teva Pharmaceutical 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 Teva Pharmaceutical'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 Teva Pharmaceutical Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.9 | |||
| Information Ratio | 0.1352 | |||
| Maximum Drawdown | 25.97 | |||
| Value At Risk | (3.15) | |||
| Potential Upside | 4.43 |
Teva Pharmaceutical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Teva Pharmaceutical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Teva Pharmaceutical's standard deviation. In reality, there are many statistical measures that can use Teva Pharmaceutical historical prices to predict the future Teva Pharmaceutical's volatility.| Risk Adjusted Performance | 0.1219 | |||
| Jensen Alpha | 0.5307 | |||
| Total Risk Alpha | 0.4126 | |||
| Sortino Ratio | 0.2588 | |||
| Treynor Ratio | (0.71) |
Teva Pharmaceutical Backtested Returns
Teva Pharmaceutical appears to be somewhat reliable, given 3 months investment horizon. Teva Pharmaceutical owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the firm had a 0.14% return per unit of risk over the last 3 months. By inspecting Teva Pharmaceutical's technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please review Teva Pharmaceutical's Semi Deviation of 1.46, coefficient of variation of 694.24, and Risk Adjusted Performance of 0.1219 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Teva Pharmaceutical holds a performance score of 11. The entity has a beta of -0.72, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Teva Pharmaceutical are expected to decrease at a much lower rate. During the bear market, Teva Pharmaceutical is likely to outperform the market. Please check Teva Pharmaceutical's expected short fall, daily balance of power, and the relationship between the downside variance and kurtosis , to make a quick decision on whether Teva Pharmaceutical's existing price patterns will revert.
Auto-correlation | 0.82 |
Very good predictability
Teva Pharmaceutical Industries has very good predictability. Overlapping area represents the amount of predictability between Teva Pharmaceutical time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 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 Teva Pharmaceutical price movement. The serial correlation of 0.82 indicates that around 82.0% of current Teva Pharmaceutical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 4.78 |
Teva Pharmaceutical lagged returns against current returns
Autocorrelation, which is Teva Pharmaceutical 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 Teva Pharmaceutical's stock expected returns. We can calculate the autocorrelation of Teva Pharmaceutical returns to help us make a trade decision. For example, suppose you find that Teva Pharmaceutical 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 |
Teva Pharmaceutical 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 Teva Pharmaceutical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Teva Pharmaceutical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Teva Pharmaceutical stock over time.
Current vs Lagged Prices |
| Timeline |
Teva Pharmaceutical Lagged Returns
When evaluating Teva Pharmaceutical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Teva Pharmaceutical stock have on its future price. Teva Pharmaceutical 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, Teva Pharmaceutical autocorrelation shows the relationship between Teva Pharmaceutical stock current value and its past values and can show if there is a momentum factor associated with investing in Teva Pharmaceutical Industries.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Teva Stock
Teva Pharmaceutical financial ratios help investors to determine whether Teva 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 Teva with respect to the benefits of owning Teva Pharmaceutical security.