Hitachi Construction (Germany) Market Value
| HCM Stock | EUR 20.60 0.20 0.96% |
| Symbol | Hitachi |
Hitachi Construction '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 Hitachi Construction'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 Hitachi Construction.
| 09/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Hitachi Construction on September 27, 2024 and sell it all today you would earn a total of 0.00 from holding Hitachi Construction Machinery or generate 0.0% return on investment in Hitachi Construction over 60 days. Hitachi Construction is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. Hitachi Construction Machinery Co., Ltd., together with its subsidiaries, manufactures, sells, services, and rents const... More
Hitachi Construction 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 Hitachi Construction'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 Hitachi Construction Machinery upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 8.68 | |||
| Value At Risk | (4.59) | |||
| Potential Upside | 3.06 |
Hitachi Construction Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hitachi Construction's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hitachi Construction's standard deviation. In reality, there are many statistical measures that can use Hitachi Construction historical prices to predict the future Hitachi Construction's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.40) | |||
| Treynor Ratio | (0.19) |
Hitachi Construction Backtested Returns
Hitachi Construction holds Efficiency (Sharpe) Ratio of -0.012, which attests that the entity had a -0.012% return per unit of risk over the last 3 months. Hitachi Construction exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hitachi Construction's Risk Adjusted Performance of (0.02), market risk adjusted performance of (0.18), and Standard Deviation of 2.11 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.38, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hitachi Construction's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hitachi Construction is expected to be smaller as well. At this point, Hitachi Construction has a negative expected return of -0.0244%. Please make sure to check out Hitachi Construction's maximum drawdown, skewness, accumulation distribution, as well as the relationship between the potential upside and kurtosis , to decide if Hitachi Construction performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.22 |
Weak reverse predictability
Hitachi Construction Machinery has weak reverse predictability. Overlapping area represents the amount of predictability between Hitachi Construction time series from 27th of September 2024 to 27th of October 2024 and 27th of October 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 Hitachi Construction price movement. The serial correlation of -0.22 indicates that over 22.0% of current Hitachi Construction price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Hitachi Construction lagged returns against current returns
Autocorrelation, which is Hitachi Construction 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 Hitachi Construction's stock expected returns. We can calculate the autocorrelation of Hitachi Construction returns to help us make a trade decision. For example, suppose you find that Hitachi Construction 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 |
Hitachi Construction 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 Hitachi Construction stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hitachi Construction stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hitachi Construction stock over time.
Current vs Lagged Prices |
| Timeline |
Hitachi Construction Lagged Returns
When evaluating Hitachi Construction's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hitachi Construction stock have on its future price. Hitachi Construction 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, Hitachi Construction autocorrelation shows the relationship between Hitachi Construction stock current value and its past values and can show if there is a momentum factor associated with investing in Hitachi Construction Machinery.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Hitachi Stock
Hitachi Construction financial ratios help investors to determine whether Hitachi 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 Hitachi with respect to the benefits of owning Hitachi Construction security.