Roche Holding (Mexico) Market Value
| ROGN Stock | MXN 4,485 302.29 7.23% |
| Symbol | Roche |
Roche Holding '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 Roche Holding'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 Roche Holding.
| 02/24/2024 |
| 05/24/2024 |
If you would invest 0.00 in Roche Holding on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Roche Holding AG or generate 0.0% return on investment in Roche Holding over 90 days. Roche Holding is related to or competes with Amgen, Sanofi, Select Sector, Promotora, SPDR Series, and IShares Trust. Roche Holding AG engages in the diagnostics and prescription pharmaceuticals businesses in Switzerland, Germany, and int... More
Roche Holding 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 Roche Holding'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 Roche Holding AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.44 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 12.14 | |||
| Value At Risk | (2.98) | |||
| Potential Upside | 3.39 |
Roche Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Roche Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Roche Holding's standard deviation. In reality, there are many statistical measures that can use Roche Holding historical prices to predict the future Roche Holding's volatility.| Risk Adjusted Performance | 0.0161 | |||
| Jensen Alpha | 0.0068 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0723 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Roche Holding'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.
Roche Holding AG Backtested Returns
We consider Roche Holding very steady. Roche Holding AG maintains Sharpe Ratio (i.e., Efficiency) of 0.0493, which implies the firm had a 0.0493% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Roche Holding AG, which you can use to evaluate the volatility of the company. Please check Roche Holding's Risk Adjusted Performance of 0.0161, semi deviation of 1.46, and Coefficient Of Variation of 6473.5 to confirm if the risk estimate we provide is consistent with the expected return of 0.0968%. Roche Holding has a performance score of 3 on a scale of 0 to 100. The company holds a Beta of 0.27, which implies not very significant fluctuations relative to the market. As returns on the market increase, Roche Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Roche Holding is expected to be smaller as well. Roche Holding AG right now holds a risk of 1.96%. Please check Roche Holding AG semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to decide if Roche Holding AG will be following its historical price patterns.
Auto-correlation | -0.45 |
Modest reverse predictability
Roche Holding AG has modest reverse predictability. Overlapping area represents the amount of predictability between Roche Holding time series from 24th of February 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Roche Holding AG price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Roche Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.45 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 8827.49 |
Roche Holding AG lagged returns against current returns
Autocorrelation, which is Roche Holding 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 Roche Holding's stock expected returns. We can calculate the autocorrelation of Roche Holding returns to help us make a trade decision. For example, suppose you find that Roche Holding 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 |
Roche Holding 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 Roche Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Roche Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Roche Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Roche Holding Lagged Returns
When evaluating Roche Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Roche Holding stock have on its future price. Roche Holding 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, Roche Holding autocorrelation shows the relationship between Roche Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Roche Holding AG.
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.| MSFT | Microsoft | |
| GM | General Motors | |
| CRM | Salesforce |
Check out Roche Holding Correlation, Roche Holding Volatility and Roche Holding Alpha and Beta module to complement your research on Roche Holding. You can also try the Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Complementary Tools for Roche Stock analysis
When running Roche Holding's price analysis, check to measure Roche Holding'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 Roche Holding is operating at the current time. Most of Roche Holding's value examination focuses on studying past and present price action to predict the probability of Roche Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Roche Holding's price. Additionally, you may evaluate how the addition of Roche Holding to your portfolios can decrease your overall portfolio volatility.
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas |
Roche Holding 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.