HUMANA INC Market Value
| 444859BR2 | 84.12 5.44 6.91% |
| Symbol | HUMANA |
HUMANA '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 HUMANA's bond 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 HUMANA.
| 04/12/2024 |
| 05/12/2024 |
If you would invest 0.00 in HUMANA on April 12, 2024 and sell it all today you would earn a total of 0.00 from holding HUMANA INC or generate 0.0% return on investment in HUMANA over 30 days. HUMANA is related to or competes with Caterpillar, Dupont De, Procter Gamble, ATT, Intel, Pfizer, and Walmart. More
HUMANA 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 HUMANA's bond 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 HUMANA INC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | 0.0462 | |||
| Maximum Drawdown | 8.02 | |||
| Value At Risk | (0.97) | |||
| Potential Upside | 1.73 |
HUMANA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for HUMANA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as HUMANA's standard deviation. In reality, there are many statistical measures that can use HUMANA historical prices to predict the future HUMANA's volatility.| Risk Adjusted Performance | 0.0691 | |||
| Jensen Alpha | 0.149 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0518 | |||
| Treynor Ratio | (1.37) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of HUMANA'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.
HUMANA INC Backtested Returns
We consider HUMANA very steady. HUMANA INC holds Efficiency (Sharpe) Ratio of 0.0052, which attests that the entity had a 0.0052% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for HUMANA INC, which you can use to evaluate the volatility of the entity. Please check out HUMANA's Semi Deviation of 1.05, risk adjusted performance of 0.0691, and Market Risk Adjusted Performance of (1.36) to validate if the risk estimate we provide is consistent with the expected return of 0.0063%. The bond retains a Market Volatility (i.e., Beta) of -0.1, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning HUMANA are expected to decrease at a much lower rate. During the bear market, HUMANA is likely to outperform the market.
Auto-correlation | 0.54 |
Modest predictability
HUMANA INC has modest predictability. Overlapping area represents the amount of predictability between HUMANA time series from 12th of April 2024 to 27th of April 2024 and 27th of April 2024 to 12th 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 HUMANA INC price movement. The serial correlation of 0.54 indicates that about 54.0% of current HUMANA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
HUMANA INC lagged returns against current returns
Autocorrelation, which is HUMANA bond'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 HUMANA's bond expected returns. We can calculate the autocorrelation of HUMANA returns to help us make a trade decision. For example, suppose you find that HUMANA has exhibited high autocorrelation historically, and you observe that the bond 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 |
HUMANA 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 HUMANA bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if HUMANA bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in HUMANA bond over time.
Current vs Lagged Prices |
| Timeline |
HUMANA Lagged Returns
When evaluating HUMANA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of HUMANA bond have on its future price. HUMANA 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, HUMANA autocorrelation shows the relationship between HUMANA bond current value and its past values and can show if there is a momentum factor associated with investing in HUMANA INC.
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 HUMANA Correlation, HUMANA Volatility and HUMANA Alpha and Beta module to complement your research on HUMANA. Note that the HUMANA INC information on this page should be used as a complementary analysis to other HUMANA'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 CEOs Directory module to screen CEOs from public companies around the world.
HUMANA technical bond 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, bond market cycles, or different charting patterns.