EMERSON ELECTRIC (Germany) Market Value
| EMR Stock | EUR 124.46 0.88 0.71% |
| Symbol | EMERSON |
EMERSON ELECTRIC '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 EMERSON ELECTRIC'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 EMERSON ELECTRIC.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in EMERSON ELECTRIC on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding EMERSON ELECTRIC or generate 0.0% return on investment in EMERSON ELECTRIC over 30 days. EMERSON ELECTRIC is related to or competes with RCM TECHNOLOGIES, Digilife Technologies, BE Semiconductor, Playtech Plc, and ORMAT TECHNOLOGIES. More
EMERSON ELECTRIC 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 EMERSON ELECTRIC'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 EMERSON ELECTRIC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | 0.2104 | |||
| Maximum Drawdown | 11.51 | |||
| Value At Risk | (1.63) | |||
| Potential Upside | 2.42 |
EMERSON ELECTRIC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EMERSON ELECTRIC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EMERSON ELECTRIC's standard deviation. In reality, there are many statistical measures that can use EMERSON ELECTRIC historical prices to predict the future EMERSON ELECTRIC's volatility.| Risk Adjusted Performance | 0.2076 | |||
| Jensen Alpha | 0.4662 | |||
| Total Risk Alpha | 0.2085 | |||
| Sortino Ratio | 0.3216 | |||
| Treynor Ratio | 1.94 |
EMERSON ELECTRIC Backtested Returns
EMERSON ELECTRIC appears to be very steady, given 3 months investment horizon. EMERSON ELECTRIC secures Sharpe Ratio (or Efficiency) of 0.28, which denotes the company had a 0.28% return per unit of return volatility over the last 3 months. By analyzing EMERSON ELECTRIC's technical indicators, you can evaluate if the expected return of 0.5% is justified by implied risk. Please utilize EMERSON ELECTRIC's mean deviation of 1.21, and Downside Deviation of 1.18 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, EMERSON ELECTRIC holds a performance score of 22. The firm shows a Beta (market volatility) of 0.25, which means not very significant fluctuations relative to the market. As returns on the market increase, EMERSON ELECTRIC's returns are expected to increase less than the market. However, during the bear market, the loss of holding EMERSON ELECTRIC is expected to be smaller as well. Please check EMERSON ELECTRIC's maximum drawdown, skewness, and the relationship between the total risk alpha and downside variance , to make a quick decision on whether EMERSON ELECTRIC's price patterns will revert.
Auto-correlation | -0.67 |
Very good reverse predictability
EMERSON ELECTRIC has very good reverse predictability. Overlapping area represents the amount of predictability between EMERSON ELECTRIC time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 EMERSON ELECTRIC price movement. The serial correlation of -0.67 indicates that around 67.0% of current EMERSON ELECTRIC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.67 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 1.75 |
EMERSON ELECTRIC lagged returns against current returns
Autocorrelation, which is EMERSON ELECTRIC 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 EMERSON ELECTRIC's stock expected returns. We can calculate the autocorrelation of EMERSON ELECTRIC returns to help us make a trade decision. For example, suppose you find that EMERSON ELECTRIC 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 |
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EMERSON ELECTRIC 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 EMERSON ELECTRIC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EMERSON ELECTRIC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EMERSON ELECTRIC stock over time.
Current vs Lagged Prices |
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EMERSON ELECTRIC Lagged Returns
When evaluating EMERSON ELECTRIC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EMERSON ELECTRIC stock have on its future price. EMERSON ELECTRIC 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, EMERSON ELECTRIC autocorrelation shows the relationship between EMERSON ELECTRIC stock current value and its past values and can show if there is a momentum factor associated with investing in EMERSON ELECTRIC.
Regressed Prices |
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Additional Tools for EMERSON Stock Analysis
When running EMERSON ELECTRIC's price analysis, check to measure EMERSON ELECTRIC'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 EMERSON ELECTRIC is operating at the current time. Most of EMERSON ELECTRIC's value examination focuses on studying past and present price action to predict the probability of EMERSON ELECTRIC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move EMERSON ELECTRIC's price. Additionally, you may evaluate how the addition of EMERSON ELECTRIC to your portfolios can decrease your overall portfolio volatility.