Archer Daniels (Germany) Market Value
| ADM Stock | 48.44 0.28 0.58% |
| Symbol | Archer |
Archer Daniels '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 Archer Daniels' 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 Archer Daniels.
| 11/21/2024 |
| 12/21/2024 |
If you would invest 0.00 in Archer Daniels on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding Archer Daniels Midland or generate 0.0% return on investment in Archer Daniels over 30 days. Archer Daniels is related to or competes with Penta Ocean, TITAN MACHINERY, ALEFARM BREWING, Hanison Construction, and Thai Beverage. More
Archer Daniels 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 Archer Daniels' 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 Archer Daniels Midland upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 10.71 | |||
| Value At Risk | (2.16) | |||
| Potential Upside | 2.15 |
Archer Daniels Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Archer Daniels' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Archer Daniels' standard deviation. In reality, there are many statistical measures that can use Archer Daniels historical prices to predict the future Archer Daniels' volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | (0.86) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Archer Daniels' 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.
Archer Daniels Midland Backtested Returns
Archer Daniels Midland secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the company had a -0.11% return per unit of standard deviation over the last 3 months. Archer Daniels Midland exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Archer Daniels' mean deviation of 1.05, and Risk Adjusted Performance of (0.07) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Archer Daniels' returns are expected to increase less than the market. However, during the bear market, the loss of holding Archer Daniels is expected to be smaller as well. At this point, Archer Daniels Midland has a negative expected return of -0.17%. Please make sure to confirm Archer Daniels' standard deviation, kurtosis, period momentum indicator, as well as the relationship between the maximum drawdown and day median price , to decide if Archer Daniels Midland performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.80 |
Very good predictability
Archer Daniels Midland has very good predictability. Overlapping area represents the amount of predictability between Archer Daniels time series from 21st of November 2024 to 6th of December 2024 and 6th of December 2024 to 21st 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 Archer Daniels Midland price movement. The serial correlation of 0.8 indicates that around 80.0% of current Archer Daniels price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
Archer Daniels Midland lagged returns against current returns
Autocorrelation, which is Archer Daniels 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 Archer Daniels' stock expected returns. We can calculate the autocorrelation of Archer Daniels returns to help us make a trade decision. For example, suppose you find that Archer Daniels 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 |
Archer Daniels 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 Archer Daniels stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Archer Daniels stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Archer Daniels stock over time.
Current vs Lagged Prices |
| Timeline |
Archer Daniels Lagged Returns
When evaluating Archer Daniels' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Archer Daniels stock have on its future price. Archer Daniels 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, Archer Daniels autocorrelation shows the relationship between Archer Daniels stock current value and its past values and can show if there is a momentum factor associated with investing in Archer Daniels Midland.
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 Archer Stock Analysis
When running Archer Daniels' price analysis, check to measure Archer Daniels' 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 Archer Daniels is operating at the current time. Most of Archer Daniels' value examination focuses on studying past and present price action to predict the probability of Archer Daniels' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Archer Daniels' price. Additionally, you may evaluate how the addition of Archer Daniels to your portfolios can decrease your overall portfolio volatility.