Fabege AB (Sweden) Market Value
| FABG Stock | SEK 84.90 0.15 0.18% |
| Symbol | Fabege |
Fabege 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 Fabege 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 Fabege AB.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Fabege AB on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Fabege AB or generate 0.0% return on investment in Fabege AB over 30 days. Fabege AB is related to or competes with Castellum, Fastighets, Wihlborgs Fastigheter, Hufvudstaden, and Wallenstam. Fabege AB , a property company, focuses primarily on the development and management of commercial premises in Sweden More
Fabege 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 Fabege 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 Fabege AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 7.75 | |||
| Value At Risk | (2.39) | |||
| Potential Upside | 2.95 |
Fabege AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fabege AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fabege AB's standard deviation. In reality, there are many statistical measures that can use Fabege AB historical prices to predict the future Fabege AB's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.37) | |||
| Treynor Ratio | (0.18) |
Fabege AB Backtested Returns
Fabege AB secures Sharpe Ratio (or Efficiency) of -0.0399, which denotes the company had a -0.0399% return per unit of standard deviation over the last 3 months. Fabege AB exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fabege AB's Coefficient Of Variation of (1,944), standard deviation of 1.63, and Mean Deviation of 1.29 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.52, which means possible diversification benefits within a given portfolio. As returns on the market increase, Fabege AB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Fabege AB is expected to be smaller as well. At this point, Fabege AB has a negative expected return of -0.0647%. Please make sure to confirm Fabege AB's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Fabege AB performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.31 |
Below average predictability
Fabege AB has below average predictability. Overlapping area represents the amount of predictability between Fabege AB time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Fabege AB price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Fabege AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | -0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 1.78 |
Fabege AB lagged returns against current returns
Autocorrelation, which is Fabege 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 Fabege AB's stock expected returns. We can calculate the autocorrelation of Fabege AB returns to help us make a trade decision. For example, suppose you find that Fabege 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 |
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Fabege 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 Fabege AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fabege AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fabege AB stock over time.
Current vs Lagged Prices |
| Timeline |
Fabege AB Lagged Returns
When evaluating Fabege AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fabege AB stock have on its future price. Fabege 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, Fabege AB autocorrelation shows the relationship between Fabege AB stock current value and its past values and can show if there is a momentum factor associated with investing in Fabege AB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Fabege Stock Analysis
When running Fabege AB's price analysis, check to measure Fabege 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 Fabege AB is operating at the current time. Most of Fabege AB's value examination focuses on studying past and present price action to predict the probability of Fabege 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 Fabege AB's price. Additionally, you may evaluate how the addition of Fabege AB to your portfolios can decrease your overall portfolio volatility.