Roche Holding (Germany) Market Value
| RHO6 Stock | EUR 33.41 0.08 0.24% |
| Symbol | Roche |
Roche Holding '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 Roche Holding'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 Roche Holding.
| 09/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Roche Holding on September 24, 2024 and sell it all today you would earn a total of 0.00 from holding Roche Holding Ltd or generate 0.0% return on investment in Roche Holding over 60 days. Roche Holding is related to or competes with Johnson Johnson, Merck, Amgen, Bayer AG, Bayer Aktiengesellscha, and CSPC PHARMACEUTGR. Roche Holding AG engages in the prescription pharmaceuticals and diagnostics businesses in Switzerland, Germany, and int... More
Roche Holding 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 Roche Holding'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 Roche Holding Ltd upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 8.69 | |||
| Value At Risk | (3.05) | |||
| Potential Upside | 2.85 |
Roche Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Roche Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Roche Holding's standard deviation. In reality, there are many statistical measures that can use Roche Holding historical prices to predict the future Roche Holding's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.24) | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | (0.28) |
Roche Holding Backtested Returns
Roche Holding maintains Sharpe Ratio (i.e., Efficiency) of -0.0773, which implies the firm had a -0.0773% return per unit of risk over the last 3 months. Roche Holding exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Roche Holding's Variance of 3.03, coefficient of variation of (1,093), and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The company holds a Beta of 0.61, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Roche Holding's returns are expected to increase less than the market. However, during the bear market, the loss of holding Roche Holding is expected to be smaller as well. At this point, Roche Holding has a negative expected return of -0.13%. Please make sure to check Roche Holding's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Roche Holding performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.42 |
Modest reverse predictability
Roche Holding Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between Roche Holding time series from 24th of September 2024 to 24th of October 2024 and 24th of October 2024 to 23rd 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 Roche Holding price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Roche Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 1.67 |
Roche Holding lagged returns against current returns
Autocorrelation, which is Roche Holding 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 Roche Holding's stock expected returns. We can calculate the autocorrelation of Roche Holding returns to help us make a trade decision. For example, suppose you find that Roche Holding 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 |
Roche Holding 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 Roche Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Roche Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Roche Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Roche Holding Lagged Returns
When evaluating Roche Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Roche Holding stock have on its future price. Roche Holding 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, Roche Holding autocorrelation shows the relationship between Roche Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Roche Holding Ltd.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Roche Stock
Roche Holding financial ratios help investors to determine whether Roche 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 Roche with respect to the benefits of owning Roche Holding security.