ALK Abell (Denmark) Market Value
| ALK-B Stock | DKK 158.70 2.20 1.37% |
| Symbol | ALK |
ALK Abell '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 ALK Abell'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 ALK Abell.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in ALK Abell on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding ALK Abell AS or generate 0.0% return on investment in ALK Abell over 540 days. ALK Abell is related to or competes with Ambu AS, GN Store, FLSmidth, NKT AS, and Genmab AS. ALK-Abell AS, a pharmaceutical company, develops and markets products and services for allergy and allergic asthma in Eu... More
ALK Abell 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 ALK Abell'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 ALK Abell AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 13.81 | |||
| Value At Risk | (2.90) | |||
| Potential Upside | 2.57 |
ALK Abell Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ALK Abell's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ALK Abell's standard deviation. In reality, there are many statistical measures that can use ALK Abell historical prices to predict the future ALK Abell's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (1.71) |
ALK Abell AS Backtested Returns
ALK Abell AS secures Sharpe Ratio (or Efficiency) of -0.0812, which signifies that the company had a -0.0812% return per unit of return volatility over the last 3 months. ALK Abell AS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ALK Abell's Coefficient Of Variation of (1,392), risk adjusted performance of (0.05), and Mean Deviation of 1.5 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0947, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ALK Abell's returns are expected to increase less than the market. However, during the bear market, the loss of holding ALK Abell is expected to be smaller as well. At this point, ALK Abell AS has a negative expected return of -0.17%. Please make sure to confirm ALK Abell's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if ALK Abell AS performance from the past will be repeated in the future.
Auto-correlation | 0.57 |
Modest predictability
ALK Abell AS has modest predictability. Overlapping area represents the amount of predictability between ALK Abell time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 ALK Abell AS price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current ALK Abell price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 272.41 |
ALK Abell AS lagged returns against current returns
Autocorrelation, which is ALK Abell 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 ALK Abell's stock expected returns. We can calculate the autocorrelation of ALK Abell returns to help us make a trade decision. For example, suppose you find that ALK Abell 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 |
ALK Abell 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 ALK Abell stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ALK Abell stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ALK Abell stock over time.
Current vs Lagged Prices |
| Timeline |
ALK Abell Lagged Returns
When evaluating ALK Abell's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ALK Abell stock have on its future price. ALK Abell 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, ALK Abell autocorrelation shows the relationship between ALK Abell stock current value and its past values and can show if there is a momentum factor associated with investing in ALK Abell AS.
Regressed Prices |
| Timeline |
Pair Trading with ALK Abell
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if ALK Abell position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ALK Abell will appreciate offsetting losses from the drop in the long position's value.Moving together with ALK Stock
| 0.9 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.8 | GMAB | Genmab AS | PairCorr |
| 0.85 | BAVA | Bavarian Nordic | PairCorr |
| 0.76 | ZEAL | Zealand Pharma AS | PairCorr |
Moving against ALK Stock
The ability to find closely correlated positions to ALK Abell could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ALK Abell when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back ALK Abell - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling ALK Abell AS to buy it.
The correlation of ALK Abell is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as ALK Abell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ALK Abell AS moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for ALK Abell can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in ALK Stock
ALK Abell financial ratios help investors to determine whether ALK Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in ALK with respect to the benefits of owning ALK Abell security.