HANOVER INSURANCE (Germany) Market Value
| AF4 Stock | EUR 123.00 1.00 0.82% |
| Symbol | HANOVER |
HANOVER INSURANCE '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 HANOVER INSURANCE'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 HANOVER INSURANCE.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in HANOVER INSURANCE on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding HANOVER INSURANCE or generate 0.0% return on investment in HANOVER INSURANCE over 30 days. HANOVER INSURANCE is related to or competes with Gamma Communications, Cogent Communications, PICKN PAY, Citic Telecom, CITIC Telecom, and Qurate Retail. More
HANOVER INSURANCE 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 HANOVER INSURANCE'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 HANOVER INSURANCE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.51 | |||
| Information Ratio | 0.0293 | |||
| Maximum Drawdown | 5.13 | |||
| Value At Risk | (1.71) | |||
| Potential Upside | 2.54 |
HANOVER INSURANCE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for HANOVER INSURANCE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as HANOVER INSURANCE's standard deviation. In reality, there are many statistical measures that can use HANOVER INSURANCE historical prices to predict the future HANOVER INSURANCE's volatility.| Risk Adjusted Performance | 0.0674 | |||
| Jensen Alpha | 0.1132 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0264 | |||
| Treynor Ratio | 0.8882 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of HANOVER INSURANCE'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.
HANOVER INSURANCE Backtested Returns
We consider HANOVER INSURANCE very steady. HANOVER INSURANCE holds Efficiency (Sharpe) Ratio of 0.0555, which attests that the company had a 0.0555% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for HANOVER INSURANCE, which you can use to evaluate the volatility of the entity. Please check out HANOVER INSURANCE's semi deviation of 0.9864, and Market Risk Adjusted Performance of 0.8982 to validate if the risk estimate we provide is consistent with the expected return of 0.0737%. HANOVER INSURANCE has a performance score of 4 on a scale of 0 to 100. The firm retains a Market Volatility (i.e., Beta) of 0.14, which attests to not very significant fluctuations relative to the market. As returns on the market increase, HANOVER INSURANCE's returns are expected to increase less than the market. However, during the bear market, the loss of holding HANOVER INSURANCE is expected to be smaller as well. HANOVER INSURANCE at this time retains a risk of 1.33%. Please check out HANOVER INSURANCE coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the information ratio and total risk alpha , to decide if HANOVER INSURANCE will be following its current trending patterns.
Auto-correlation | 0.06 |
Virtually no predictability
HANOVER INSURANCE has virtually no predictability. Overlapping area represents the amount of predictability between HANOVER INSURANCE time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 HANOVER INSURANCE price movement. The serial correlation of 0.06 indicates that barely 6.0% of current HANOVER INSURANCE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 3.65 |
HANOVER INSURANCE lagged returns against current returns
Autocorrelation, which is HANOVER INSURANCE 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 HANOVER INSURANCE's stock expected returns. We can calculate the autocorrelation of HANOVER INSURANCE returns to help us make a trade decision. For example, suppose you find that HANOVER INSURANCE 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 |
HANOVER INSURANCE 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 HANOVER INSURANCE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if HANOVER INSURANCE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in HANOVER INSURANCE stock over time.
Current vs Lagged Prices |
| Timeline |
HANOVER INSURANCE Lagged Returns
When evaluating HANOVER INSURANCE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of HANOVER INSURANCE stock have on its future price. HANOVER INSURANCE 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, HANOVER INSURANCE autocorrelation shows the relationship between HANOVER INSURANCE stock current value and its past values and can show if there is a momentum factor associated with investing in HANOVER INSURANCE.
Regressed Prices |
| Timeline |
Pair Trading with HANOVER INSURANCE
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if HANOVER INSURANCE position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in HANOVER INSURANCE will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to HANOVER INSURANCE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace HANOVER INSURANCE when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back HANOVER INSURANCE - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling HANOVER INSURANCE to buy it.
The correlation of HANOVER INSURANCE is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as HANOVER INSURANCE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if HANOVER INSURANCE moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for HANOVER INSURANCE can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out HANOVER INSURANCE Correlation, HANOVER INSURANCE Volatility and HANOVER INSURANCE Alpha and Beta module to complement your research on HANOVER INSURANCE. Note that the HANOVER INSURANCE information on this page should be used as a complementary analysis to other HANOVER INSURANCE's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Bonds Directory module to find actively traded corporate debentures issued by US companies.
Complementary Tools for HANOVER Stock analysis
When running HANOVER INSURANCE's price analysis, check to measure HANOVER INSURANCE'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 HANOVER INSURANCE is operating at the current time. Most of HANOVER INSURANCE's value examination focuses on studying past and present price action to predict the probability of HANOVER INSURANCE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move HANOVER INSURANCE's price. Additionally, you may evaluate how the addition of HANOVER INSURANCE to your portfolios can decrease your overall portfolio volatility.
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HANOVER INSURANCE technical stock 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, stock market cycles, or different charting patterns.