Jazz Pharmaceuticals (Germany) Market Value
| J7Z Stock | EUR 116.85 1.15 0.97% |
| Symbol | Jazz |
Jazz Pharmaceuticals '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 Jazz Pharmaceuticals' 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 Jazz Pharmaceuticals.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in Jazz Pharmaceuticals on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding Jazz Pharmaceuticals plc or generate 0.0% return on investment in Jazz Pharmaceuticals over 30 days. Jazz Pharmaceuticals is related to or competes with Novo Nordisk, CSL, CSL, Mercedes Benz, Vertex Pharmaceuticals, Moderna, and WUXI BIOLOGICS. Jazz Pharmaceuticals plc, a biopharmaceutical company, identifies, develops, and commercializes pharmaceutical products ... More
Jazz Pharmaceuticals 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 Jazz Pharmaceuticals' 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 Jazz Pharmaceuticals plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.63 | |||
| Information Ratio | 0.1228 | |||
| Maximum Drawdown | 10.5 | |||
| Value At Risk | (2.65) | |||
| Potential Upside | 4.58 |
Jazz Pharmaceuticals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jazz Pharmaceuticals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jazz Pharmaceuticals' standard deviation. In reality, there are many statistical measures that can use Jazz Pharmaceuticals historical prices to predict the future Jazz Pharmaceuticals' volatility.| Risk Adjusted Performance | 0.116 | |||
| Jensen Alpha | 0.2533 | |||
| Total Risk Alpha | 0.2125 | |||
| Sortino Ratio | 0.1512 | |||
| Treynor Ratio | 0.385 |
Jazz Pharmaceuticals plc Backtested Returns
Jazz Pharmaceuticals appears to be very steady, given 3 months investment horizon. Jazz Pharmaceuticals plc holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had a 0.14% return per unit of risk over the last 3 months. We have found thirty technical indicators for Jazz Pharmaceuticals plc, which you can use to evaluate the volatility of the firm. Please utilize Jazz Pharmaceuticals' Downside Deviation of 1.63, risk adjusted performance of 0.116, and Market Risk Adjusted Performance of 0.395 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Jazz Pharmaceuticals holds a performance score of 11. The company retains a Market Volatility (i.e., Beta) of 0.7, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Jazz Pharmaceuticals' returns are expected to increase less than the market. However, during the bear market, the loss of holding Jazz Pharmaceuticals is expected to be smaller as well. Please check Jazz Pharmaceuticals' expected short fall, daily balance of power, and the relationship between the downside variance and kurtosis , to make a quick decision on whether Jazz Pharmaceuticals' current trending patterns will revert.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
Jazz Pharmaceuticals plc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Jazz Pharmaceuticals 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 Jazz Pharmaceuticals plc price movement. The serial correlation of -0.75 indicates that around 75.0% of current Jazz Pharmaceuticals price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 2.48 |
Jazz Pharmaceuticals plc lagged returns against current returns
Autocorrelation, which is Jazz Pharmaceuticals 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 Jazz Pharmaceuticals' stock expected returns. We can calculate the autocorrelation of Jazz Pharmaceuticals returns to help us make a trade decision. For example, suppose you find that Jazz Pharmaceuticals 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 |
Jazz Pharmaceuticals 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 Jazz Pharmaceuticals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jazz Pharmaceuticals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jazz Pharmaceuticals stock over time.
Current vs Lagged Prices |
| Timeline |
Jazz Pharmaceuticals Lagged Returns
When evaluating Jazz Pharmaceuticals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jazz Pharmaceuticals stock have on its future price. Jazz Pharmaceuticals 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, Jazz Pharmaceuticals autocorrelation shows the relationship between Jazz Pharmaceuticals stock current value and its past values and can show if there is a momentum factor associated with investing in Jazz Pharmaceuticals plc.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Jazz Stock
When determining whether Jazz Pharmaceuticals plc offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Jazz Pharmaceuticals' financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Jazz Pharmaceuticals Plc Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Jazz Pharmaceuticals Plc Stock:Check out Jazz Pharmaceuticals Correlation, Jazz Pharmaceuticals Volatility and Jazz Pharmaceuticals Alpha and Beta module to complement your research on Jazz Pharmaceuticals. You can also try the Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Jazz Pharmaceuticals technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.