Heidelberg Materials (Germany) Market Value
| HEI Stock | 120.35 1.15 0.96% |
| Symbol | Heidelberg |
Heidelberg Materials '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 Heidelberg Materials' 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 Heidelberg Materials.
| 10/02/2023 |
| 12/25/2024 |
If you would invest 0.00 in Heidelberg Materials on October 2, 2023 and sell it all today you would earn a total of 0.00 from holding Heidelberg Materials AG or generate 0.0% return on investment in Heidelberg Materials over 450 days. Heidelberg Materials is related to or competes with Daikin IndustriesLtd, Vulcan Materials, Anhui Conch, Martin Marietta, Heidelberg Materials. More
Heidelberg Materials 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 Heidelberg Materials' 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 Heidelberg Materials AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.15 | |||
| Information Ratio | 0.1785 | |||
| Maximum Drawdown | 8.95 | |||
| Value At Risk | (1.89) | |||
| Potential Upside | 2.74 |
Heidelberg Materials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Heidelberg Materials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Heidelberg Materials' standard deviation. In reality, there are many statistical measures that can use Heidelberg Materials historical prices to predict the future Heidelberg Materials' volatility.| Risk Adjusted Performance | 0.1704 | |||
| Jensen Alpha | 0.2946 | |||
| Total Risk Alpha | 0.2465 | |||
| Sortino Ratio | 0.2442 | |||
| Treynor Ratio | 0.545 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Heidelberg Materials' 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.
Heidelberg Materials Backtested Returns
Heidelberg Materials appears to be very steady, given 3 months investment horizon. Heidelberg Materials holds Efficiency (Sharpe) Ratio of 0.19, which attests that the entity had a 0.19% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Heidelberg Materials, which you can use to evaluate the volatility of the firm. Please utilize Heidelberg Materials' Market Risk Adjusted Performance of 0.555, risk adjusted performance of 0.1704, and Downside Deviation of 1.15 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Heidelberg Materials holds a performance score of 14. The company retains a Market Volatility (i.e., Beta) of 0.58, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Heidelberg Materials' returns are expected to increase less than the market. However, during the bear market, the loss of holding Heidelberg Materials is expected to be smaller as well. Please check Heidelberg Materials' jensen alpha, semi variance, day typical price, as well as the relationship between the maximum drawdown and accumulation distribution , to make a quick decision on whether Heidelberg Materials' current trending patterns will revert.
Auto-correlation | 0.62 |
Good predictability
Heidelberg Materials AG has good predictability. Overlapping area represents the amount of predictability between Heidelberg Materials time series from 2nd of October 2023 to 14th of May 2024 and 14th of May 2024 to 25th 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 Heidelberg Materials price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Heidelberg Materials price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 100.21 |
Heidelberg Materials lagged returns against current returns
Autocorrelation, which is Heidelberg Materials 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 Heidelberg Materials' stock expected returns. We can calculate the autocorrelation of Heidelberg Materials returns to help us make a trade decision. For example, suppose you find that Heidelberg Materials 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 |
Heidelberg Materials 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 Heidelberg Materials stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Heidelberg Materials stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Heidelberg Materials stock over time.
Current vs Lagged Prices |
| Timeline |
Heidelberg Materials Lagged Returns
When evaluating Heidelberg Materials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Heidelberg Materials stock have on its future price. Heidelberg Materials 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, Heidelberg Materials autocorrelation shows the relationship between Heidelberg Materials stock current value and its past values and can show if there is a momentum factor associated with investing in Heidelberg Materials 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 Heidelberg Stock Analysis
When running Heidelberg Materials' price analysis, check to measure Heidelberg Materials' 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 Heidelberg Materials is operating at the current time. Most of Heidelberg Materials' value examination focuses on studying past and present price action to predict the probability of Heidelberg Materials' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Heidelberg Materials' price. Additionally, you may evaluate how the addition of Heidelberg Materials to your portfolios can decrease your overall portfolio volatility.