Knorr Bremse Aktiengesellschaft Stock Market Value
| KNRRY Stock | USD 18.66 0.13 0.70% |
| Symbol | Knorr |
Knorr Bremse '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 Knorr Bremse's pink sheet 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 Knorr Bremse.
| 03/30/2024 |
| 04/29/2024 |
If you would invest 0.00 in Knorr Bremse on March 30, 2024 and sell it all today you would earn a total of 0.00 from holding Knorr Bremse Aktiengesellschaft or generate 0.0% return on investment in Knorr Bremse over 30 days. Knorr Bremse is related to or competes with Continental, Douglas Dynamics, Hyliion Holdings, BorgWarner, American Axle, and Magna International. Knorr-Bremse Aktiengesellschaft develops, produces, markets, and services braking and other systems for rail and commerc... More
Knorr Bremse 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 Knorr Bremse's pink sheet 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 Knorr Bremse Aktiengesellschaft upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.19 | |||
| Information Ratio | 0.1279 | |||
| Maximum Drawdown | 9.39 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 2.41 |
Knorr Bremse Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Knorr Bremse's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Knorr Bremse's standard deviation. In reality, there are many statistical measures that can use Knorr Bremse historical prices to predict the future Knorr Bremse's volatility.| Risk Adjusted Performance | 0.1209 | |||
| Jensen Alpha | 0.1765 | |||
| Total Risk Alpha | 0.0808 | |||
| Sortino Ratio | 0.1707 | |||
| Treynor Ratio | 0.2106 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Knorr Bremse'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.
Knorr Bremse Aktieng Backtested Returns
Knorr Bremse appears to be very steady, given 3 months investment horizon. Knorr Bremse Aktieng has Sharpe Ratio of 0.18, which conveys that the firm had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Knorr Bremse, which you can use to evaluate the volatility of the firm. Please exercise Knorr Bremse's Downside Deviation of 1.19, mean deviation of 1.13, and Risk Adjusted Performance of 0.1209 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Knorr Bremse holds a performance score of 14. The company secures a Beta (Market Risk) of 1.34, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Knorr Bremse will likely underperform. Please check Knorr Bremse's value at risk, as well as the relationship between the kurtosis and market facilitation index , to make a quick decision on whether Knorr Bremse's current price movements will revert.
Auto-correlation | -0.54 |
Good reverse predictability
Knorr Bremse Aktiengesellschaft has good reverse predictability. Overlapping area represents the amount of predictability between Knorr Bremse time series from 30th of March 2024 to 14th of April 2024 and 14th of April 2024 to 29th of April 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 Knorr Bremse Aktieng price movement. The serial correlation of -0.54 indicates that about 54.0% of current Knorr Bremse price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Knorr Bremse Aktieng lagged returns against current returns
Autocorrelation, which is Knorr Bremse pink sheet'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 Knorr Bremse's pink sheet expected returns. We can calculate the autocorrelation of Knorr Bremse returns to help us make a trade decision. For example, suppose you find that Knorr Bremse has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Knorr Bremse 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 Knorr Bremse pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Knorr Bremse pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Knorr Bremse pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Knorr Bremse Lagged Returns
When evaluating Knorr Bremse's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Knorr Bremse pink sheet have on its future price. Knorr Bremse 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, Knorr Bremse autocorrelation shows the relationship between Knorr Bremse pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Knorr Bremse Aktiengesellschaft.
Regressed Prices |
| Timeline |
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Complementary Tools for Knorr Pink Sheet analysis
When running Knorr Bremse's price analysis, check to measure Knorr Bremse'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 Knorr Bremse is operating at the current time. Most of Knorr Bremse's value examination focuses on studying past and present price action to predict the probability of Knorr Bremse's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Knorr Bremse's price. Additionally, you may evaluate how the addition of Knorr Bremse to your portfolios can decrease your overall portfolio volatility.
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Knorr Bremse technical pink sheet analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, pink sheet market cycles, or different charting patterns.