JAMES HARDIE (Germany) Market Value
| JHA0 Stock | EUR 31.40 0.20 0.63% |
| Symbol | JAMES |
JAMES HARDIE '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 JAMES HARDIE'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 JAMES HARDIE.
| 12/30/2022 |
| 12/19/2024 |
If you would invest 0.00 in JAMES HARDIE on December 30, 2022 and sell it all today you would earn a total of 0.00 from holding JAMES HARDIE INDUSTADR1 or generate 0.0% return on investment in JAMES HARDIE over 720 days. JAMES HARDIE is related to or competes with Heidelberg Materials, Superior Plus, NMI Holdings, SIVERS SEMICONDUCTORS, NorAm Drilling, BANK HANDLOWY, and Norsk Hydro. James Hardie Industries plc, together with its subsidiaries, manufactures and sells fiber cement, fiber gypsum, and ceme... More
JAMES HARDIE 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 JAMES HARDIE'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 JAMES HARDIE INDUSTADR1 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.59 | |||
| Information Ratio | 0.0157 | |||
| Maximum Drawdown | 40.38 | |||
| Value At Risk | (4.91) | |||
| Potential Upside | 3.23 |
JAMES HARDIE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JAMES HARDIE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JAMES HARDIE's standard deviation. In reality, there are many statistical measures that can use JAMES HARDIE historical prices to predict the future JAMES HARDIE's volatility.| Risk Adjusted Performance | 0.0253 | |||
| Jensen Alpha | 0.0968 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0239 | |||
| Treynor Ratio | 0.2424 |
JAMES HARDIE INDUSTADR1 Backtested Returns
At this point, JAMES HARDIE is somewhat reliable. JAMES HARDIE INDUSTADR1 holds Efficiency (Sharpe) Ratio of 0.016, which attests that the company had a 0.016% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for JAMES HARDIE INDUSTADR1, which you can use to evaluate the volatility of the entity. Please check out JAMES HARDIE's semi deviation of 2.59, and Market Risk Adjusted Performance of 0.2524 to validate if the risk estimate we provide is consistent with the expected return of 0.0888%. JAMES HARDIE has a performance score of 1 on a scale of 0 to 100. The firm retains a Market Volatility (i.e., Beta) of 0.43, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, JAMES HARDIE's returns are expected to increase less than the market. However, during the bear market, the loss of holding JAMES HARDIE is expected to be smaller as well. JAMES HARDIE INDUSTADR1 now retains a risk of 5.54%. Please check out JAMES HARDIE standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if JAMES HARDIE will be following its current trending patterns.
Auto-correlation | -0.6 |
Good reverse predictability
JAMES HARDIE INDUSTADR1 has good reverse predictability. Overlapping area represents the amount of predictability between JAMES HARDIE time series from 30th of December 2022 to 25th of December 2023 and 25th of December 2023 to 19th 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 JAMES HARDIE INDUSTADR1 price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current JAMES HARDIE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 9.47 |
JAMES HARDIE INDUSTADR1 lagged returns against current returns
Autocorrelation, which is JAMES HARDIE 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 JAMES HARDIE's stock expected returns. We can calculate the autocorrelation of JAMES HARDIE returns to help us make a trade decision. For example, suppose you find that JAMES HARDIE 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 |
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JAMES HARDIE 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 JAMES HARDIE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JAMES HARDIE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JAMES HARDIE stock over time.
Current vs Lagged Prices |
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JAMES HARDIE Lagged Returns
When evaluating JAMES HARDIE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JAMES HARDIE stock have on its future price. JAMES HARDIE 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, JAMES HARDIE autocorrelation shows the relationship between JAMES HARDIE stock current value and its past values and can show if there is a momentum factor associated with investing in JAMES HARDIE INDUSTADR1.
Regressed Prices |
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Currently Active Assets on Macroaxis
Other Information on Investing in JAMES Stock
JAMES HARDIE financial ratios help investors to determine whether JAMES 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 JAMES with respect to the benefits of owning JAMES HARDIE security.