Grammer AG (Germany) Market Value
| GMM Stock | 5.40 0.10 1.89% |
| Symbol | Grammer |
Grammer 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 Grammer 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 Grammer AG.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Grammer AG on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Grammer AG or generate 0.0% return on investment in Grammer AG over 510 days. Grammer AG is related to or competes with SENECA FOODS-A, Scandinavian Tobacco, INDOFOOD AGRI, Austevoll Seafood, SALESFORCE INC, and Japan Tobacco. More
Grammer 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 Grammer 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 Grammer AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 17.72 | |||
| Value At Risk | (5.95) | |||
| Potential Upside | 4.32 |
Grammer AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grammer AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grammer AG's standard deviation. In reality, there are many statistical measures that can use Grammer AG historical prices to predict the future Grammer AG's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.48) | |||
| Total Risk Alpha | (0.91) | |||
| Treynor Ratio | (3.72) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grammer 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.
Grammer AG Backtested Returns
Grammer AG holds Efficiency (Sharpe) Ratio of -0.13, which attests that the entity had a -0.13% return per unit of standard deviation over the last 3 months. Grammer AG exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grammer AG's risk adjusted performance of (0.11), and Market Risk Adjusted Performance of (3.71) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.12, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Grammer AG's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grammer AG is expected to be smaller as well. At this point, Grammer AG has a negative expected return of -0.38%. Please make sure to check out Grammer AG's standard deviation, kurtosis, period momentum indicator, as well as the relationship between the maximum drawdown and day median price , to decide if Grammer AG performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.83 |
Very good predictability
Grammer AG has very good predictability. Overlapping area represents the amount of predictability between Grammer AG time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 Grammer AG price movement. The serial correlation of 0.83 indicates that around 83.0% of current Grammer AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 2.54 |
Grammer AG lagged returns against current returns
Autocorrelation, which is Grammer 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 Grammer AG's stock expected returns. We can calculate the autocorrelation of Grammer AG returns to help us make a trade decision. For example, suppose you find that Grammer 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 |
Grammer 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 Grammer AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grammer AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grammer AG stock over time.
Current vs Lagged Prices |
| Timeline |
Grammer AG Lagged Returns
When evaluating Grammer AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grammer AG stock have on its future price. Grammer 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, Grammer AG autocorrelation shows the relationship between Grammer AG stock current value and its past values and can show if there is a momentum factor associated with investing in Grammer AG.
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 Grammer Stock Analysis
When running Grammer AG's price analysis, check to measure Grammer 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 Grammer AG is operating at the current time. Most of Grammer AG's value examination focuses on studying past and present price action to predict the probability of Grammer 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 Grammer AG's price. Additionally, you may evaluate how the addition of Grammer AG to your portfolios can decrease your overall portfolio volatility.