VONOVIA SE (Germany) Market Value
| VNAA Stock | EUR 14.20 0.30 2.07% |
| 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.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in VONOVIA SE on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding VONOVIA SE ADR or generate 0.0% return on investment in VONOVIA SE over 720 days. VONOVIA SE is related to or competes with Alfa Financial, COMBA TELECOM, Bank of America, Gamma Communications, Upland Software, Spirent Communications, and Iridium Communications. Vonovia SE operates as an integrated residential real estate company in Europe 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 ADR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.23 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 14.57 | |||
| Value At Risk | (2.50) | |||
| Potential Upside | 3.92 |
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 | 0.0114 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0129 |
VONOVIA SE ADR Backtested Returns
VONOVIA SE ADR owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0216, which indicates the firm had a -0.0216% return per unit of standard deviation over the last 3 months. VONOVIA SE ADR exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate VONOVIA SE's coefficient of variation of 15781.72, and Risk Adjusted Performance of 0.0114 to confirm the risk estimate we provide. The entity has a beta of 0.33, which indicates possible diversification benefits within a given portfolio. 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 ADR has a negative expected return of -0.049%. Please make sure to validate VONOVIA SE's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to decide if VONOVIA SE ADR performance from the past will be repeated at some future point.
Auto-correlation | 0.40 |
Average predictability
VONOVIA SE ADR has average predictability. Overlapping area represents the amount of predictability between VONOVIA SE time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 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 ADR price movement. The serial correlation of 0.4 indicates that just about 40.0% of current VONOVIA SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 1.69 |
VONOVIA SE ADR 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 ADR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in VONOVIA Stock
VONOVIA SE financial ratios help investors to determine whether VONOVIA 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 VONOVIA with respect to the benefits of owning VONOVIA SE security.