AP Mller (Denmark) Market Value
| MAERSK-B | DKK 11,975 250.00 2.13% |
| Symbol | MAERSK-B |
AP Mller '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 AP Mller'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 AP Mller.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in AP Mller on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding AP Mller or generate 0.0% return on investment in AP Mller over 540 days. AP Mller is related to or competes with Danske Bank, DSV Panalpina, AP Mller, Vestas Wind, and Bavarian Nordic. Mller - Mrsk AS operates as an integrated transport and logistics company worldwide More
AP Mller 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 AP Mller'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 AP Mller upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.42 | |||
| Information Ratio | 0.0453 | |||
| Maximum Drawdown | 14.21 | |||
| Value At Risk | (3.61) | |||
| Potential Upside | 4.03 |
AP Mller Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AP Mller's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AP Mller's standard deviation. In reality, there are many statistical measures that can use AP Mller historical prices to predict the future AP Mller's volatility.| Risk Adjusted Performance | 0.0779 | |||
| Jensen Alpha | 0.229 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | 0.0499 | |||
| Treynor Ratio | 3.8 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AP Mller'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.
AP Mller Backtested Returns
AP Mller appears to be very steady, given 3 months investment horizon. AP Mller retains Efficiency (Sharpe Ratio) of 0.12, which signifies that the company had a 0.12% return per unit of price deviation over the last 3 months. We have found thirty technical indicators for AP Mller, which you can use to evaluate the volatility of the firm. Please makes use of AP Mller's Coefficient Of Variation of 1082.31, standard deviation of 2.66, and Market Risk Adjusted Performance of 3.81 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, AP Mller holds a performance score of 9. The firm owns a Beta (Systematic Risk) of 0.0622, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AP Mller's returns are expected to increase less than the market. However, during the bear market, the loss of holding AP Mller is expected to be smaller as well. Please check AP Mller's standard deviation, expected short fall, period momentum indicator, as well as the relationship between the maximum drawdown and rate of daily change , to make a quick decision on whether AP Mller's current price history will revert.
Auto-correlation | -0.06 |
Very weak reverse predictability
AP Mller has very weak reverse predictability. Overlapping area represents the amount of predictability between AP Mller time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 AP Mller price movement. The serial correlation of -0.06 indicates that barely 6.0% of current AP Mller price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 1 M |
AP Mller lagged returns against current returns
Autocorrelation, which is AP Mller 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 AP Mller's stock expected returns. We can calculate the autocorrelation of AP Mller returns to help us make a trade decision. For example, suppose you find that AP Mller 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 |
AP Mller 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 AP Mller stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AP Mller stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AP Mller stock over time.
Current vs Lagged Prices |
| Timeline |
AP Mller Lagged Returns
When evaluating AP Mller's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AP Mller stock have on its future price. AP Mller 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, AP Mller autocorrelation shows the relationship between AP Mller stock current value and its past values and can show if there is a momentum factor associated with investing in AP Mller .
Regressed Prices |
| Timeline |
Pair Trading with AP Mller
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 AP Mller 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 AP Mller will appreciate offsetting losses from the drop in the long position's value.Moving together with MAERSK-B Stock
Moving against MAERSK-B Stock
| 0.7 | TRMD-A | TORM plc | PairCorr |
| 0.7 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.65 | DNORD | Dampskibsselskabet | PairCorr |
| 0.52 | BIF | Broendbyernes IF Fodbold | PairCorr |
| 0.32 | ERRIA | Erria AS | PairCorr |
The ability to find closely correlated positions to AP Mller could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AP Mller 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 AP Mller - 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 AP Mller to buy it.
The correlation of AP Mller 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 AP Mller moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AP Mller 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 AP Mller 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.Other Information on Investing in MAERSK-B Stock
AP Mller financial ratios help investors to determine whether MAERSK-B Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in MAERSK-B with respect to the benefits of owning AP Mller security.