Heidelberg Materials (Germany) Market Value
| HEI Stock | EUR 123.35 1.45 1.16% |
| Symbol | Heidelberg |
Heidelberg Materials '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 Heidelberg Materials' 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 Heidelberg Materials.
| 04/21/2024 |
| 12/17/2024 |
If you would invest 0.00 in Heidelberg Materials on April 21, 2024 and sell it all today you would earn a total of 0.00 from holding Heidelberg Materials AG or generate 0.0% return on investment in Heidelberg Materials over 240 days. Heidelberg Materials is related to or competes with Playtech Plc, Air Transport, KAUFMAN ET, UNITED UTILITIES, NORTHEAST UTILITIES, and ACCSYS TECHPLC. More
Heidelberg Materials 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 Heidelberg Materials' 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 Heidelberg Materials AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.2 | |||
| Information Ratio | 0.2322 | |||
| Maximum Drawdown | 8.78 | |||
| Value At Risk | (1.79) | |||
| Potential Upside | 3.43 |
Heidelberg Materials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Heidelberg Materials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Heidelberg Materials' standard deviation. In reality, there are many statistical measures that can use Heidelberg Materials historical prices to predict the future Heidelberg Materials' volatility.| Risk Adjusted Performance | 0.2109 | |||
| Jensen Alpha | 0.3873 | |||
| Total Risk Alpha | 0.2847 | |||
| Sortino Ratio | 0.3161 | |||
| Treynor Ratio | 0.5025 |
Heidelberg Materials Backtested Returns
Heidelberg Materials appears to be very steady, given 3 months investment horizon. Heidelberg Materials holds Efficiency (Sharpe) Ratio of 0.25, which attests that the entity had a 0.25% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Heidelberg Materials, which you can use to evaluate the volatility of the firm. Please utilize Heidelberg Materials' Risk Adjusted Performance of 0.2109, market risk adjusted performance of 0.5125, and Downside Deviation of 1.2 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Heidelberg Materials holds a performance score of 19. The company retains a Market Volatility (i.e., Beta) of 0.91, which attests to possible diversification benefits within a given portfolio. Heidelberg Materials returns are very sensitive to returns on the market. As the market goes up or down, Heidelberg Materials is expected to follow. Please check Heidelberg Materials' downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Heidelberg Materials' current trending patterns will revert.
Auto-correlation | -0.16 |
Insignificant reverse predictability
Heidelberg Materials AG has insignificant reverse predictability. Overlapping area represents the amount of predictability between Heidelberg Materials time series from 21st of April 2024 to 19th of August 2024 and 19th of August 2024 to 17th 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 Heidelberg Materials price movement. The serial correlation of -0.16 indicates that over 16.0% of current Heidelberg Materials price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 130.05 |
Heidelberg Materials lagged returns against current returns
Autocorrelation, which is Heidelberg Materials 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 Heidelberg Materials' stock expected returns. We can calculate the autocorrelation of Heidelberg Materials returns to help us make a trade decision. For example, suppose you find that Heidelberg Materials 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 |
Heidelberg Materials 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 Heidelberg Materials stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Heidelberg Materials stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Heidelberg Materials stock over time.
Current vs Lagged Prices |
| Timeline |
Heidelberg Materials Lagged Returns
When evaluating Heidelberg Materials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Heidelberg Materials stock have on its future price. Heidelberg Materials 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, Heidelberg Materials autocorrelation shows the relationship between Heidelberg Materials stock current value and its past values and can show if there is a momentum factor associated with investing in Heidelberg Materials AG.
Regressed Prices |
| Timeline |
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Additional Tools for Heidelberg Stock Analysis
When running Heidelberg Materials' price analysis, check to measure Heidelberg Materials' 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 Heidelberg Materials is operating at the current time. Most of Heidelberg Materials' value examination focuses on studying past and present price action to predict the probability of Heidelberg Materials' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Heidelberg Materials' price. Additionally, you may evaluate how the addition of Heidelberg Materials to your portfolios can decrease your overall portfolio volatility.