Evonik Industries (Germany) Market Value
| EVK Stock | 17.43 0.07 0.40% |
| Symbol | Evonik |
Evonik Industries '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 Evonik Industries' 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 Evonik Industries.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Evonik Industries on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Evonik Industries AG or generate 0.0% return on investment in Evonik Industries over 180 days. Evonik Industries is related to or competes with COFCO Joycome, Collins Foods, Ebro Foods, Amkor Technology, and Lifeway Foods. More
Evonik Industries 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 Evonik Industries' 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 Evonik Industries AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 9.86 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 1.51 |
Evonik Industries Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Evonik Industries' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Evonik Industries' standard deviation. In reality, there are many statistical measures that can use Evonik Industries historical prices to predict the future Evonik Industries' volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | 1.77 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Evonik Industries' 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.
Evonik Industries Backtested Returns
Evonik Industries secures Sharpe Ratio (or Efficiency) of -0.14, which denotes the company had a -0.14% return per unit of risk over the last 3 months. Evonik Industries AG exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Evonik Industries' Mean Deviation of 0.8856, variance of 1.82, and Standard Deviation of 1.35 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.12, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Evonik Industries are expected to decrease at a much lower rate. During the bear market, Evonik Industries is likely to outperform the market. At this point, Evonik Industries has a negative expected return of -0.19%. Please make sure to confirm Evonik Industries' maximum drawdown, as well as the relationship between the accumulation distribution and day typical price , to decide if Evonik Industries performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.3 |
Weak reverse predictability
Evonik Industries AG has weak reverse predictability. Overlapping area represents the amount of predictability between Evonik Industries time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Evonik Industries price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Evonik Industries price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.3 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 1.82 |
Evonik Industries lagged returns against current returns
Autocorrelation, which is Evonik Industries 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 Evonik Industries' stock expected returns. We can calculate the autocorrelation of Evonik Industries returns to help us make a trade decision. For example, suppose you find that Evonik Industries 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 |
Evonik Industries 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 Evonik Industries stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Evonik Industries stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Evonik Industries stock over time.
Current vs Lagged Prices |
| Timeline |
Evonik Industries Lagged Returns
When evaluating Evonik Industries' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Evonik Industries stock have on its future price. Evonik Industries 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, Evonik Industries autocorrelation shows the relationship between Evonik Industries stock current value and its past values and can show if there is a momentum factor associated with investing in Evonik Industries 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 Evonik Stock Analysis
When running Evonik Industries' price analysis, check to measure Evonik Industries' 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 Evonik Industries is operating at the current time. Most of Evonik Industries' value examination focuses on studying past and present price action to predict the probability of Evonik Industries' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Evonik Industries' price. Additionally, you may evaluate how the addition of Evonik Industries to your portfolios can decrease your overall portfolio volatility.