Genmab AS (Denmark) Market Value
| GMAB Stock | DKK 1,618 19.00 1.16% |
| Symbol | Genmab |
Genmab 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 Genmab 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 Genmab AS.
| 12/29/2024 |
| 02/27/2025 |
If you would invest 0.00 in Genmab AS on December 29, 2024 and sell it all today you would earn a total of 0.00 from holding Genmab AS or generate 0.0% return on investment in Genmab AS over 60 days. Genmab AS is related to or competes with Ambu AS, DSV Panalpina, Bavarian Nordic, GN Store, and FLSmidth. Genmab AS develops antibody therapeutics for the treatment of cancer and other diseases primarily in Denmark More
Genmab 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 Genmab 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 Genmab AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.77 | |||
| Information Ratio | 0.085 | |||
| Maximum Drawdown | 13.56 | |||
| Value At Risk | (3.12) | |||
| Potential Upside | 2.58 |
Genmab AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Genmab AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Genmab AS's standard deviation. In reality, there are many statistical measures that can use Genmab AS historical prices to predict the future Genmab AS's volatility.| Risk Adjusted Performance | 0.0705 | |||
| Jensen Alpha | 0.1845 | |||
| Total Risk Alpha | 0.2074 | |||
| Sortino Ratio | 0.0701 | |||
| Treynor Ratio | (0.43) |
Genmab AS Backtested Returns
As of now, Genmab Stock is very steady. Genmab AS holds Efficiency (Sharpe) Ratio of 0.0538, which attests that the entity had a 0.0538 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Genmab AS, which you can use to evaluate the volatility of the firm. Please check out Genmab AS's Market Risk Adjusted Performance of (0.42), downside deviation of 2.77, and Risk Adjusted Performance of 0.0705 to validate if the risk estimate we provide is consistent with the expected return of 0.13%. Genmab AS has a performance score of 4 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.43, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Genmab AS are expected to decrease at a much lower rate. During the bear market, Genmab AS is likely to outperform the market. Genmab AS right now retains a risk of 2.36%. Please check out Genmab AS total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Genmab AS will be following its current trending patterns.
Auto-correlation | -0.6 |
Good reverse predictability
Genmab AS has good reverse predictability. Overlapping area represents the amount of predictability between Genmab AS time series from 29th of December 2024 to 28th of January 2025 and 28th of January 2025 to 27th of February 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 Genmab AS price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Genmab AS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 6688.97 |
Genmab AS lagged returns against current returns
Autocorrelation, which is Genmab 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 Genmab AS's stock expected returns. We can calculate the autocorrelation of Genmab AS returns to help us make a trade decision. For example, suppose you find that Genmab 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 |
Genmab 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 Genmab AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Genmab AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Genmab AS stock over time.
Current vs Lagged Prices |
| Timeline |
Genmab AS Lagged Returns
When evaluating Genmab AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Genmab AS stock have on its future price. Genmab 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, Genmab AS autocorrelation shows the relationship between Genmab AS stock current value and its past values and can show if there is a momentum factor associated with investing in Genmab AS.
Regressed Prices |
| Timeline |
Pair Trading with Genmab 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 Genmab 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 Genmab AS will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Genmab 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 Genmab 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 Genmab 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 Genmab AS to buy it.
The correlation of Genmab 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 Genmab AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Genmab 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 Genmab 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.Additional Information and Resources on Investing in Genmab Stock
When determining whether Genmab AS offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Genmab AS's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Genmab As Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Genmab As Stock:Check out Genmab AS Correlation, Genmab AS Volatility and Genmab AS Alpha and Beta module to complement your research on Genmab AS. To learn how to invest in Genmab Stock, please use our How to Invest in Genmab AS guide.You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Genmab AS technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.