Daimler Truck Holding Stock Market Value
| DTGHF Stock | USD 46.81 1.06 2.21% |
| Symbol | Daimler |
Daimler Truck '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 Daimler Truck'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 Daimler Truck.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Daimler Truck on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Daimler Truck Holding or generate 0.0% return on investment in Daimler Truck over 30 days. Daimler Truck is related to or competes with AmeraMex International, Arts Way, Astec Industries, Alamo, Buhler Industries, Ag Growth, and Textainer Group. Daimler Truck Holding AG manufactures and sells medium- and heavy-duty trucks and buses in Europe, North America, Asia, ... More
Daimler Truck 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 Daimler Truck'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 Daimler Truck Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.69 | |||
| Information Ratio | 0.154 | |||
| Maximum Drawdown | 19.57 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 3.67 |
Daimler Truck Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Daimler Truck's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Daimler Truck's standard deviation. In reality, there are many statistical measures that can use Daimler Truck historical prices to predict the future Daimler Truck's volatility.| Risk Adjusted Performance | 0.1182 | |||
| Jensen Alpha | 0.4138 | |||
| Total Risk Alpha | 0.2566 | |||
| Sortino Ratio | 0.2357 | |||
| Treynor Ratio | 0.6947 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Daimler Truck'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.
Daimler Truck Holding Backtested Returns
Daimler Truck appears to be very steady, given 3 months investment horizon. Daimler Truck Holding secures Sharpe Ratio (or Efficiency) of 0.22, which denotes the company had a 0.22% return per unit of risk over the last 3 months. By reviewing Daimler Truck's technical indicators, you can evaluate if the expected return of 0.56% is justified by implied risk. Please utilize Daimler Truck's Mean Deviation of 1.44, coefficient of variation of 569.95, and Downside Deviation of 1.69 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Daimler Truck holds a performance score of 16. The firm shows a Beta (market volatility) of 0.64, which means possible diversification benefits within a given portfolio. As returns on the market increase, Daimler Truck's returns are expected to increase less than the market. However, during the bear market, the loss of holding Daimler Truck is expected to be smaller as well. Please check Daimler Truck's information ratio, value at risk, kurtosis, as well as the relationship between the sortino ratio and semi variance , to make a quick decision on whether Daimler Truck's price patterns will revert.
Auto-correlation | 0.71 |
Good predictability
Daimler Truck Holding has good predictability. Overlapping area represents the amount of predictability between Daimler Truck 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 Daimler Truck Holding price movement. The serial correlation of 0.71 indicates that around 71.0% of current Daimler Truck price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 1.38 |
Daimler Truck Holding lagged returns against current returns
Autocorrelation, which is Daimler Truck 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 Daimler Truck's pink sheet expected returns. We can calculate the autocorrelation of Daimler Truck returns to help us make a trade decision. For example, suppose you find that Daimler Truck 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 |
Daimler Truck 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 Daimler Truck pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Daimler Truck pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Daimler Truck pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Daimler Truck Lagged Returns
When evaluating Daimler Truck's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Daimler Truck pink sheet have on its future price. Daimler Truck 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, Daimler Truck autocorrelation shows the relationship between Daimler Truck pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Daimler Truck Holding.
Regressed Prices |
| Timeline |
Pair Trading with Daimler Truck
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 Daimler Truck 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 Daimler Truck will appreciate offsetting losses from the drop in the long position's value.Moving together with Daimler Pink Sheet
| 0.92 | CAT | Caterpillar Earnings Call This Week | PairCorr |
| 0.94 | PCAR | PACCAR Inc Report 23rd of April 2024 | PairCorr |
| 0.95 | VLVLY | Volvo AB ADR | PairCorr |
| 0.93 | VOLVF | Volvo AB ser | PairCorr |
Moving against Daimler Pink Sheet
| 0.87 | ZTLLF | Zonetail | PairCorr |
| 0.56 | GLABF | Gemina Laboratories | PairCorr |
The ability to find closely correlated positions to Daimler Truck could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Daimler Truck 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 Daimler Truck - 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 Daimler Truck Holding to buy it.
The correlation of Daimler Truck 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 Daimler Truck moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Daimler Truck Holding 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 Daimler Truck 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 Daimler Truck Correlation, Daimler Truck Volatility and Daimler Truck Alpha and Beta module to complement your research on Daimler Truck. Note that the Daimler Truck Holding information on this page should be used as a complementary analysis to other Daimler Truck'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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
Complementary Tools for Daimler Pink Sheet analysis
When running Daimler Truck's price analysis, check to measure Daimler Truck'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 Daimler Truck is operating at the current time. Most of Daimler Truck's value examination focuses on studying past and present price action to predict the probability of Daimler Truck's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Daimler Truck's price. Additionally, you may evaluate how the addition of Daimler Truck to your portfolios can decrease your overall portfolio volatility.
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Daimler Truck 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.