AMGEN INC 44 Market Value
| 031162BZ2 | 86.21 0.44 0.51% |
| Symbol | AMGEN |
AMGEN '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 AMGEN's bond 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 AMGEN.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in AMGEN on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding AMGEN INC 44 or generate 0.0% return on investment in AMGEN over 180 days. AMGEN is related to or competes with Westrock Coffee, CECO Environmental, Jacobs Solutions, Ambev SA, Everus Construction, Tyson Foods, and Dream Finders. More
AMGEN 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 AMGEN's bond 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 AMGEN INC 44 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 21.01 | |||
| Value At Risk | (4.50) | |||
| Potential Upside | 4.64 |
AMGEN Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AMGEN's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AMGEN's standard deviation. In reality, there are many statistical measures that can use AMGEN historical prices to predict the future AMGEN's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.49) | |||
| Treynor Ratio | (0.45) |
AMGEN INC 44 Backtested Returns
AMGEN INC 44 secures Sharpe Ratio (or Efficiency) of -0.0328, which signifies that the bond had a -0.0328% return per unit of risk over the last 3 months. AMGEN INC 44 exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AMGEN's Standard Deviation of 2.76, mean deviation of 1.41, and Risk Adjusted Performance of (0.01) to double-check the risk estimate we provide. The bond shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AMGEN's returns are expected to increase less than the market. However, during the bear market, the loss of holding AMGEN is expected to be smaller as well.
Auto-correlation | -0.61 |
Very good reverse predictability
AMGEN INC 44 has very good reverse predictability. Overlapping area represents the amount of predictability between AMGEN time series from 31st of May 2024 to 29th of August 2024 and 29th of August 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 AMGEN INC 44 price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current AMGEN price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 4.81 |
AMGEN INC 44 lagged returns against current returns
Autocorrelation, which is AMGEN bond'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 AMGEN's bond expected returns. We can calculate the autocorrelation of AMGEN returns to help us make a trade decision. For example, suppose you find that AMGEN has exhibited high autocorrelation historically, and you observe that the bond 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 |
AMGEN 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 AMGEN bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AMGEN bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AMGEN bond over time.
Current vs Lagged Prices |
| Timeline |
AMGEN Lagged Returns
When evaluating AMGEN's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AMGEN bond have on its future price. AMGEN 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, AMGEN autocorrelation shows the relationship between AMGEN bond current value and its past values and can show if there is a momentum factor associated with investing in AMGEN INC 44.
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 AMGEN Bond
AMGEN financial ratios help investors to determine whether AMGEN Bond 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 AMGEN with respect to the benefits of owning AMGEN security.