Epiroc AB (Sweden) Market Value
| EPI-A Stock | SEK 195.35 0.80 0.41% |
| Symbol | Epiroc |
Epiroc AB '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 Epiroc AB'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 Epiroc AB.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in Epiroc AB on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding Epiroc AB or generate 0.0% return on investment in Epiroc AB over 30 days. Epiroc AB is related to or competes with Atlas Copco, Sandvik AB, Essity AB, and Hexagon AB. Epiroc AB , together with its subsidiaries, develops and produces equipment, consumables, and service for use in surface... More
Epiroc AB 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 Epiroc AB'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 Epiroc AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.54 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 8.44 | |||
| Value At Risk | (2.77) | |||
| Potential Upside | 2.74 |
Epiroc AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Epiroc AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Epiroc AB's standard deviation. In reality, there are many statistical measures that can use Epiroc AB historical prices to predict the future Epiroc AB's volatility.| Risk Adjusted Performance | 0.0156 | |||
| Jensen Alpha | 0.0099 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1716 |
Epiroc AB Backtested Returns
Epiroc AB secures Sharpe Ratio (or Efficiency) of -0.0352, which denotes the company had a -0.0352% return per unit of risk over the last 3 months. Epiroc AB exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Epiroc AB's Downside Deviation of 1.54, coefficient of variation of 7549.09, and Mean Deviation of 1.22 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0663, which means not very significant fluctuations relative to the market. As returns on the market increase, Epiroc AB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Epiroc AB is expected to be smaller as well. At this point, Epiroc AB has a negative expected return of -0.055%. Please make sure to confirm Epiroc AB's downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Epiroc AB performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.8 |
Almost perfect reverse predictability
Epiroc AB has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Epiroc AB time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd 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 Epiroc AB price movement. The serial correlation of -0.8 indicates that around 80.0% of current Epiroc AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.8 | |
| Spearman Rank Test | -0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 25.91 |
Epiroc AB lagged returns against current returns
Autocorrelation, which is Epiroc AB 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 Epiroc AB's stock expected returns. We can calculate the autocorrelation of Epiroc AB returns to help us make a trade decision. For example, suppose you find that Epiroc AB 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 |
Epiroc AB 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 Epiroc AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Epiroc AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Epiroc AB stock over time.
Current vs Lagged Prices |
| Timeline |
Epiroc AB Lagged Returns
When evaluating Epiroc AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Epiroc AB stock have on its future price. Epiroc AB 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, Epiroc AB autocorrelation shows the relationship between Epiroc AB stock current value and its past values and can show if there is a momentum factor associated with investing in Epiroc AB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Epiroc Stock Analysis
When running Epiroc AB's price analysis, check to measure Epiroc AB'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 Epiroc AB is operating at the current time. Most of Epiroc AB's value examination focuses on studying past and present price action to predict the probability of Epiroc AB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Epiroc AB's price. Additionally, you may evaluate how the addition of Epiroc AB to your portfolios can decrease your overall portfolio volatility.