SIEMENS AG (Germany) Market Value
| SIEB Stock | EUR 88.50 1.00 1.14% |
| Symbol | SIEMENS |
SIEMENS AG '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 SIEMENS AG'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 SIEMENS AG.
| 02/01/2024 |
| 11/27/2024 |
If you would invest 0.00 in SIEMENS AG on February 1, 2024 and sell it all today you would earn a total of 0.00 from holding SIEMENS AG SP or generate 0.0% return on investment in SIEMENS AG over 300 days. SIEMENS AG is related to or competes with Superior Plus, NMI Holdings, SIVERS SEMICONDUCTORS, Talanx AG, 2G ENERGY, NorAm Drilling, and Identiv. Siemens Aktiengesellschaft, a technology company, focuses in the areas of automation and digitalization in Europe, Commo... More
SIEMENS AG 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 SIEMENS AG'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 SIEMENS AG SP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.93 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 11.52 | |||
| Value At Risk | (2.94) | |||
| Potential Upside | 2.5 |
SIEMENS AG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SIEMENS AG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SIEMENS AG's standard deviation. In reality, there are many statistical measures that can use SIEMENS AG historical prices to predict the future SIEMENS AG's volatility.| Risk Adjusted Performance | 0.0545 | |||
| Jensen Alpha | 0.1042 | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (7.77) |
SIEMENS AG SP Backtested Returns
At this point, SIEMENS AG is very steady. SIEMENS AG SP owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0649, which indicates the firm had a 0.0649% return per unit of volatility over the last 3 months. We have found thirty technical indicators for SIEMENS AG SP, which you can use to evaluate the volatility of the company. Please validate SIEMENS AG's risk adjusted performance of 0.0545, and Coefficient Of Variation of 1566.77 to confirm if the risk estimate we provide is consistent with the expected return of 0.12%. SIEMENS AG has a performance score of 5 on a scale of 0 to 100. The entity has a beta of -0.0132, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SIEMENS AG are expected to decrease at a much lower rate. During the bear market, SIEMENS AG is likely to outperform the market. SIEMENS AG SP currently has a risk of 1.79%. Please validate SIEMENS AG standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if SIEMENS AG will be following its existing price patterns.
Auto-correlation | -0.35 |
Poor reverse predictability
SIEMENS AG SP has poor reverse predictability. Overlapping area represents the amount of predictability between SIEMENS AG time series from 1st of February 2024 to 30th of June 2024 and 30th of June 2024 to 27th 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 SIEMENS AG SP price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current SIEMENS AG price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 19.45 |
SIEMENS AG SP lagged returns against current returns
Autocorrelation, which is SIEMENS AG 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 SIEMENS AG's stock expected returns. We can calculate the autocorrelation of SIEMENS AG returns to help us make a trade decision. For example, suppose you find that SIEMENS AG 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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SIEMENS AG 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 SIEMENS AG stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SIEMENS AG stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SIEMENS AG stock over time.
Current vs Lagged Prices |
| Timeline |
SIEMENS AG Lagged Returns
When evaluating SIEMENS AG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SIEMENS AG stock have on its future price. SIEMENS AG 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, SIEMENS AG autocorrelation shows the relationship between SIEMENS AG stock current value and its past values and can show if there is a momentum factor associated with investing in SIEMENS AG SP.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in SIEMENS Stock
SIEMENS AG financial ratios help investors to determine whether SIEMENS 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 SIEMENS with respect to the benefits of owning SIEMENS AG security.