Vonovia SE (Germany) Market Value
| VNA Stock | 30.18 1.37 4.76% |
| Symbol | Vonovia |
Vonovia SE '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 Vonovia SE'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 Vonovia SE.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Vonovia SE on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Vonovia SE or generate 0.0% return on investment in Vonovia SE over 30 days. Vonovia SE is related to or competes with AEGEAN AIRLINES, LIFENET INSURANCE, Zurich Insurance, Safety Insurance, JAPAN AIRLINES, and REVO INSURANCE. More
Vonovia SE 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 Vonovia SE'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 Vonovia SE upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 6.62 | |||
| Value At Risk | (2.42) | |||
| Potential Upside | 2.48 |
Vonovia SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vonovia SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vonovia SE's standard deviation. In reality, there are many statistical measures that can use Vonovia SE historical prices to predict the future Vonovia SE's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (0.23) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vonovia SE'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.
Vonovia SE Backtested Returns
Vonovia SE owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0972, which indicates the firm had a -0.0972% return per unit of risk over the last 3 months. Vonovia SE exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vonovia SE's Coefficient Of Variation of (2,970), variance of 2.2, and Risk Adjusted Performance of (0.02) to confirm the risk estimate we provide. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vonovia SE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vonovia SE is expected to be smaller as well. At this point, Vonovia SE has a negative expected return of -0.14%. Please make sure to validate Vonovia SE's skewness, as well as the relationship between the rate of daily change and period momentum indicator , to decide if Vonovia SE performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.47 |
Average predictability
Vonovia SE has average predictability. Overlapping area represents the amount of predictability between Vonovia SE time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 Vonovia SE price movement. The serial correlation of 0.47 indicates that about 47.0% of current Vonovia SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.25 |
Vonovia SE lagged returns against current returns
Autocorrelation, which is Vonovia SE 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 Vonovia SE's stock expected returns. We can calculate the autocorrelation of Vonovia SE returns to help us make a trade decision. For example, suppose you find that Vonovia SE 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 |
Vonovia SE 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 Vonovia SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vonovia SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vonovia SE stock over time.
Current vs Lagged Prices |
| Timeline |
Vonovia SE Lagged Returns
When evaluating Vonovia SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vonovia SE stock have on its future price. Vonovia SE 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, Vonovia SE autocorrelation shows the relationship between Vonovia SE stock current value and its past values and can show if there is a momentum factor associated with investing in Vonovia SE.
Regressed Prices |
| Timeline |
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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 Vonovia Stock Analysis
When running Vonovia SE's price analysis, check to measure Vonovia SE'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 Vonovia SE is operating at the current time. Most of Vonovia SE's value examination focuses on studying past and present price action to predict the probability of Vonovia SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vonovia SE's price. Additionally, you may evaluate how the addition of Vonovia SE to your portfolios can decrease your overall portfolio volatility.