Royal Unibrew (Denmark) Market Value
| RBREW Stock | DKK 546.50 4.50 0.83% |
| Symbol | Royal |
Royal Unibrew '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 Royal Unibrew'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 Royal Unibrew.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Royal Unibrew on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding Royal Unibrew AS or generate 0.0% return on investment in Royal Unibrew over 90 days. Royal Unibrew is related to or competes with ROCKWOOL International, Tryg AS, DSV Panalpina, and GN Store. Royal Unibrew AS produces, markets, sells, and distributes beer, malt, soft drinks, ciders, and long drinks More
Royal Unibrew 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 Royal Unibrew'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 Royal Unibrew AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.33 | |||
| Information Ratio | 0.1474 | |||
| Maximum Drawdown | 5.58 | |||
| Value At Risk | (2.41) | |||
| Potential Upside | 2.82 |
Royal Unibrew Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Royal Unibrew's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Royal Unibrew's standard deviation. In reality, there are many statistical measures that can use Royal Unibrew historical prices to predict the future Royal Unibrew's volatility.| Risk Adjusted Performance | 0.0698 | |||
| Jensen Alpha | 0.1207 | |||
| Total Risk Alpha | 0.2688 | |||
| Sortino Ratio | 0.154 | |||
| Treynor Ratio | 0.4081 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Royal Unibrew'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.
Royal Unibrew AS Backtested Returns
At this point, Royal Unibrew is very steady. Royal Unibrew AS maintains Sharpe Ratio (i.e., Efficiency) of 0.0759, which implies the firm had a 0.0759 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Royal Unibrew AS, which you can use to evaluate the volatility of the company. Please check Royal Unibrew's Risk Adjusted Performance of 0.0698, coefficient of variation of 1317.34, and Semi Deviation of 1.2 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. Royal Unibrew has a performance score of 5 on a scale of 0 to 100. The company holds a Beta of 0.23, which implies not very significant fluctuations relative to the market. As returns on the market increase, Royal Unibrew's returns are expected to increase less than the market. However, during the bear market, the loss of holding Royal Unibrew is expected to be smaller as well. Royal Unibrew AS right now holds a risk of 1.39%. Please check Royal Unibrew AS maximum drawdown, skewness, as well as the relationship between the Skewness and day typical price , to decide if Royal Unibrew AS will be following its historical price patterns.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
Royal Unibrew AS has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Royal Unibrew time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 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 Royal Unibrew AS price movement. The serial correlation of -0.77 indicates that around 77.0% of current Royal Unibrew price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 684.81 |
Royal Unibrew AS lagged returns against current returns
Autocorrelation, which is Royal Unibrew 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 Royal Unibrew's stock expected returns. We can calculate the autocorrelation of Royal Unibrew returns to help us make a trade decision. For example, suppose you find that Royal Unibrew 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 |
Royal Unibrew 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 Royal Unibrew stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Royal Unibrew stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Royal Unibrew stock over time.
Current vs Lagged Prices |
| Timeline |
Royal Unibrew Lagged Returns
When evaluating Royal Unibrew's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Royal Unibrew stock have on its future price. Royal Unibrew 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, Royal Unibrew autocorrelation shows the relationship between Royal Unibrew stock current value and its past values and can show if there is a momentum factor associated with investing in Royal Unibrew AS.
Regressed Prices |
| Timeline |
Pair Trading with Royal Unibrew
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 Royal Unibrew 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 Royal Unibrew will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Royal Unibrew could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Royal Unibrew 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 Royal Unibrew - 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 Royal Unibrew AS to buy it.
The correlation of Royal Unibrew 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 Royal Unibrew moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Royal Unibrew 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 Royal Unibrew 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 Royal Stock
Royal Unibrew financial ratios help investors to determine whether Royal 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 Royal with respect to the benefits of owning Royal Unibrew security.