AmerisourceBergen (Germany) Market Value
| ABG Stock | EUR 217.85 5.10 2.29% |
| Symbol | AmerisourceBergen |
AmerisourceBergen '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 AmerisourceBergen'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 AmerisourceBergen.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in AmerisourceBergen on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding AmerisourceBergen or generate 0.0% return on investment in AmerisourceBergen over 30 days. AmerisourceBergen is related to or competes with Nissan Chemical, SCANDMEDICAL SOLDK, Sekisui Chemical, PTT Global, KINGBOARD CHEMICAL, British American, and Mitsubishi Gas. More
AmerisourceBergen 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 AmerisourceBergen'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 AmerisourceBergen upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 6.54 | |||
| Value At Risk | (2.14) | |||
| Potential Upside | 2.48 |
AmerisourceBergen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AmerisourceBergen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AmerisourceBergen's standard deviation. In reality, there are many statistical measures that can use AmerisourceBergen historical prices to predict the future AmerisourceBergen's volatility.| Risk Adjusted Performance | 0.0547 | |||
| Jensen Alpha | 0.0151 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.1263 |
AmerisourceBergen Backtested Returns
At this point, AmerisourceBergen is very steady. AmerisourceBergen secures Sharpe Ratio (or Efficiency) of 0.0402, which signifies that the company had a 0.0402% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for AmerisourceBergen, which you can use to evaluate the volatility of the firm. Please confirm AmerisourceBergen's mean deviation of 0.9023, and Risk Adjusted Performance of 0.0547 to double-check if the risk estimate we provide is consistent with the expected return of 0.0524%. AmerisourceBergen has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.62, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, AmerisourceBergen's returns are expected to increase less than the market. However, during the bear market, the loss of holding AmerisourceBergen is expected to be smaller as well. AmerisourceBergen right now shows a risk of 1.3%. Please confirm AmerisourceBergen mean deviation, downside deviation, information ratio, as well as the relationship between the semi deviation and coefficient of variation , to decide if AmerisourceBergen will be following its price patterns.
Auto-correlation | -0.62 |
Very good reverse predictability
AmerisourceBergen has very good reverse predictability. Overlapping area represents the amount of predictability between AmerisourceBergen time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 AmerisourceBergen price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current AmerisourceBergen price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 33.75 |
AmerisourceBergen lagged returns against current returns
Autocorrelation, which is AmerisourceBergen 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 AmerisourceBergen's stock expected returns. We can calculate the autocorrelation of AmerisourceBergen returns to help us make a trade decision. For example, suppose you find that AmerisourceBergen 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 |
AmerisourceBergen 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 AmerisourceBergen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AmerisourceBergen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AmerisourceBergen stock over time.
Current vs Lagged Prices |
| Timeline |
AmerisourceBergen Lagged Returns
When evaluating AmerisourceBergen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AmerisourceBergen stock have on its future price. AmerisourceBergen 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, AmerisourceBergen autocorrelation shows the relationship between AmerisourceBergen stock current value and its past values and can show if there is a momentum factor associated with investing in AmerisourceBergen.
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 AmerisourceBergen Stock
AmerisourceBergen financial ratios help investors to determine whether AmerisourceBergen 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 AmerisourceBergen with respect to the benefits of owning AmerisourceBergen security.