Smiths Group (Germany) Market Value
| QS2A Stock | 20.42 0.66 3.13% |
| Symbol | Smiths |
Smiths Group '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 Smiths Group'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 Smiths Group.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Smiths Group on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Smiths Group plc or generate 0.0% return on investment in Smiths Group over 30 days. Smiths Group is related to or competes with Apple, Apple, Apple, Apple, Apple, Microsoft, and Microsoft. More
Smiths Group 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 Smiths Group'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 Smiths Group plc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.52 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 11.88 | |||
| Value At Risk | (2.27) | |||
| Potential Upside | 1.56 |
Smiths Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Smiths Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Smiths Group's standard deviation. In reality, there are many statistical measures that can use Smiths Group historical prices to predict the future Smiths Group's volatility.| Risk Adjusted Performance | 0.017 | |||
| Jensen Alpha | 0.076 | |||
| Total Risk Alpha | (0.26) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (0.03) |
Smiths Group plc Backtested Returns
Smiths Group plc owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0163, which indicates the firm had a -0.0163% return per unit of risk over the last 3 months. Smiths Group plc exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Smiths Group's Risk Adjusted Performance of 0.017, coefficient of variation of 6916.05, and Semi Deviation of 1.48 to confirm the risk estimate we provide. The entity has a beta of -0.51, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Smiths Group are expected to decrease at a much lower rate. During the bear market, Smiths Group is likely to outperform the market. At this point, Smiths Group plc has a negative expected return of -0.031%. Please make sure to validate Smiths Group's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Smiths Group plc performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.41 |
Modest reverse predictability
Smiths Group plc has modest reverse predictability. Overlapping area represents the amount of predictability between Smiths Group time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Smiths Group plc price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Smiths Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.55 |
Smiths Group plc lagged returns against current returns
Autocorrelation, which is Smiths Group 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 Smiths Group's stock expected returns. We can calculate the autocorrelation of Smiths Group returns to help us make a trade decision. For example, suppose you find that Smiths Group 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 |
Smiths Group 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 Smiths Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Smiths Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Smiths Group stock over time.
Current vs Lagged Prices |
| Timeline |
Smiths Group Lagged Returns
When evaluating Smiths Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Smiths Group stock have on its future price. Smiths Group 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, Smiths Group autocorrelation shows the relationship between Smiths Group stock current value and its past values and can show if there is a momentum factor associated with investing in Smiths Group plc.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Smiths Stock Analysis
When running Smiths Group's price analysis, check to measure Smiths Group'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 Smiths Group is operating at the current time. Most of Smiths Group's value examination focuses on studying past and present price action to predict the probability of Smiths Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Smiths Group's price. Additionally, you may evaluate how the addition of Smiths Group to your portfolios can decrease your overall portfolio volatility.