Komatsu (Germany) Market Value
| KOM1 Stock | EUR 25.31 0.15 0.60% |
| Symbol | Komatsu |
Komatsu '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 Komatsu'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 Komatsu.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in Komatsu on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding Komatsu or generate 0.0% return on investment in Komatsu over 360 days. Komatsu is related to or competes with Transportadora, Air Transport, NTG Nordic, American Eagle, and Major Drilling. Komatsu Ltd. manufactures and sells construction, mining, and utility equipment worldwide More
Komatsu 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 Komatsu'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 Komatsu upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.77 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 10.95 | |||
| Value At Risk | (2.75) | |||
| Potential Upside | 4.15 |
Komatsu Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Komatsu's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Komatsu's standard deviation. In reality, there are many statistical measures that can use Komatsu historical prices to predict the future Komatsu's volatility.| Risk Adjusted Performance | 0.0214 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0799 |
Komatsu Backtested Returns
At this point, Komatsu is very steady. Komatsu has Sharpe Ratio of 0.0512, which conveys that the firm had a 0.0512% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Komatsu, which you can use to evaluate the volatility of the firm. Please verify Komatsu's Downside Deviation of 1.77, mean deviation of 1.4, and Risk Adjusted Performance of 0.0214 to check out if the risk estimate we provide is consistent with the expected return of 0.1%. Komatsu has a performance score of 4 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.37, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Komatsu's returns are expected to increase less than the market. However, during the bear market, the loss of holding Komatsu is expected to be smaller as well. Komatsu right now secures a risk of 1.96%. Please verify Komatsu standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Komatsu will be following its current price movements.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Komatsu has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Komatsu time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 to 2nd 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 Komatsu price movement. The serial correlation of -0.73 indicates that around 73.0% of current Komatsu price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 2.38 |
Komatsu lagged returns against current returns
Autocorrelation, which is Komatsu 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 Komatsu's stock expected returns. We can calculate the autocorrelation of Komatsu returns to help us make a trade decision. For example, suppose you find that Komatsu 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 |
Komatsu 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 Komatsu stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Komatsu stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Komatsu stock over time.
Current vs Lagged Prices |
| Timeline |
Komatsu Lagged Returns
When evaluating Komatsu's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Komatsu stock have on its future price. Komatsu 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, Komatsu autocorrelation shows the relationship between Komatsu stock current value and its past values and can show if there is a momentum factor associated with investing in Komatsu.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Komatsu Stock
Komatsu financial ratios help investors to determine whether Komatsu Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Komatsu with respect to the benefits of owning Komatsu security.