Johns Lyng (Australia) Market Value
| JLG Stock | 4.18 0.03 0.71% |
| Symbol | Johns |
Johns Lyng '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 Johns Lyng'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 Johns Lyng.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Johns Lyng on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Johns Lyng Group or generate 0.0% return on investment in Johns Lyng over 180 days. Johns Lyng is related to or competes with Aneka Tambang, BHP Group, Commonwealth Bank, Commonwealth Bank, Commonwealth Bank, Commonwealth Bank, and Rio Tinto. Johns Lyng is entity of Australia. It is traded as Stock on AU exchange. More
Johns Lyng 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 Johns Lyng'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 Johns Lyng Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.16 | |||
| Information Ratio | 0.023 | |||
| Maximum Drawdown | 9.68 | |||
| Value At Risk | (3.24) | |||
| Potential Upside | 5.19 |
Johns Lyng Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johns Lyng's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johns Lyng's standard deviation. In reality, there are many statistical measures that can use Johns Lyng historical prices to predict the future Johns Lyng's volatility.| Risk Adjusted Performance | 0.0703 | |||
| Jensen Alpha | 0.0636 | |||
| Total Risk Alpha | (0.20) | |||
| Sortino Ratio | 0.0244 | |||
| Treynor Ratio | 0.1972 |
Johns Lyng Group Backtested Returns
Johns Lyng appears to be slightly risky, given 3 months investment horizon. Johns Lyng Group holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had a 0.1% return per unit of risk over the last 3 months. We have found thirty technical indicators for Johns Lyng Group, which you can use to evaluate the volatility of the firm. Please utilize Johns Lyng's Market Risk Adjusted Performance of 0.2072, risk adjusted performance of 0.0703, and Downside Deviation of 2.16 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Johns Lyng holds a performance score of 8. The company retains a Market Volatility (i.e., Beta) of 0.91, which attests to possible diversification benefits within a given portfolio. Johns Lyng returns are very sensitive to returns on the market. As the market goes up or down, Johns Lyng is expected to follow. Please check Johns Lyng's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to make a quick decision on whether Johns Lyng's current trending patterns will revert.
Auto-correlation | -0.47 |
Modest reverse predictability
Johns Lyng Group has modest reverse predictability. Overlapping area represents the amount of predictability between Johns Lyng time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th 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 Johns Lyng Group price movement. The serial correlation of -0.47 indicates that about 47.0% of current Johns Lyng price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.47 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Johns Lyng Group lagged returns against current returns
Autocorrelation, which is Johns Lyng 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 Johns Lyng's stock expected returns. We can calculate the autocorrelation of Johns Lyng returns to help us make a trade decision. For example, suppose you find that Johns Lyng 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 |
Johns Lyng 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 Johns Lyng stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johns Lyng stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johns Lyng stock over time.
Current vs Lagged Prices |
| Timeline |
Johns Lyng Lagged Returns
When evaluating Johns Lyng's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johns Lyng stock have on its future price. Johns Lyng 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, Johns Lyng autocorrelation shows the relationship between Johns Lyng stock current value and its past values and can show if there is a momentum factor associated with investing in Johns Lyng Group.
Regressed Prices |
| Timeline |
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Additional Tools for Johns Stock Analysis
When running Johns Lyng's price analysis, check to measure Johns Lyng'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 Johns Lyng is operating at the current time. Most of Johns Lyng's value examination focuses on studying past and present price action to predict the probability of Johns Lyng's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Johns Lyng's price. Additionally, you may evaluate how the addition of Johns Lyng to your portfolios can decrease your overall portfolio volatility.