KAUFMAN ET (Germany) Market Value
| 3GH Stock | EUR 32.15 0.35 1.08% |
| Symbol | KAUFMAN |
KAUFMAN ET '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 KAUFMAN ET'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 KAUFMAN ET.
| 03/08/2024 |
| 06/06/2024 |
If you would invest 0.00 in KAUFMAN ET on March 8, 2024 and sell it all today you would earn a total of 0.00 from holding KAUFMAN ET BROAD or generate 0.0% return on investment in KAUFMAN ET over 90 days. KAUFMAN ET is related to or competes with AM EAGLE, BE Semiconductor, AUST AGRICULTURAL, Daito Trust, Tower Semiconductor, NXP Semiconductors, and DAIRY FARM. More
KAUFMAN ET 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 KAUFMAN ET'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 KAUFMAN ET BROAD upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.12 | |||
| Information Ratio | 0.1982 | |||
| Maximum Drawdown | 16.29 | |||
| Value At Risk | (1.84) | |||
| Potential Upside | 3.15 |
KAUFMAN ET Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KAUFMAN ET's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KAUFMAN ET's standard deviation. In reality, there are many statistical measures that can use KAUFMAN ET historical prices to predict the future KAUFMAN ET's volatility.| Risk Adjusted Performance | 0.1415 | |||
| Jensen Alpha | 0.4579 | |||
| Total Risk Alpha | 0.3633 | |||
| Sortino Ratio | 0.2006 | |||
| Treynor Ratio | (1.74) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of KAUFMAN ET'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.
KAUFMAN ET BROAD Backtested Returns
KAUFMAN ET appears to be very steady, given 3 months investment horizon. KAUFMAN ET BROAD has Sharpe Ratio of 0.21, which conveys that the company had a 0.21% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for KAUFMAN ET, which you can use to evaluate the volatility of the entity. Please exercise KAUFMAN ET's mean deviation of 1.39, and Downside Deviation of 2.12 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, KAUFMAN ET holds a performance score of 16. The firm secures a Beta (Market Risk) of -0.26, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning KAUFMAN ET are expected to decrease at a much lower rate. During the bear market, KAUFMAN ET is likely to outperform the market. Please check KAUFMAN ET's total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether KAUFMAN ET's current price movements will revert.
Auto-correlation | 0.59 |
Modest predictability
KAUFMAN ET BROAD has modest predictability. Overlapping area represents the amount of predictability between KAUFMAN ET time series from 8th of March 2024 to 22nd of April 2024 and 22nd of April 2024 to 6th of June 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 KAUFMAN ET BROAD price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current KAUFMAN ET price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 3.76 |
KAUFMAN ET BROAD lagged returns against current returns
Autocorrelation, which is KAUFMAN ET 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 KAUFMAN ET's stock expected returns. We can calculate the autocorrelation of KAUFMAN ET returns to help us make a trade decision. For example, suppose you find that KAUFMAN ET 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 |
KAUFMAN ET 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 KAUFMAN ET stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KAUFMAN ET stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KAUFMAN ET stock over time.
Current vs Lagged Prices |
| Timeline |
KAUFMAN ET Lagged Returns
When evaluating KAUFMAN ET's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KAUFMAN ET stock have on its future price. KAUFMAN ET 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, KAUFMAN ET autocorrelation shows the relationship between KAUFMAN ET stock current value and its past values and can show if there is a momentum factor associated with investing in KAUFMAN ET BROAD.
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.Other Information on Investing in KAUFMAN Stock
KAUFMAN ET financial ratios help investors to determine whether KAUFMAN 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 KAUFMAN with respect to the benefits of owning KAUFMAN ET security.