Wacker Neuson (Germany) Market Value
| WAC Stock | EUR 16.88 0.10 0.59% |
| Symbol | Wacker |
Wacker Neuson '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 Wacker Neuson'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 Wacker Neuson.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Wacker Neuson on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Wacker Neuson SE or generate 0.0% return on investment in Wacker Neuson over 30 days. Wacker Neuson is related to or competes with BOVIS HOMES, Autohome ADR, Tradeweb Markets, Neinor Homes, DFS Furniture, KB HOME, and Taylor Morrison. More
Wacker Neuson 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 Wacker Neuson'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 Wacker Neuson SE upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 5.6 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 1.7 |
Wacker Neuson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wacker Neuson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wacker Neuson's standard deviation. In reality, there are many statistical measures that can use Wacker Neuson historical prices to predict the future Wacker Neuson's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.21) | |||
| Treynor Ratio | 0.1435 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wacker Neuson'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.
Wacker Neuson SE Backtested Returns
Wacker Neuson SE shows Sharpe Ratio of -0.0445, which attests that the company had a -0.0445% return per unit of risk over the last 3 months. Wacker Neuson SE exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Wacker Neuson's Standard Deviation of 1.26, market risk adjusted performance of 0.1535, and Mean Deviation of 1.01 to validate the risk estimate we provide. The firm maintains a market beta of -0.46, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Wacker Neuson are expected to decrease at a much lower rate. During the bear market, Wacker Neuson is likely to outperform the market. Wacker Neuson SE has an expected return of -0.0563%. Please make sure to check out Wacker Neuson SE jensen alpha, treynor ratio, and the relationship between the information ratio and total risk alpha , to decide if Wacker Neuson SE performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.16 |
Insignificant reverse predictability
Wacker Neuson SE has insignificant reverse predictability. Overlapping area represents the amount of predictability between Wacker Neuson time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Wacker Neuson SE price movement. The serial correlation of -0.16 indicates that over 16.0% of current Wacker Neuson price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Wacker Neuson SE lagged returns against current returns
Autocorrelation, which is Wacker Neuson 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 Wacker Neuson's stock expected returns. We can calculate the autocorrelation of Wacker Neuson returns to help us make a trade decision. For example, suppose you find that Wacker Neuson 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 |
Wacker Neuson 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 Wacker Neuson stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wacker Neuson stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wacker Neuson stock over time.
Current vs Lagged Prices |
| Timeline |
Wacker Neuson Lagged Returns
When evaluating Wacker Neuson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wacker Neuson stock have on its future price. Wacker Neuson 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, Wacker Neuson autocorrelation shows the relationship between Wacker Neuson stock current value and its past values and can show if there is a momentum factor associated with investing in Wacker Neuson SE.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Wacker Neuson Correlation, Wacker Neuson Volatility and Wacker Neuson Alpha and Beta module to complement your research on Wacker Neuson. Note that the Wacker Neuson SE information on this page should be used as a complementary analysis to other Wacker Neuson'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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
Complementary Tools for Wacker Stock analysis
When running Wacker Neuson's price analysis, check to measure Wacker Neuson'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 Wacker Neuson is operating at the current time. Most of Wacker Neuson's value examination focuses on studying past and present price action to predict the probability of Wacker Neuson's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Wacker Neuson's price. Additionally, you may evaluate how the addition of Wacker Neuson to your portfolios can decrease your overall portfolio volatility.
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Wacker Neuson 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.