Biogen (Germany) Market Value
| IDP Stock | EUR 187.30 4.30 2.35% |
| Symbol | Biogen |
Biogen '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 Biogen'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 Biogen.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Biogen on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Biogen Inc or generate 0.0% return on investment in Biogen over 30 days. Biogen is related to or competes with Johnson Johnson, and ASTELLAS PHARMA. Biogen Inc. discovers, develops, manufactures, and delivers therapies for treating neurological and neurodegenerative di... More
Biogen 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 Biogen'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 Biogen Inc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 7.48 | |||
| Value At Risk | (2.24) | |||
| Potential Upside | 2.25 |
Biogen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Biogen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Biogen's standard deviation. In reality, there are many statistical measures that can use Biogen historical prices to predict the future Biogen's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.25) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | 0.6505 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Biogen'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.
Biogen Inc Backtested Returns
Biogen Inc secures Sharpe Ratio (or Efficiency) of -0.21, which signifies that the company had a -0.21% return per unit of risk over the last 3 months. Biogen Inc exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Biogen's Risk Adjusted Performance of (0.11), standard deviation of 1.37, and Mean Deviation of 1.04 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Biogen are expected to decrease at a much lower rate. During the bear market, Biogen is likely to outperform the market. Biogen Inc has an expected return of -0.3%. Please make sure to confirm Biogen Inc maximum drawdown, kurtosis, day median price, as well as the relationship between the potential upside and daily balance of power , to decide if Biogen Inc performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.51 |
Modest predictability
Biogen Inc has modest predictability. Overlapping area represents the amount of predictability between Biogen time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Biogen Inc price movement. The serial correlation of 0.51 indicates that about 51.0% of current Biogen price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 3.49 |
Biogen Inc lagged returns against current returns
Autocorrelation, which is Biogen 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 Biogen's stock expected returns. We can calculate the autocorrelation of Biogen returns to help us make a trade decision. For example, suppose you find that Biogen 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 |
Biogen 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 Biogen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Biogen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Biogen stock over time.
Current vs Lagged Prices |
| Timeline |
Biogen Lagged Returns
When evaluating Biogen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Biogen stock have on its future price. Biogen 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, Biogen autocorrelation shows the relationship between Biogen stock current value and its past values and can show if there is a momentum factor associated with investing in Biogen Inc.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Biogen in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Biogen's short interest history, or implied volatility extrapolated from Biogen options trading.
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Complementary Tools for Biogen Stock analysis
When running Biogen's price analysis, check to measure Biogen'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 Biogen is operating at the current time. Most of Biogen's value examination focuses on studying past and present price action to predict the probability of Biogen's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Biogen's price. Additionally, you may evaluate how the addition of Biogen to your portfolios can decrease your overall portfolio volatility.
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Biogen 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.