JDS UNIPHASE (Germany) Market Value
| UNS1 Stock | EUR 9.30 0.35 3.63% |
| Symbol | JDS |
JDS UNIPHASE '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 JDS UNIPHASE'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 JDS UNIPHASE.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in JDS UNIPHASE on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding JDS UNIPHASE or generate 0.0% return on investment in JDS UNIPHASE over 30 days. JDS UNIPHASE is related to or competes with Martin Marietta, Computer, Japan Tobacco, Plastic Omnium, MACOM Technology, and Eagle Materials. More
JDS UNIPHASE 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 JDS UNIPHASE'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 JDS UNIPHASE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.5 | |||
| Information Ratio | 0.075 | |||
| Maximum Drawdown | 14.74 | |||
| Value At Risk | (3.52) | |||
| Potential Upside | 3.17 |
JDS UNIPHASE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JDS UNIPHASE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JDS UNIPHASE's standard deviation. In reality, there are many statistical measures that can use JDS UNIPHASE historical prices to predict the future JDS UNIPHASE's volatility.| Risk Adjusted Performance | 0.1091 | |||
| Jensen Alpha | 0.1058 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0701 | |||
| Treynor Ratio | 0.1961 |
JDS UNIPHASE Backtested Returns
JDS UNIPHASE appears to be somewhat reliable, given 3 months investment horizon. JDS UNIPHASE holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had a 0.14% return per unit of volatility over the last 3 months. We have found twenty-seven technical indicators for JDS UNIPHASE, which you can use to evaluate the volatility of the firm. Please utilize JDS UNIPHASE's risk adjusted performance of 0.1091, and Market Risk Adjusted Performance of 0.2061 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, JDS UNIPHASE holds a performance score of 10. The company retains a Market Volatility (i.e., Beta) of 1.54, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, JDS UNIPHASE will likely underperform. Please check JDS UNIPHASE's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether JDS UNIPHASE's current trending patterns will revert.
Auto-correlation | 0.67 |
Good predictability
JDS UNIPHASE has good predictability. Overlapping area represents the amount of predictability between JDS UNIPHASE time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 JDS UNIPHASE price movement. The serial correlation of 0.67 indicates that around 67.0% of current JDS UNIPHASE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
JDS UNIPHASE lagged returns against current returns
Autocorrelation, which is JDS UNIPHASE 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 JDS UNIPHASE's stock expected returns. We can calculate the autocorrelation of JDS UNIPHASE returns to help us make a trade decision. For example, suppose you find that JDS UNIPHASE 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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JDS UNIPHASE 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 JDS UNIPHASE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JDS UNIPHASE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JDS UNIPHASE stock over time.
Current vs Lagged Prices |
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JDS UNIPHASE Lagged Returns
When evaluating JDS UNIPHASE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JDS UNIPHASE stock have on its future price. JDS UNIPHASE 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, JDS UNIPHASE autocorrelation shows the relationship between JDS UNIPHASE stock current value and its past values and can show if there is a momentum factor associated with investing in JDS UNIPHASE.
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.Other Information on Investing in JDS Stock
JDS UNIPHASE financial ratios help investors to determine whether JDS 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 JDS with respect to the benefits of owning JDS UNIPHASE security.