Kaufman Broad (Germany) Market Value
3GH Stock | EUR 30.15 0.05 0.17% |
Symbol | Kaufman |
Kaufman Broad '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 Kaufman Broad'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 Kaufman Broad.
05/14/2022 |
| 05/03/2024 |
If you would invest 0.00 in Kaufman Broad on May 14, 2022 and sell it all today you would earn a total of 0.00 from holding Kaufman Broad SA or generate 0.0% return on investment in Kaufman Broad over 720 days. Kaufman Broad is related to or competes with Sabre Insurance, Vastned Retail, Direct Line, Reinsurance Group, Caseys General, and QBE Insurance. Kaufman Broad S.A. operates as a property developer and builder in France More
Kaufman Broad 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 Kaufman Broad'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 Kaufman Broad SA upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.75 | |||
Information Ratio | (0.01) | |||
Maximum Drawdown | 8.88 | |||
Value At Risk | (2.66) | |||
Potential Upside | 4.38 |
Kaufman Broad Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Kaufman Broad's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Kaufman Broad's standard deviation. In reality, there are many statistical measures that can use Kaufman Broad historical prices to predict the future Kaufman Broad's volatility.Risk Adjusted Performance | 0.022 | |||
Jensen Alpha | 0.0726 | |||
Total Risk Alpha | (0.1) | |||
Sortino Ratio | (0.01) | |||
Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Kaufman Broad'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.
Kaufman Broad SA Backtested Returns
We consider Kaufman Broad very steady. Kaufman Broad SA has Sharpe Ratio of 0.0397, which conveys that the firm had a 0.0397% return per unit of risk over the last 3 months. We have found thirty technical indicators for Kaufman Broad, which you can use to evaluate the volatility of the firm. Please verify Kaufman Broad's Downside Deviation of 1.75, risk adjusted performance of 0.022, and Mean Deviation of 1.35 to check out if the risk estimate we provide is consistent with the expected return of 0.0659%. Kaufman Broad has a performance score of 3 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.83, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Kaufman Broad are expected to decrease at a much lower rate. During the bear market, Kaufman Broad is likely to outperform the market. Kaufman Broad SA right now secures a risk of 1.66%. Please verify Kaufman Broad SA total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Kaufman Broad SA will be following its current price movements.
Auto-correlation | 0.48 |
Average predictability
Kaufman Broad SA has average predictability. Overlapping area represents the amount of predictability between Kaufman Broad time series from 14th of May 2022 to 9th of May 2023 and 9th of May 2023 to 3rd of May 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 Kaufman Broad SA price movement. The serial correlation of 0.48 indicates that about 48.0% of current Kaufman Broad price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.48 | |
Spearman Rank Test | 0.45 | |
Residual Average | 0.0 | |
Price Variance | 3.05 |
Kaufman Broad SA lagged returns against current returns
Autocorrelation, which is Kaufman Broad 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 Kaufman Broad's stock expected returns. We can calculate the autocorrelation of Kaufman Broad returns to help us make a trade decision. For example, suppose you find that Kaufman Broad 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 |
Kaufman Broad 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 Kaufman Broad stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Kaufman Broad stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Kaufman Broad stock over time.
Current vs Lagged Prices |
Timeline |
Kaufman Broad Lagged Returns
When evaluating Kaufman Broad's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Kaufman Broad stock have on its future price. Kaufman Broad 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, Kaufman Broad autocorrelation shows the relationship between Kaufman Broad stock current value and its past values and can show if there is a momentum factor associated with investing in Kaufman Broad SA.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Kaufman Broad in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Kaufman Broad's short interest history, or implied volatility extrapolated from Kaufman Broad options trading.
Thematic Opportunities
Explore Investment Opportunities
Check out Kaufman Broad Correlation, Kaufman Broad Volatility and Kaufman Broad Alpha and Beta module to complement your research on Kaufman Broad. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Complementary Tools for Kaufman Stock analysis
When running Kaufman Broad's price analysis, check to measure Kaufman Broad'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 Kaufman Broad is operating at the current time. Most of Kaufman Broad's value examination focuses on studying past and present price action to predict the probability of Kaufman Broad's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Kaufman Broad's price. Additionally, you may evaluate how the addition of Kaufman Broad to your portfolios can decrease your overall portfolio volatility.
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Kaufman Broad technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.