Johnson Johnson (Germany) Market Value
| JNJ Stock | 148.36 0.88 0.60% |
| 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.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Johnson Johnson on October 25, 2024 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 30 days. Johnson Johnson is related to or competes with Pfizer, Amgen, Bayer AG, and Biogen. 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 | 0.8756 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.53 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 1.51 |
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 | 0.0447 | |||
| Jensen Alpha | 0.0051 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.1382 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Johnson Johnson'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.
Johnson Johnson Backtested Returns
Currently, Johnson Johnson is very steady. Johnson Johnson holds Efficiency (Sharpe) Ratio of 0.0468, which attests that the entity had a 0.0468% 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 Market Risk Adjusted Performance of 0.1482, downside deviation of 0.8756, and Risk Adjusted Performance of 0.0447 to validate if the risk estimate we provide is consistent with the expected return of 0.0418%. Johnson Johnson has a performance score of 3 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.29, 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 0.89%. Please check out Johnson Johnson semi variance, day typical price, and the relationship between the maximum drawdown and accumulation distribution , to decide if Johnson Johnson will be following its current trending patterns.
Auto-correlation | -0.32 |
Poor reverse predictability
Johnson Johnson has poor reverse predictability. Overlapping area represents the amount of predictability between Johnson Johnson 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 Johnson Johnson price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Johnson Johnson price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 2.69 |
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 |
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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 |
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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 |
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 Johnson Stock Analysis
When running Johnson Johnson's price analysis, check to measure Johnson Johnson'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 Johnson Johnson is operating at the current time. Most of Johnson Johnson's value examination focuses on studying past and present price action to predict the probability of Johnson Johnson's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Johnson Johnson's price. Additionally, you may evaluate how the addition of Johnson Johnson to your portfolios can decrease your overall portfolio volatility.