Roche Holding (Switzerland) Market Value
| RO Stock | CHF 269.60 3.80 1.43% |
| 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.
| 12/01/2023 |
| 11/25/2024 |
If you would invest 0.00 in Roche Holding on December 1, 2023 and sell it all today you would earn a total of 0.00 from holding Roche Holding AG or generate 0.0% return on investment in Roche Holding over 360 days. Roche Holding is related to or competes with Novartis, Zurich Insurance, Nestl SA, Lonza Group, and Swiss Re. Roche Holding AG engages in the pharmaceuticals and diagnostics businesses in Switzerland, Germany, the United States, A... 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 AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 5.25 | |||
| Value At Risk | (2.20) | |||
| Potential Upside | 1.35 |
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 | (0.12) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | (2.34) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Roche Holding'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.
Roche Holding AG Backtested Returns
Roche Holding AG maintains Sharpe Ratio (i.e., Efficiency) of -0.16, which implies the firm had a -0.16% return per unit of risk over the last 3 months. Roche Holding AG 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 1.25, coefficient of variation of (619.34), and Risk Adjusted Performance of (0.12) to confirm the risk estimate we provide. The company holds a Beta of 0.0813, which implies not very significant fluctuations relative to the market. 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 AG has a negative expected return of -0.17%. Please make sure to check Roche Holding's maximum drawdown, as well as the relationship between the daily balance of power and period momentum indicator , to decide if Roche Holding AG performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.61 |
Very good reverse predictability
Roche Holding AG has very good reverse predictability. Overlapping area represents the amount of predictability between Roche Holding time series from 1st of December 2023 to 29th of May 2024 and 29th of May 2024 to 25th 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 AG price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Roche Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 205.79 |
Roche Holding AG 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 AG.
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 Roche Stock Analysis
When running Roche Holding's price analysis, check to measure Roche Holding'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 Roche Holding is operating at the current time. Most of Roche Holding's value examination focuses on studying past and present price action to predict the probability of Roche Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Roche Holding's price. Additionally, you may evaluate how the addition of Roche Holding to your portfolios can decrease your overall portfolio volatility.