Biogen (Germany) Market Value
| IDP Stock | 152.40 2.65 1.77% |
| Symbol | Biogen |
Biogen '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 Biogen'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 Biogen.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Biogen on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Biogen Inc or generate 0.0% return on investment in Biogen over 30 days. Biogen is related to or competes with Johnson Johnson, Pfizer, Amgen, Bayer AG, and . More
Biogen 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 Biogen'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 Biogen Inc upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 12.11 | |||
| Value At Risk | (2.46) | |||
| Potential Upside | 2.08 |
Biogen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Biogen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Biogen's standard deviation. In reality, there are many statistical measures that can use Biogen historical prices to predict the future Biogen's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.35) | |||
| Total Risk Alpha | (0.53) | |||
| Treynor Ratio | (0.41) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Biogen'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.
Biogen Inc Backtested Returns
Biogen Inc secures Sharpe Ratio (or Efficiency) of -0.16, which signifies that the company had a -0.16% return per unit of risk over the last 3 months. Biogen Inc exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Biogen's Risk Adjusted Performance of (0.12), standard deviation of 1.65, and Mean Deviation of 1.14 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.66, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Biogen's returns are expected to increase less than the market. However, during the bear market, the loss of holding Biogen is expected to be smaller as well. At this point, Biogen Inc has a negative expected return of -0.26%. Please make sure to confirm Biogen's potential upside, as well as the relationship between the daily balance of power and market facilitation index , to decide if Biogen Inc performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.84 |
Very good predictability
Biogen Inc has very good predictability. Overlapping area represents the amount of predictability between Biogen time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 Biogen Inc price movement. The serial correlation of 0.84 indicates that around 84.0% of current Biogen price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 34.5 |
Biogen Inc lagged returns against current returns
Autocorrelation, which is Biogen 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 Biogen's stock expected returns. We can calculate the autocorrelation of Biogen returns to help us make a trade decision. For example, suppose you find that Biogen 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 |
Biogen 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 Biogen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Biogen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Biogen stock over time.
Current vs Lagged Prices |
| Timeline |
Biogen Lagged Returns
When evaluating Biogen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Biogen stock have on its future price. Biogen 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, Biogen autocorrelation shows the relationship between Biogen stock current value and its past values and can show if there is a momentum factor associated with investing in Biogen Inc.
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 Biogen Stock Analysis
When running Biogen's price analysis, check to measure Biogen'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 Biogen is operating at the current time. Most of Biogen's value examination focuses on studying past and present price action to predict the probability of Biogen's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Biogen's price. Additionally, you may evaluate how the addition of Biogen to your portfolios can decrease your overall portfolio volatility.