Daimler Truck (Germany) Market Value
| DTG Stock | 35.80 0.28 0.79% |
| Symbol | Daimler |
Daimler Truck '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 Daimler Truck'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 Daimler Truck.
| 11/01/2024 |
| 12/01/2024 |
Daimler Truck 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 Daimler Truck'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 Daimler Truck Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.07 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 12.61 | |||
| Value At Risk | (3.47) | |||
| Potential Upside | 2.97 |
Daimler Truck Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Daimler Truck's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Daimler Truck's standard deviation. In reality, there are many statistical measures that can use Daimler Truck historical prices to predict the future Daimler Truck's volatility.| Risk Adjusted Performance | 0.0322 | |||
| Jensen Alpha | 0.0431 | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.4442 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Daimler Truck'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.
Daimler Truck Holding Backtested Returns
Currently, Daimler Truck Holding is very steady. Daimler Truck Holding secures Sharpe Ratio (or Efficiency) of 0.0489, which denotes the company had a 0.0489% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Daimler Truck Holding, which you can use to evaluate the volatility of the firm. Please confirm Daimler Truck's Coefficient Of Variation of 2959.64, mean deviation of 1.56, and Downside Deviation of 2.07 to check if the risk estimate we provide is consistent with the expected return of 0.1%. Daimler Truck has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, Daimler Truck's returns are expected to increase less than the market. However, during the bear market, the loss of holding Daimler Truck is expected to be smaller as well. Daimler Truck Holding right now shows a risk of 2.07%. Please confirm Daimler Truck Holding jensen alpha, semi variance, day typical price, as well as the relationship between the maximum drawdown and accumulation distribution , to decide if Daimler Truck Holding will be following its price patterns.
Auto-correlation | 0.55 |
Modest predictability
Daimler Truck Holding has modest predictability. Overlapping area represents the amount of predictability between Daimler Truck time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Daimler Truck Holding price movement. The serial correlation of 0.55 indicates that about 55.0% of current Daimler Truck price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.57 |
Daimler Truck Holding lagged returns against current returns
Autocorrelation, which is Daimler Truck 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 Daimler Truck's stock expected returns. We can calculate the autocorrelation of Daimler Truck returns to help us make a trade decision. For example, suppose you find that Daimler Truck 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 |
Daimler Truck 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 Daimler Truck stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Daimler Truck stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Daimler Truck stock over time.
Current vs Lagged Prices |
| Timeline |
Daimler Truck Lagged Returns
When evaluating Daimler Truck's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Daimler Truck stock have on its future price. Daimler Truck 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, Daimler Truck autocorrelation shows the relationship between Daimler Truck stock current value and its past values and can show if there is a momentum factor associated with investing in Daimler Truck Holding.
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.Additional Tools for Daimler Stock Analysis
When running Daimler Truck's price analysis, check to measure Daimler Truck'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 Daimler Truck is operating at the current time. Most of Daimler Truck's value examination focuses on studying past and present price action to predict the probability of Daimler Truck's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Daimler Truck's price. Additionally, you may evaluate how the addition of Daimler Truck to your portfolios can decrease your overall portfolio volatility.