BankInvest Hjt (Denmark) Market Value
| BAIHU Stock | 145.90 0.90 0.62% |
| Symbol | BankInvest |
BankInvest Hjt '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 BankInvest Hjt'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 BankInvest Hjt.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in BankInvest Hjt on November 5, 2024 and sell it all today you would earn a total of 0.00 from holding BankInvest Hjt Udbytte or generate 0.0% return on investment in BankInvest Hjt over 60 days.
BankInvest Hjt 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 BankInvest Hjt'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 BankInvest Hjt Udbytte upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6751 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.18 | |||
| Value At Risk | (1.17) | |||
| Potential Upside | 1.35 |
BankInvest Hjt Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BankInvest Hjt's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BankInvest Hjt's standard deviation. In reality, there are many statistical measures that can use BankInvest Hjt historical prices to predict the future BankInvest Hjt's volatility.| Risk Adjusted Performance | 0.0067 | |||
| Jensen Alpha | (0.0007) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0166 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BankInvest Hjt'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.
BankInvest Hjt Udbytte Backtested Returns
BankInvest Hjt Udbytte secures Sharpe Ratio (or Efficiency) of -0.0018, which signifies that the company had a -0.0018% return per unit of risk over the last 3 months. BankInvest Hjt Udbytte exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BankInvest Hjt's Downside Deviation of 0.6751, mean deviation of 0.5311, and Risk Adjusted Performance of 0.0067 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning BankInvest Hjt are expected to decrease at a much lower rate. During the bear market, BankInvest Hjt is likely to outperform the market. At this point, BankInvest Hjt Udbytte has a negative expected return of -0.0013%. Please make sure to confirm BankInvest Hjt's semi variance, and the relationship between the treynor ratio and daily balance of power , to decide if BankInvest Hjt Udbytte performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.19 |
Insignificant reverse predictability
BankInvest Hjt Udbytte has insignificant reverse predictability. Overlapping area represents the amount of predictability between BankInvest Hjt time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BankInvest Hjt Udbytte price movement. The serial correlation of -0.19 indicates that over 19.0% of current BankInvest Hjt price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 3.11 |
BankInvest Hjt Udbytte lagged returns against current returns
Autocorrelation, which is BankInvest Hjt 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 BankInvest Hjt's stock expected returns. We can calculate the autocorrelation of BankInvest Hjt returns to help us make a trade decision. For example, suppose you find that BankInvest Hjt 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 |
BankInvest Hjt 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 BankInvest Hjt stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BankInvest Hjt stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BankInvest Hjt stock over time.
Current vs Lagged Prices |
| Timeline |
BankInvest Hjt Lagged Returns
When evaluating BankInvest Hjt's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BankInvest Hjt stock have on its future price. BankInvest Hjt 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, BankInvest Hjt autocorrelation shows the relationship between BankInvest Hjt stock current value and its past values and can show if there is a momentum factor associated with investing in BankInvest Hjt Udbytte.
Regressed Prices |
| Timeline |
Pair Trading with BankInvest Hjt
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 BankInvest Hjt 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 BankInvest Hjt will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to BankInvest Hjt could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BankInvest Hjt 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 BankInvest Hjt - 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 BankInvest Hjt Udbytte to buy it.
The correlation of BankInvest Hjt 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 BankInvest Hjt moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BankInvest Hjt Udbytte 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 BankInvest Hjt 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.