SIEMENS ENERGY (Germany) Market Value
| ENR0 Stock | EUR 48.80 1.80 3.83% |
| Symbol | SIEMENS |
SIEMENS ENERGY '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 SIEMENS ENERGY'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 SIEMENS ENERGY.
| 11/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in SIEMENS ENERGY on November 29, 2023 and sell it all today you would earn a total of 0.00 from holding SIEMENS ENERGY AG or generate 0.0% return on investment in SIEMENS ENERGY over 360 days. SIEMENS ENERGY is related to or competes with Datang International, Superior Plus, Origin Agritech, Identiv, INTUITIVE SURGICAL, Volkswagen, and Reliance Steel. Siemens Energy AG operates as an energy technology company worldwide More
SIEMENS ENERGY 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 SIEMENS ENERGY'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 SIEMENS ENERGY AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.62 | |||
| Information Ratio | 0.3309 | |||
| Maximum Drawdown | 12.9 | |||
| Value At Risk | (3.06) | |||
| Potential Upside | 5.37 |
SIEMENS ENERGY Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIEMENS ENERGY's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIEMENS ENERGY's standard deviation. In reality, there are many statistical measures that can use SIEMENS ENERGY historical prices to predict the future SIEMENS ENERGY's volatility.| Risk Adjusted Performance | 0.2979 | |||
| Jensen Alpha | 1.02 | |||
| Total Risk Alpha | 0.5921 | |||
| Sortino Ratio | 0.3439 | |||
| Treynor Ratio | (40.64) |
SIEMENS ENERGY AG Backtested Returns
SIEMENS ENERGY is very steady given 3 months investment horizon. SIEMENS ENERGY AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.39, which indicates the firm had a 0.39% return per unit of volatility over the last 3 months. We were able to interpolate data for thirty different technical indicators, which can help you to evaluate if expected returns of 1.05% are justified by taking the suggested risk. Use SIEMENS ENERGY AG coefficient of variation of 263.8, and Risk Adjusted Performance of 0.2979 to evaluate company specific risk that cannot be diversified away. SIEMENS ENERGY holds a performance score of 30 on a scale of zero to a hundred. The entity has a beta of -0.0251, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SIEMENS ENERGY are expected to decrease at a much lower rate. During the bear market, SIEMENS ENERGY is likely to outperform the market. Use SIEMENS ENERGY AG semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to analyze future returns on SIEMENS ENERGY AG.
Auto-correlation | 0.92 |
Excellent predictability
SIEMENS ENERGY AG has excellent predictability. Overlapping area represents the amount of predictability between SIEMENS ENERGY time series from 29th of November 2023 to 27th of May 2024 and 27th of May 2024 to 23rd 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 SIEMENS ENERGY AG price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current SIEMENS ENERGY price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 31.09 |
SIEMENS ENERGY AG lagged returns against current returns
Autocorrelation, which is SIEMENS ENERGY 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 SIEMENS ENERGY's stock expected returns. We can calculate the autocorrelation of SIEMENS ENERGY returns to help us make a trade decision. For example, suppose you find that SIEMENS ENERGY 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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SIEMENS ENERGY 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 SIEMENS ENERGY stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIEMENS ENERGY stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIEMENS ENERGY stock over time.
Current vs Lagged Prices |
| Timeline |
SIEMENS ENERGY Lagged Returns
When evaluating SIEMENS ENERGY's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIEMENS ENERGY stock have on its future price. SIEMENS ENERGY 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, SIEMENS ENERGY autocorrelation shows the relationship between SIEMENS ENERGY stock current value and its past values and can show if there is a momentum factor associated with investing in SIEMENS ENERGY AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SIEMENS Stock
SIEMENS ENERGY financial ratios help investors to determine whether SIEMENS 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 SIEMENS with respect to the benefits of owning SIEMENS ENERGY security.