AURUBIS AG (Germany) Market Value
| NDA1 Stock | EUR 37.40 0.80 2.09% |
| Symbol | AURUBIS |
AURUBIS AG '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 AURUBIS AG'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 AURUBIS AG.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in AURUBIS AG on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding AURUBIS AG UNSPADR or generate 0.0% return on investment in AURUBIS AG over 30 days. AURUBIS AG is related to or competes with Suntory Beverage, UNIVERSAL MUSIC, MOLSON RS, Air Lease, ALBIS LEASING, GEAR4MUSIC, and Warner Music. It processes complex metal concentrates, scrap metals, and organic and inorganic metal-bearing recycling materials, and ... More
AURUBIS AG 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 AURUBIS AG'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 AURUBIS AG UNSPADR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.52 | |||
| Information Ratio | 0.0618 | |||
| Maximum Drawdown | 14.73 | |||
| Value At Risk | (3.08) | |||
| Potential Upside | 5.44 |
AURUBIS AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AURUBIS AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AURUBIS AG's standard deviation. In reality, there are many statistical measures that can use AURUBIS AG historical prices to predict the future AURUBIS AG's volatility.| Risk Adjusted Performance | 0.0649 | |||
| Jensen Alpha | 0.2021 | |||
| Total Risk Alpha | 0.1221 | |||
| Sortino Ratio | 0.0519 | |||
| Treynor Ratio | 1.66 |
AURUBIS AG UNSPADR Backtested Returns
AURUBIS AG appears to be very steady, given 3 months investment horizon. AURUBIS AG UNSPADR secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the company had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for AURUBIS AG UNSPADR, which you can use to evaluate the volatility of the firm. Please makes use of AURUBIS AG's mean deviation of 1.73, and Risk Adjusted Performance of 0.0649 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AURUBIS AG holds a performance score of 12. The firm shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AURUBIS AG's returns are expected to increase less than the market. However, during the bear market, the loss of holding AURUBIS AG is expected to be smaller as well. Please check AURUBIS AG's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether AURUBIS AG's price patterns will revert.
Auto-correlation | -0.62 |
Very good reverse predictability
AURUBIS AG UNSPADR has very good reverse predictability. Overlapping area represents the amount of predictability between AURUBIS AG time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd 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 AURUBIS AG UNSPADR price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current AURUBIS AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 1.81 |
AURUBIS AG UNSPADR lagged returns against current returns
Autocorrelation, which is AURUBIS AG 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 AURUBIS AG's stock expected returns. We can calculate the autocorrelation of AURUBIS AG returns to help us make a trade decision. For example, suppose you find that AURUBIS AG 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 |
AURUBIS AG 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 AURUBIS AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AURUBIS AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AURUBIS AG stock over time.
Current vs Lagged Prices |
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AURUBIS AG Lagged Returns
When evaluating AURUBIS AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AURUBIS AG stock have on its future price. AURUBIS AG 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, AURUBIS AG autocorrelation shows the relationship between AURUBIS AG stock current value and its past values and can show if there is a momentum factor associated with investing in AURUBIS AG UNSPADR.
Regressed Prices |
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Currently Active Assets on Macroaxis
Other Information on Investing in AURUBIS Stock
AURUBIS AG financial ratios help investors to determine whether AURUBIS 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 AURUBIS with respect to the benefits of owning AURUBIS AG security.