Astellas Pharma (Germany) Market Value
| YPH Stock | EUR 9.73 0.02 0.21% |
| Symbol | Astellas |
Astellas Pharma '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 Astellas Pharma'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 Astellas Pharma.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Astellas Pharma on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Astellas Pharma or generate 0.0% return on investment in Astellas Pharma over 30 days. Astellas Pharma is related to or competes with International Consolidated, Tradeweb Markets, National Retail, TRADEDOUBLER, United Airlines, AUTO TRADER, and Carsales. More
Astellas Pharma 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 Astellas Pharma'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 Astellas Pharma upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 5.01 | |||
| Value At Risk | (2.47) | |||
| Potential Upside | 1.22 |
Astellas Pharma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Astellas Pharma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Astellas Pharma's standard deviation. In reality, there are many statistical measures that can use Astellas Pharma historical prices to predict the future Astellas Pharma's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | 3.68 |
Astellas Pharma Backtested Returns
Astellas Pharma secures Sharpe Ratio (or Efficiency) of -0.21, which signifies that the company had a -0.21% return per unit of risk over the last 3 months. Astellas Pharma exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Astellas Pharma's Standard Deviation of 1.02, risk adjusted performance of (0.15), and Mean Deviation of 0.6596 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0586, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Astellas Pharma are expected to decrease at a much lower rate. During the bear market, Astellas Pharma is likely to outperform the market. At this point, Astellas Pharma has a negative expected return of -0.22%. Please make sure to confirm Astellas Pharma's treynor ratio, day median price, and the relationship between the information ratio and kurtosis , to decide if Astellas Pharma performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.58 |
Modest predictability
Astellas Pharma has modest predictability. Overlapping area represents the amount of predictability between Astellas Pharma time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Astellas Pharma price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Astellas Pharma price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Astellas Pharma lagged returns against current returns
Autocorrelation, which is Astellas Pharma 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 Astellas Pharma's stock expected returns. We can calculate the autocorrelation of Astellas Pharma returns to help us make a trade decision. For example, suppose you find that Astellas Pharma 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 |
Astellas Pharma 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 Astellas Pharma stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Astellas Pharma stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Astellas Pharma stock over time.
Current vs Lagged Prices |
| Timeline |
Astellas Pharma Lagged Returns
When evaluating Astellas Pharma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Astellas Pharma stock have on its future price. Astellas Pharma 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, Astellas Pharma autocorrelation shows the relationship between Astellas Pharma stock current value and its past values and can show if there is a momentum factor associated with investing in Astellas Pharma.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Astellas Stock Analysis
When running Astellas Pharma's price analysis, check to measure Astellas Pharma'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 Astellas Pharma is operating at the current time. Most of Astellas Pharma's value examination focuses on studying past and present price action to predict the probability of Astellas Pharma's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Astellas Pharma's price. Additionally, you may evaluate how the addition of Astellas Pharma to your portfolios can decrease your overall portfolio volatility.