Walgreens Boots (Germany) Market Value
| W8A Stock | 9.80 1.32 15.57% |
| Symbol | Walgreens |
Walgreens Boots '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 Walgreens Boots' 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 Walgreens Boots.
| 12/22/2022 |
| 12/11/2024 |
If you would invest 0.00 in Walgreens Boots on December 22, 2022 and sell it all today you would earn a total of 0.00 from holding Walgreens Boots Alliance or generate 0.0% return on investment in Walgreens Boots over 720 days. Walgreens Boots is related to or competes with SBI Insurance, REVO INSURANCE, Playtech Plc, Ping An, Selective Insurance, InPlay Oil, and TRAVEL LEISURE. More
Walgreens Boots 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 Walgreens Boots' 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 Walgreens Boots Alliance upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.58 | |||
| Information Ratio | 0.0238 | |||
| Maximum Drawdown | 22.41 | |||
| Value At Risk | (4.08) | |||
| Potential Upside | 5.9 |
Walgreens Boots Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Walgreens Boots' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Walgreens Boots' standard deviation. In reality, there are many statistical measures that can use Walgreens Boots historical prices to predict the future Walgreens Boots' volatility.| Risk Adjusted Performance | 0.0534 | |||
| Jensen Alpha | 0.1791 | |||
| Total Risk Alpha | (0.31) | |||
| Sortino Ratio | 0.0291 | |||
| Treynor Ratio | 2.1 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Walgreens Boots' 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.
Walgreens Boots Alliance Backtested Returns
Walgreens Boots appears to be slightly risky, given 3 months investment horizon. Walgreens Boots Alliance shows Sharpe Ratio of 0.12, which attests that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Walgreens Boots Alliance, which you can use to evaluate the volatility of the company. Please utilize Walgreens Boots' Downside Deviation of 2.58, market risk adjusted performance of 2.11, and Mean Deviation of 2.15 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Walgreens Boots holds a performance score of 9. The firm maintains a market beta of 0.0902, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Walgreens Boots' returns are expected to increase less than the market. However, during the bear market, the loss of holding Walgreens Boots is expected to be smaller as well. Please check Walgreens Boots' semi variance, rate of daily change, and the relationship between the value at risk and kurtosis , to make a quick decision on whether Walgreens Boots' historical returns will revert.
Auto-correlation | 0.93 |
Excellent predictability
Walgreens Boots Alliance has excellent predictability. Overlapping area represents the amount of predictability between Walgreens Boots time series from 22nd of December 2022 to 17th of December 2023 and 17th of December 2023 to 11th 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 Walgreens Boots Alliance price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current Walgreens Boots price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.93 | |
| Spearman Rank Test | 0.92 | |
| Residual Average | 0.0 | |
| Price Variance | 21.37 |
Walgreens Boots Alliance lagged returns against current returns
Autocorrelation, which is Walgreens Boots 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 Walgreens Boots' stock expected returns. We can calculate the autocorrelation of Walgreens Boots returns to help us make a trade decision. For example, suppose you find that Walgreens Boots 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 |
Walgreens Boots 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 Walgreens Boots stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Walgreens Boots stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Walgreens Boots stock over time.
Current vs Lagged Prices |
| Timeline |
Walgreens Boots Lagged Returns
When evaluating Walgreens Boots' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Walgreens Boots stock have on its future price. Walgreens Boots 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, Walgreens Boots autocorrelation shows the relationship between Walgreens Boots stock current value and its past values and can show if there is a momentum factor associated with investing in Walgreens Boots Alliance.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Walgreens Stock Analysis
When running Walgreens Boots' price analysis, check to measure Walgreens Boots' 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 Walgreens Boots is operating at the current time. Most of Walgreens Boots' value examination focuses on studying past and present price action to predict the probability of Walgreens Boots' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Walgreens Boots' price. Additionally, you may evaluate how the addition of Walgreens Boots to your portfolios can decrease your overall portfolio volatility.