APPLIED MATERIALS (Germany) Market Value
| AP2 Stock | 161.22 2.40 1.47% |
| Symbol | APPLIED |
APPLIED MATERIALS '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 APPLIED MATERIALS'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 APPLIED MATERIALS.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in APPLIED MATERIALS on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding APPLIED MATERIALS or generate 0.0% return on investment in APPLIED MATERIALS over 30 days. APPLIED MATERIALS is related to or competes with Hanover Insurance, PARKEN Sport, SBI Insurance, Universal Entertainment, INSURANCE AUST, Insurance Australia, and United Insurance. More
APPLIED MATERIALS 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 APPLIED MATERIALS'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 APPLIED MATERIALS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 16.86 | |||
| Value At Risk | (2.82) | |||
| Potential Upside | 3.57 |
APPLIED MATERIALS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for APPLIED MATERIALS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as APPLIED MATERIALS's standard deviation. In reality, there are many statistical measures that can use APPLIED MATERIALS historical prices to predict the future APPLIED MATERIALS's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of APPLIED MATERIALS'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.
APPLIED MATERIALS Backtested Returns
APPLIED MATERIALS secures Sharpe Ratio (or Efficiency) of -0.0196, which signifies that the company had a -0.0196% return per unit of risk over the last 3 months. APPLIED MATERIALS exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm APPLIED MATERIALS's risk adjusted performance of (0.01), and Mean Deviation of 1.77 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.45, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, APPLIED MATERIALS will likely underperform. At this point, APPLIED MATERIALS has a negative expected return of -0.0528%. Please make sure to confirm APPLIED MATERIALS's skewness, rate of daily change, and the relationship between the value at risk and accumulation distribution , to decide if APPLIED MATERIALS performance from the past will be repeated at future time.
Auto-correlation | 0.40 |
Average predictability
APPLIED MATERIALS has average predictability. Overlapping area represents the amount of predictability between APPLIED MATERIALS time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th of November 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 APPLIED MATERIALS price movement. The serial correlation of 0.4 indicates that just about 40.0% of current APPLIED MATERIALS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 35.35 |
APPLIED MATERIALS lagged returns against current returns
Autocorrelation, which is APPLIED MATERIALS 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 APPLIED MATERIALS's stock expected returns. We can calculate the autocorrelation of APPLIED MATERIALS returns to help us make a trade decision. For example, suppose you find that APPLIED MATERIALS 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 |
APPLIED MATERIALS 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 APPLIED MATERIALS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if APPLIED MATERIALS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in APPLIED MATERIALS stock over time.
Current vs Lagged Prices |
| Timeline |
APPLIED MATERIALS Lagged Returns
When evaluating APPLIED MATERIALS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of APPLIED MATERIALS stock have on its future price. APPLIED MATERIALS 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, APPLIED MATERIALS autocorrelation shows the relationship between APPLIED MATERIALS stock current value and its past values and can show if there is a momentum factor associated with investing in APPLIED MATERIALS.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Additional Tools for APPLIED Stock Analysis
When running APPLIED MATERIALS's price analysis, check to measure APPLIED MATERIALS'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 APPLIED MATERIALS is operating at the current time. Most of APPLIED MATERIALS's value examination focuses on studying past and present price action to predict the probability of APPLIED MATERIALS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move APPLIED MATERIALS's price. Additionally, you may evaluate how the addition of APPLIED MATERIALS to your portfolios can decrease your overall portfolio volatility.