TDK (Germany) Market Value
| TDKA Stock | 11.10 0.20 1.83% |
| Symbol | TDK |
TDK '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 TDK'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 TDK.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in TDK on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding TDK Corporation or generate 0.0% return on investment in TDK over 30 days. TDK is related to or competes with Murata Manufacturing, and TDK. More
TDK 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 TDK'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 TDK Corporation upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 21.49 | |||
| Value At Risk | (7.02) | |||
| Potential Upside | 7.55 |
TDK Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TDK's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TDK's standard deviation. In reality, there are many statistical measures that can use TDK historical prices to predict the future TDK's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | 0.0114 | |||
| Total Risk Alpha | (0.74) | |||
| Treynor Ratio | 0.111 |
TDK Corporation Backtested Returns
TDK Corporation owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0199, which indicates the firm had a -0.0199% return per unit of volatility over the last 3 months. TDK Corporation exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate TDK's risk adjusted performance of (0), and Variance of 15.62 to confirm the risk estimate we provide. The entity has a beta of -0.69, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning TDK are expected to decrease at a much lower rate. During the bear market, TDK is likely to outperform the market. At this point, TDK Corporation has a negative expected return of -0.0787%. Please make sure to validate TDK's total risk alpha, maximum drawdown, skewness, as well as the relationship between the treynor ratio and potential upside , to decide if TDK Corporation performance from the past will be repeated at future time.
Auto-correlation | -0.32 |
Poor reverse predictability
TDK Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between TDK time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 TDK Corporation price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current TDK price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
TDK Corporation lagged returns against current returns
Autocorrelation, which is TDK 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 TDK's stock expected returns. We can calculate the autocorrelation of TDK returns to help us make a trade decision. For example, suppose you find that TDK 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 |
TDK 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 TDK stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TDK stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TDK stock over time.
Current vs Lagged Prices |
| Timeline |
TDK Lagged Returns
When evaluating TDK's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TDK stock have on its future price. TDK 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, TDK autocorrelation shows the relationship between TDK stock current value and its past values and can show if there is a momentum factor associated with investing in TDK Corporation.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in TDK Stock
TDK financial ratios help investors to determine whether TDK 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 TDK with respect to the benefits of owning TDK security.