HM HENMAUUNSPADR (Germany) Market Value
| HMSA Stock | EUR 2.54 0.02 0.78% |
| Symbol | HMSA |
HM HENMAUUNSPADR '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 HM HENMAUUNSPADR'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 HM HENMAUUNSPADR.
| 11/22/2024 |
| 12/22/2024 |
If you would invest 0.00 in HM HENMAUUNSPADR on November 22, 2024 and sell it all today you would earn a total of 0.00 from holding HM HENMAUUNSPADR 15 or generate 0.0% return on investment in HM HENMAUUNSPADR over 30 days. HM HENMAUUNSPADR is related to or competes with H M, H M, Moncler SpA, VF, Ralph Lauren, and Levi Strauss. H M Hennes Mauritz AB provides clothing, accessories, footwear, cosmetics, home textiles, and homeware for women, men, t... More
HM HENMAUUNSPADR 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 HM HENMAUUNSPADR'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 HM HENMAUUNSPADR 15 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 10.27 | |||
| Value At Risk | (2.99) | |||
| Potential Upside | 3.13 |
HM HENMAUUNSPADR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for HM HENMAUUNSPADR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as HM HENMAUUNSPADR's standard deviation. In reality, there are many statistical measures that can use HM HENMAUUNSPADR historical prices to predict the future HM HENMAUUNSPADR's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.27) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | (1.86) |
HM HENMAUUNSPADR Backtested Returns
HM HENMAUUNSPADR retains Efficiency (Sharpe Ratio) of -0.14, which attests that the entity had a -0.14% return per unit of price deviation over the last 3 months. HM HENMAUUNSPADR exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out HM HENMAUUNSPADR's Market Risk Adjusted Performance of (1.85), coefficient of variation of (776.80), and Information Ratio of (0.14) to validate the risk estimate we provide. The company owns a Beta (Systematic Risk) of 0.14, which attests to not very significant fluctuations relative to the market. As returns on the market increase, HM HENMAUUNSPADR's returns are expected to increase less than the market. However, during the bear market, the loss of holding HM HENMAUUNSPADR is expected to be smaller as well. At this point, HM HENMAUUNSPADR has a negative expected return of -0.28%. Please make sure to check out HM HENMAUUNSPADR's standard deviation, jensen alpha, and the relationship between the coefficient of variation and information ratio , to decide if HM HENMAUUNSPADR performance from the past will be repeated sooner or later.
Auto-correlation | -0.6 |
Good reverse predictability
HM HENMAUUNSPADR 15 has good reverse predictability. Overlapping area represents the amount of predictability between HM HENMAUUNSPADR time series from 22nd of November 2024 to 7th of December 2024 and 7th of December 2024 to 22nd 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 HM HENMAUUNSPADR price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current HM HENMAUUNSPADR price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
HM HENMAUUNSPADR lagged returns against current returns
Autocorrelation, which is HM HENMAUUNSPADR 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 HM HENMAUUNSPADR's stock expected returns. We can calculate the autocorrelation of HM HENMAUUNSPADR returns to help us make a trade decision. For example, suppose you find that HM HENMAUUNSPADR 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 |
HM HENMAUUNSPADR 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 HM HENMAUUNSPADR stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if HM HENMAUUNSPADR stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in HM HENMAUUNSPADR stock over time.
Current vs Lagged Prices |
| Timeline |
HM HENMAUUNSPADR Lagged Returns
When evaluating HM HENMAUUNSPADR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of HM HENMAUUNSPADR stock have on its future price. HM HENMAUUNSPADR 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, HM HENMAUUNSPADR autocorrelation shows the relationship between HM HENMAUUNSPADR stock current value and its past values and can show if there is a momentum factor associated with investing in HM HENMAUUNSPADR 15.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in HMSA Stock
HM HENMAUUNSPADR financial ratios help investors to determine whether HMSA 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 HMSA with respect to the benefits of owning HM HENMAUUNSPADR security.