Amgen (Germany) Market Value
| AMG Stock | EUR 281.80 4.55 1.59% |
| Symbol | Amgen |
Amgen '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 Amgen'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 Amgen.
| 02/26/2024 |
| 05/26/2024 |
If you would invest 0.00 in Amgen on February 26, 2024 and sell it all today you would earn a total of 0.00 from holding Amgen Inc or generate 0.0% return on investment in Amgen over 90 days. Amgen is related to or competes with AUSNUTRIA DAIRY, Charoen Pokphand, TreeHouse Foods, GEAR4MUSIC, Tyson Foods, and AIR PRODCHEMICALS. Amgen Inc. discovers, develops, manufactures, and delivers human therapeutics worldwide More
Amgen 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 Amgen'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 Amgen Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.34 | |||
| Information Ratio | 0.0479 | |||
| Maximum Drawdown | 13.94 | |||
| Value At Risk | (2.27) | |||
| Potential Upside | 2.69 |
Amgen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amgen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amgen's standard deviation. In reality, there are many statistical measures that can use Amgen historical prices to predict the future Amgen's volatility.| Risk Adjusted Performance | 0.0496 | |||
| Jensen Alpha | 0.1066 | |||
| Total Risk Alpha | 0.005 | |||
| Sortino Ratio | 0.0677 | |||
| Treynor Ratio | 0.2178 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Amgen'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.
Amgen Inc Backtested Returns
We consider Amgen very steady. Amgen Inc secures Sharpe Ratio (or Efficiency) of 0.0731, which signifies that the company had a 0.0731% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for Amgen Inc, which you can use to evaluate the volatility of the firm. Please confirm Amgen's mean deviation of 1.22, and Risk Adjusted Performance of 0.0496 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. Amgen has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.59, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Amgen's returns are expected to increase less than the market. However, during the bear market, the loss of holding Amgen is expected to be smaller as well. Amgen Inc right now shows a risk of 1.9%. Please confirm Amgen Inc semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to decide if Amgen Inc will be following its price patterns.
Auto-correlation | -0.18 |
Insignificant reverse predictability
Amgen Inc has insignificant reverse predictability. Overlapping area represents the amount of predictability between Amgen time series from 26th of February 2024 to 11th of April 2024 and 11th of April 2024 to 26th 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 Amgen Inc price movement. The serial correlation of -0.18 indicates that over 18.0% of current Amgen price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 303.78 |
Amgen Inc lagged returns against current returns
Autocorrelation, which is Amgen 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 Amgen's stock expected returns. We can calculate the autocorrelation of Amgen returns to help us make a trade decision. For example, suppose you find that Amgen 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 |
Amgen 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 Amgen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amgen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amgen stock over time.
Current vs Lagged Prices |
| Timeline |
Amgen Lagged Returns
When evaluating Amgen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amgen stock have on its future price. Amgen 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, Amgen autocorrelation shows the relationship between Amgen stock current value and its past values and can show if there is a momentum factor associated with investing in Amgen Inc.
Regressed Prices |
| Timeline |
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Check out Amgen Correlation, Amgen Volatility and Amgen Alpha and Beta module to complement your research on Amgen. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Complementary Tools for Amgen Stock analysis
When running Amgen's price analysis, check to measure Amgen'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 Amgen is operating at the current time. Most of Amgen's value examination focuses on studying past and present price action to predict the probability of Amgen's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Amgen's price. Additionally, you may evaluate how the addition of Amgen to your portfolios can decrease your overall portfolio volatility.
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Amgen 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.