WESTERN DIGITAL (Germany) Market Value
| WDC Stock | 67.57 0.32 0.47% |
| Symbol | WESTERN |
WESTERN DIGITAL '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 WESTERN DIGITAL'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 WESTERN DIGITAL.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in WESTERN DIGITAL on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding WESTERN DIGITAL or generate 0.0% return on investment in WESTERN DIGITAL over 720 days. WESTERN DIGITAL is related to or competes with Penn National, Tsingtao Brewery, Boston Beer, Boyd Gaming, International Game, GAMING FAC, and BOSTON BEER. More
WESTERN DIGITAL 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 WESTERN DIGITAL'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 WESTERN DIGITAL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.82 | |||
| Information Ratio | 0.0633 | |||
| Maximum Drawdown | 11.25 | |||
| Value At Risk | (2.63) | |||
| Potential Upside | 5.69 |
WESTERN DIGITAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for WESTERN DIGITAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as WESTERN DIGITAL's standard deviation. In reality, there are many statistical measures that can use WESTERN DIGITAL historical prices to predict the future WESTERN DIGITAL's volatility.| Risk Adjusted Performance | 0.0994 | |||
| Jensen Alpha | 0.2614 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | 0.0829 | |||
| Treynor Ratio | 2.08 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of WESTERN DIGITAL'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.
WESTERN DIGITAL Backtested Returns
WESTERN DIGITAL appears to be very steady, given 3 months investment horizon. WESTERN DIGITAL shows Sharpe Ratio of 0.0966, which attests that the company had a 0.0966% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for WESTERN DIGITAL, which you can use to evaluate the volatility of the company. Please utilize WESTERN DIGITAL's Downside Deviation of 1.82, mean deviation of 1.78, and Market Risk Adjusted Performance of 2.09 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, WESTERN DIGITAL holds a performance score of 7. The firm maintains a market beta of 0.13, which attests to not very significant fluctuations relative to the market. As returns on the market increase, WESTERN DIGITAL's returns are expected to increase less than the market. However, during the bear market, the loss of holding WESTERN DIGITAL is expected to be smaller as well. Please check WESTERN DIGITAL's value at risk, kurtosis, period momentum indicator, as well as the relationship between the semi variance and day median price , to make a quick decision on whether WESTERN DIGITAL's historical returns will revert.
Auto-correlation | 0.02 |
Virtually no predictability
WESTERN DIGITAL has virtually no predictability. Overlapping area represents the amount of predictability between WESTERN DIGITAL time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 WESTERN DIGITAL price movement. The serial correlation of 0.02 indicates that only 2.0% of current WESTERN DIGITAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.02 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 60.21 |
WESTERN DIGITAL lagged returns against current returns
Autocorrelation, which is WESTERN DIGITAL 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 WESTERN DIGITAL's stock expected returns. We can calculate the autocorrelation of WESTERN DIGITAL returns to help us make a trade decision. For example, suppose you find that WESTERN DIGITAL 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 |
WESTERN DIGITAL 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 WESTERN DIGITAL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if WESTERN DIGITAL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in WESTERN DIGITAL stock over time.
Current vs Lagged Prices |
| Timeline |
WESTERN DIGITAL Lagged Returns
When evaluating WESTERN DIGITAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of WESTERN DIGITAL stock have on its future price. WESTERN DIGITAL 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, WESTERN DIGITAL autocorrelation shows the relationship between WESTERN DIGITAL stock current value and its past values and can show if there is a momentum factor associated with investing in WESTERN DIGITAL.
Regressed Prices |
| Timeline |
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Additional Tools for WESTERN Stock Analysis
When running WESTERN DIGITAL's price analysis, check to measure WESTERN DIGITAL'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 WESTERN DIGITAL is operating at the current time. Most of WESTERN DIGITAL's value examination focuses on studying past and present price action to predict the probability of WESTERN DIGITAL's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move WESTERN DIGITAL's price. Additionally, you may evaluate how the addition of WESTERN DIGITAL to your portfolios can decrease your overall portfolio volatility.