ON SEMICONDUCTOR (Germany) Market Value
| XS4 Stock | 66.87 0.66 1.00% |
| Symbol | XS4 |
ON SEMICONDUCTOR '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 ON SEMICONDUCTOR'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 ON SEMICONDUCTOR.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in ON SEMICONDUCTOR on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding ON SEMICONDUCTOR or generate 0.0% return on investment in ON SEMICONDUCTOR over 30 days. ON SEMICONDUCTOR is related to or competes with SIVERS SEMICONDUCTORS, Darden Restaurants, Reliance Steel, Q2M Managementberatu, Hyster-Yale Materials, Hastings Technology, and Meli Hotels. More
ON SEMICONDUCTOR 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 ON SEMICONDUCTOR'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 ON SEMICONDUCTOR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.6 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 13.77 | |||
| Value At Risk | (3.70) | |||
| Potential Upside | 3.67 |
ON SEMICONDUCTOR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ON SEMICONDUCTOR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ON SEMICONDUCTOR's standard deviation. In reality, there are many statistical measures that can use ON SEMICONDUCTOR historical prices to predict the future ON SEMICONDUCTOR's volatility.| Risk Adjusted Performance | 0.0269 | |||
| Jensen Alpha | 0.0369 | |||
| Total Risk Alpha | (0.32) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.3525 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ON SEMICONDUCTOR's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
ON SEMICONDUCTOR Backtested Returns
ON SEMICONDUCTOR retains Efficiency (Sharpe Ratio) of -0.0193, which implies the firm had a -0.0193% return per unit of price deviation over the last 3 months. ON SEMICONDUCTOR exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check ON SEMICONDUCTOR's market risk adjusted performance of 0.3625, and Standard Deviation of 2.49 to confirm the risk estimate we provide. The company owns a Beta (Systematic Risk) of 0.16, which implies not very significant fluctuations relative to the market. As returns on the market increase, ON SEMICONDUCTOR's returns are expected to increase less than the market. However, during the bear market, the loss of holding ON SEMICONDUCTOR is expected to be smaller as well. At this point, ON SEMICONDUCTOR has a negative expected return of -0.0469%. Please make sure to check ON SEMICONDUCTOR's treynor ratio, expected short fall, and the relationship between the jensen alpha and potential upside , to decide if ON SEMICONDUCTOR performance from the past will be repeated sooner or later.
Auto-correlation | 0.18 |
Very weak predictability
ON SEMICONDUCTOR has very weak predictability. Overlapping area represents the amount of predictability between ON SEMICONDUCTOR time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 ON SEMICONDUCTOR price movement. The serial correlation of 0.18 indicates that over 18.0% of current ON SEMICONDUCTOR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 4.05 |
ON SEMICONDUCTOR lagged returns against current returns
Autocorrelation, which is ON SEMICONDUCTOR 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 ON SEMICONDUCTOR's stock expected returns. We can calculate the autocorrelation of ON SEMICONDUCTOR returns to help us make a trade decision. For example, suppose you find that ON SEMICONDUCTOR 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 |
ON SEMICONDUCTOR 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 ON SEMICONDUCTOR stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ON SEMICONDUCTOR stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ON SEMICONDUCTOR stock over time.
Current vs Lagged Prices |
| Timeline |
ON SEMICONDUCTOR Lagged Returns
When evaluating ON SEMICONDUCTOR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ON SEMICONDUCTOR stock have on its future price. ON SEMICONDUCTOR 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, ON SEMICONDUCTOR autocorrelation shows the relationship between ON SEMICONDUCTOR stock current value and its past values and can show if there is a momentum factor associated with investing in ON SEMICONDUCTOR.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for XS4 Stock Analysis
When running ON SEMICONDUCTOR's price analysis, check to measure ON SEMICONDUCTOR's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ON SEMICONDUCTOR is operating at the current time. Most of ON SEMICONDUCTOR's value examination focuses on studying past and present price action to predict the probability of ON SEMICONDUCTOR's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ON SEMICONDUCTOR's price. Additionally, you may evaluate how the addition of ON SEMICONDUCTOR to your portfolios can decrease your overall portfolio volatility.