Siemens Aktiengesellscha (Germany) Market Value
| SIE Stock | EUR 183.64 2.86 1.58% |
| Symbol | Siemens |
Siemens Aktiengesellscha '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 Aktiengesellscha'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 Aktiengesellscha.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Siemens Aktiengesellscha on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Siemens Aktiengesellschaft or generate 0.0% return on investment in Siemens Aktiengesellscha over 210 days. Siemens Aktiengesellscha is related to or competes with Perseus Mining, Lion One, AM EAGLE, ITALIAN WINE, MINCO SILVER, and Treasury Wine. Siemens Aktiengesellschaft, a technology company, focuses in the areas of automation and digitalization in Europe, Commo... More
Siemens Aktiengesellscha 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 Aktiengesellscha'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 Aktiengesellschaft upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 7.98 | |||
| Value At Risk | (2.09) | |||
| Potential Upside | 2.12 |
Siemens Aktiengesellscha Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siemens Aktiengesellscha's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siemens Aktiengesellscha's standard deviation. In reality, there are many statistical measures that can use Siemens Aktiengesellscha historical prices to predict the future Siemens Aktiengesellscha's volatility.| Risk Adjusted Performance | 0.0743 | |||
| Jensen Alpha | 0.1161 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 1.88 |
Siemens Aktiengesellscha Backtested Returns
At this point, Siemens Aktiengesellscha is very steady. Siemens Aktiengesellscha owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the firm had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Siemens Aktiengesellschaft, which you can use to evaluate the volatility of the company. Please validate Siemens Aktiengesellscha's Semi Deviation of 1.2, coefficient of variation of 1101.02, and Risk Adjusted Performance of 0.0743 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. Siemens Aktiengesellscha has a performance score of 8 on a scale of 0 to 100. The entity has a beta of 0.0664, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Siemens Aktiengesellscha's returns are expected to increase less than the market. However, during the bear market, the loss of holding Siemens Aktiengesellscha is expected to be smaller as well. Siemens Aktiengesellscha right now has a risk of 1.47%. Please validate Siemens Aktiengesellscha downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Siemens Aktiengesellscha will be following its existing price patterns.
Auto-correlation | -0.48 |
Modest reverse predictability
Siemens Aktiengesellschaft has modest reverse predictability. Overlapping area represents the amount of predictability between Siemens Aktiengesellscha time series from 6th of May 2024 to 19th of August 2024 and 19th of August 2024 to 2nd 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 Aktiengesellscha price movement. The serial correlation of -0.48 indicates that about 48.0% of current Siemens Aktiengesellscha price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 65.65 |
Siemens Aktiengesellscha lagged returns against current returns
Autocorrelation, which is Siemens Aktiengesellscha 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 Aktiengesellscha's stock expected returns. We can calculate the autocorrelation of Siemens Aktiengesellscha returns to help us make a trade decision. For example, suppose you find that Siemens Aktiengesellscha 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 Aktiengesellscha 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 Aktiengesellscha stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siemens Aktiengesellscha stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siemens Aktiengesellscha stock over time.
Current vs Lagged Prices |
| Timeline |
Siemens Aktiengesellscha Lagged Returns
When evaluating Siemens Aktiengesellscha's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siemens Aktiengesellscha stock have on its future price. Siemens Aktiengesellscha 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 Aktiengesellscha autocorrelation shows the relationship between Siemens Aktiengesellscha stock current value and its past values and can show if there is a momentum factor associated with investing in Siemens Aktiengesellschaft.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Siemens Stock
Siemens Aktiengesellscha 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 Aktiengesellscha security.