SIEMENS HEALTH (Germany) Market Value
| SHL1 Stock | EUR 25.20 0.80 3.08% |
| Symbol | SIEMENS |
SIEMENS HEALTH '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 SIEMENS HEALTH'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 SIEMENS HEALTH.
| 09/11/2024 |
| 12/10/2024 |
If you would invest 0.00 in SIEMENS HEALTH on September 11, 2024 and sell it all today you would earn a total of 0.00 from holding SIEMENS HEALTH ADR050 or generate 0.0% return on investment in SIEMENS HEALTH over 90 days. SIEMENS HEALTH is related to or competes with Datang International, CDN IMPERIAL, Pure Storage, Public Storage, REVO INSURANCE, DATAGROUP, and JSC Halyk. Siemens Healthineers AG, through its subsidiaries, develops, manufactures, and distributes imaging, diagnostic, and adva... More
SIEMENS HEALTH 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 SIEMENS HEALTH'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 SIEMENS HEALTH ADR050 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.05 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 11.23 | |||
| Value At Risk | (3.17) | |||
| Potential Upside | 3.97 |
SIEMENS HEALTH Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIEMENS HEALTH's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIEMENS HEALTH's standard deviation. In reality, there are many statistical measures that can use SIEMENS HEALTH historical prices to predict the future SIEMENS HEALTH's volatility.| Risk Adjusted Performance | 0.0266 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1006 |
SIEMENS HEALTH ADR050 Backtested Returns
At this point, SIEMENS HEALTH is very steady. SIEMENS HEALTH ADR050 owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0275, which indicates the firm had a 0.0275% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for SIEMENS HEALTH ADR050, which you can use to evaluate the volatility of the company. Please validate SIEMENS HEALTH's risk adjusted performance of 0.0266, and Coefficient Of Variation of 3640.72 to confirm if the risk estimate we provide is consistent with the expected return of 0.0611%. SIEMENS HEALTH has a performance score of 2 on a scale of 0 to 100. The entity has a beta of 0.51, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SIEMENS HEALTH's returns are expected to increase less than the market. However, during the bear market, the loss of holding SIEMENS HEALTH is expected to be smaller as well. SIEMENS HEALTH ADR050 currently has a risk of 2.22%. Please validate SIEMENS HEALTH information ratio, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if SIEMENS HEALTH will be following its existing price patterns.
Auto-correlation | 0.05 |
Virtually no predictability
SIEMENS HEALTH ADR050 has virtually no predictability. Overlapping area represents the amount of predictability between SIEMENS HEALTH time series from 11th of September 2024 to 26th of October 2024 and 26th of October 2024 to 10th 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 SIEMENS HEALTH ADR050 price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current SIEMENS HEALTH price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.48 |
SIEMENS HEALTH ADR050 lagged returns against current returns
Autocorrelation, which is SIEMENS HEALTH 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 SIEMENS HEALTH's stock expected returns. We can calculate the autocorrelation of SIEMENS HEALTH returns to help us make a trade decision. For example, suppose you find that SIEMENS HEALTH 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 |
SIEMENS HEALTH 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 SIEMENS HEALTH stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIEMENS HEALTH stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIEMENS HEALTH stock over time.
Current vs Lagged Prices |
| Timeline |
SIEMENS HEALTH Lagged Returns
When evaluating SIEMENS HEALTH's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIEMENS HEALTH stock have on its future price. SIEMENS HEALTH 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, SIEMENS HEALTH autocorrelation shows the relationship between SIEMENS HEALTH stock current value and its past values and can show if there is a momentum factor associated with investing in SIEMENS HEALTH ADR050.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SIEMENS Stock
SIEMENS HEALTH financial ratios help investors to determine whether SIEMENS 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 SIEMENS with respect to the benefits of owning SIEMENS HEALTH security.