Johnson Johnson (Germany) Market Value
| JNJ Stock | EUR 147.50 0.14 0.1% |
| Symbol | Johnson |
Johnson Johnson '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 Johnson Johnson'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 Johnson Johnson.
| 10/04/2023 |
| 11/27/2024 |
If you would invest 0.00 in Johnson Johnson on October 4, 2023 and sell it all today you would earn a total of 0.00 from holding Johnson Johnson or generate 0.0% return on investment in Johnson Johnson over 420 days. Johnson Johnson is related to or competes with Merck, Roche Holding, Amgen, Bayer AG, Bayer Aktiengesellscha, Biogen, and ASTELLAS PHARMA. Johnson Johnson researches and develops, manufactures, and sells a range of products in the health care field worldwide More
Johnson Johnson 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 Johnson Johnson'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 Johnson Johnson upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7329 | |||
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 3.96 | |||
| Value At Risk | (1.19) | |||
| Potential Upside | 2.0 |
Johnson Johnson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johnson Johnson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johnson Johnson's standard deviation. In reality, there are many statistical measures that can use Johnson Johnson historical prices to predict the future Johnson Johnson's volatility.| Risk Adjusted Performance | 0.0326 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.1038 |
Johnson Johnson Backtested Returns
At this point, Johnson Johnson is very steady. Johnson Johnson holds Efficiency (Sharpe) Ratio of 0.0116, which attests that the entity had a 0.0116% return per unit of risk over the last 3 months. We have found thirty technical indicators for Johnson Johnson, which you can use to evaluate the volatility of the firm. Please check out Johnson Johnson's Risk Adjusted Performance of 0.0326, market risk adjusted performance of 0.1138, and Downside Deviation of 0.7329 to validate if the risk estimate we provide is consistent with the expected return of 0.0106%. The company retains a Market Volatility (i.e., Beta) of 0.26, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Johnson Johnson's returns are expected to increase less than the market. However, during the bear market, the loss of holding Johnson Johnson is expected to be smaller as well. Johnson Johnson right now retains a risk of 0.92%. Please check out Johnson Johnson sortino ratio, potential upside, and the relationship between the jensen alpha and maximum drawdown , to decide if Johnson Johnson will be following its current trending patterns.
Auto-correlation | 0.42 |
Average predictability
Johnson Johnson has average predictability. Overlapping area represents the amount of predictability between Johnson Johnson time series from 4th of October 2023 to 1st of May 2024 and 1st of May 2024 to 27th 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 Johnson Johnson price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Johnson Johnson price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 34.15 |
Johnson Johnson lagged returns against current returns
Autocorrelation, which is Johnson Johnson 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 Johnson Johnson's stock expected returns. We can calculate the autocorrelation of Johnson Johnson returns to help us make a trade decision. For example, suppose you find that Johnson Johnson 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 |
Johnson Johnson 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 Johnson Johnson stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johnson Johnson stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johnson Johnson stock over time.
Current vs Lagged Prices |
| Timeline |
Johnson Johnson Lagged Returns
When evaluating Johnson Johnson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johnson Johnson stock have on its future price. Johnson Johnson 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, Johnson Johnson autocorrelation shows the relationship between Johnson Johnson stock current value and its past values and can show if there is a momentum factor associated with investing in Johnson Johnson.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Johnson Stock
When determining whether Johnson Johnson is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Johnson Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Johnson Johnson Stock. Highlighted below are key reports to facilitate an investment decision about Johnson Johnson Stock:Check out Johnson Johnson Correlation, Johnson Johnson Volatility and Johnson Johnson Alpha and Beta module to complement your research on Johnson Johnson. For more detail on how to invest in Johnson Stock please use our How to Invest in Johnson Johnson guide.You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Johnson Johnson technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.