AstraZeneca PLC (Germany) Market Value
| ZEG Stock | 126.75 5.15 4.24% |
| Symbol | AstraZeneca |
AstraZeneca PLC '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 AstraZeneca PLC'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 AstraZeneca PLC.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in AstraZeneca PLC on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding AstraZeneca PLC or generate 0.0% return on investment in AstraZeneca PLC over 30 days. AstraZeneca PLC is related to or competes with Johnson Johnson, Pfizer, Amgen, Bayer AG, and Biogen. More
AstraZeneca PLC 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 AstraZeneca PLC'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 AstraZeneca PLC upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 9.85 | |||
| Value At Risk | (3.13) | |||
| Potential Upside | 1.61 |
AstraZeneca PLC Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AstraZeneca PLC's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AstraZeneca PLC's standard deviation. In reality, there are many statistical measures that can use AstraZeneca PLC historical prices to predict the future AstraZeneca PLC's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.32) | |||
| Total Risk Alpha | (0.55) | |||
| Treynor Ratio | (1.38) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AstraZeneca PLC'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.
AstraZeneca PLC Backtested Returns
AstraZeneca PLC secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the company had a -0.18% return per unit of risk over the last 3 months. AstraZeneca PLC exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AstraZeneca PLC's Risk Adjusted Performance of (0.13), standard deviation of 1.61, and Mean Deviation of 1.06 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.22, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AstraZeneca PLC's returns are expected to increase less than the market. However, during the bear market, the loss of holding AstraZeneca PLC is expected to be smaller as well. At this point, AstraZeneca PLC has a negative expected return of -0.29%. Please make sure to confirm AstraZeneca PLC's potential upside, daily balance of power, as well as the relationship between the Daily Balance Of Power and market facilitation index , to decide if AstraZeneca PLC performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.41 |
Modest reverse predictability
AstraZeneca PLC has modest reverse predictability. Overlapping area represents the amount of predictability between AstraZeneca PLC time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 AstraZeneca PLC price movement. The serial correlation of -0.41 indicates that just about 41.0% of current AstraZeneca PLC price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 5.38 |
AstraZeneca PLC lagged returns against current returns
Autocorrelation, which is AstraZeneca PLC 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 AstraZeneca PLC's stock expected returns. We can calculate the autocorrelation of AstraZeneca PLC returns to help us make a trade decision. For example, suppose you find that AstraZeneca PLC 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 |
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AstraZeneca PLC 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 AstraZeneca PLC stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AstraZeneca PLC stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AstraZeneca PLC stock over time.
Current vs Lagged Prices |
| Timeline |
AstraZeneca PLC Lagged Returns
When evaluating AstraZeneca PLC's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AstraZeneca PLC stock have on its future price. AstraZeneca PLC 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, AstraZeneca PLC autocorrelation shows the relationship between AstraZeneca PLC stock current value and its past values and can show if there is a momentum factor associated with investing in AstraZeneca PLC.
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 AstraZeneca Stock Analysis
When running AstraZeneca PLC's price analysis, check to measure AstraZeneca PLC'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 AstraZeneca PLC is operating at the current time. Most of AstraZeneca PLC's value examination focuses on studying past and present price action to predict the probability of AstraZeneca PLC's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AstraZeneca PLC's price. Additionally, you may evaluate how the addition of AstraZeneca PLC to your portfolios can decrease your overall portfolio volatility.