Asetek AS (Denmark) Market Value
| ASTK Stock | 0.99 0.27 21.43% |
| Symbol | Asetek |
Asetek AS '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 Asetek AS'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 Asetek AS.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Asetek AS on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Asetek AS or generate 0.0% return on investment in Asetek AS over 30 days.
Asetek AS 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 Asetek AS'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 Asetek AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 57.02 | |||
| Value At Risk | (9.57) | |||
| Potential Upside | 10.8 |
Asetek AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Asetek AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Asetek AS's standard deviation. In reality, there are many statistical measures that can use Asetek AS historical prices to predict the future Asetek AS's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (1.81) | |||
| Treynor Ratio | 0.1581 |
Asetek AS Backtested Returns
Asetek AS secures Sharpe Ratio (or Efficiency) of -0.0634, which signifies that the company had a -0.0634% return per unit of standard deviation over the last 3 months. Asetek AS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Asetek AS's mean deviation of 4.67, and Risk Adjusted Performance of (0.04) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -3.7, which signifies a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Asetek AS are expected to decrease by larger amounts. On the other hand, during market turmoil, Asetek AS is expected to outperform it. At this point, Asetek AS has a negative expected return of -0.52%. Please make sure to confirm Asetek AS's mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Asetek AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.28 |
Weak reverse predictability
Asetek AS has weak reverse predictability. Overlapping area represents the amount of predictability between Asetek AS time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Asetek AS price movement. The serial correlation of -0.28 indicates that nearly 28.0% of current Asetek AS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.28 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Asetek AS lagged returns against current returns
Autocorrelation, which is Asetek AS 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 Asetek AS's stock expected returns. We can calculate the autocorrelation of Asetek AS returns to help us make a trade decision. For example, suppose you find that Asetek AS 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 |
Asetek AS 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 Asetek AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Asetek AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Asetek AS stock over time.
Current vs Lagged Prices |
| Timeline |
Asetek AS Lagged Returns
When evaluating Asetek AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Asetek AS stock have on its future price. Asetek AS 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, Asetek AS autocorrelation shows the relationship between Asetek AS stock current value and its past values and can show if there is a momentum factor associated with investing in Asetek AS.
Regressed Prices |
| Timeline |
Pair Trading with Asetek AS
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 Asetek AS 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 Asetek AS will appreciate offsetting losses from the drop in the long position's value.Moving together with Asetek Stock
Moving against Asetek Stock
The ability to find closely correlated positions to Asetek AS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Asetek AS 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 Asetek AS - 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 Asetek AS to buy it.
The correlation of Asetek AS 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 Asetek AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Asetek 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 Asetek AS 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.