Deutz AG (Germany) Market Value
| DEZ Stock | 4.01 0.01 0.25% |
| Symbol | Deutz |
Deutz AG '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 Deutz AG'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 Deutz AG.
| 12/14/2022 |
| 12/03/2024 |
If you would invest 0.00 in Deutz AG on December 14, 2022 and sell it all today you would earn a total of 0.00 from holding Deutz AG or generate 0.0% return on investment in Deutz AG over 720 days. Deutz AG is related to or competes with SBA Communications, Shenandoah Telecommunicatio, Singapore Telecommunicatio, Zoom Video, Richardson Electronics, Chunghwa Telecom, and Charter Communications. More
Deutz AG 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 Deutz AG'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 Deutz AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 12.85 | |||
| Value At Risk | (4.31) | |||
| Potential Upside | 2.2 |
Deutz AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deutz AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deutz AG's standard deviation. In reality, there are many statistical measures that can use Deutz AG historical prices to predict the future Deutz AG's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.57) | |||
| Treynor Ratio | (0.58) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deutz AG'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.
Deutz AG Backtested Returns
Deutz AG secures Sharpe Ratio (or Efficiency) of -0.0799, which denotes the company had a -0.0799% return per unit of risk over the last 3 months. Deutz AG exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Deutz AG's Variance of 4.78, mean deviation of 1.46, and Standard Deviation of 2.19 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.41, which means possible diversification benefits within a given portfolio. As returns on the market increase, Deutz AG's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deutz AG is expected to be smaller as well. At this point, Deutz AG has a negative expected return of -0.17%. Please make sure to confirm Deutz AG's treynor ratio, kurtosis, as well as the relationship between the Kurtosis and day typical price , to decide if Deutz AG performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.86 |
Very good predictability
Deutz AG has very good predictability. Overlapping area represents the amount of predictability between Deutz AG time series from 14th of December 2022 to 9th of December 2023 and 9th of December 2023 to 3rd 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 Deutz AG price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Deutz AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.37 |
Deutz AG lagged returns against current returns
Autocorrelation, which is Deutz AG 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 Deutz AG's stock expected returns. We can calculate the autocorrelation of Deutz AG returns to help us make a trade decision. For example, suppose you find that Deutz AG 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 |
Deutz AG 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 Deutz AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deutz AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deutz AG stock over time.
Current vs Lagged Prices |
| Timeline |
Deutz AG Lagged Returns
When evaluating Deutz AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deutz AG stock have on its future price. Deutz AG 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, Deutz AG autocorrelation shows the relationship between Deutz AG stock current value and its past values and can show if there is a momentum factor associated with investing in Deutz AG.
Regressed Prices |
| Timeline |
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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.Additional Tools for Deutz Stock Analysis
When running Deutz AG's price analysis, check to measure Deutz AG'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 Deutz AG is operating at the current time. Most of Deutz AG's value examination focuses on studying past and present price action to predict the probability of Deutz AG's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Deutz AG's price. Additionally, you may evaluate how the addition of Deutz AG to your portfolios can decrease your overall portfolio volatility.