Sandvik AB (Sweden) Market Value
| SAND Stock | SEK 201.20 0.80 0.40% |
| Symbol | Sandvik |
Sandvik 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 Sandvik 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 Sandvik AB.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Sandvik AB on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Sandvik AB or generate 0.0% return on investment in Sandvik AB over 30 days. Sandvik AB is related to or competes with SBB-B, Sinch AB, Embracer Group, Evolution, and NIBE Industrier. Sandvik AB operates as an engineering company in the areas of mining and rock excavation, metal cutting, and materials t... More
Sandvik 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 Sandvik 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 Sandvik AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 8.28 | |||
| Value At Risk | (2.31) | |||
| Potential Upside | 2.23 |
Sandvik AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sandvik AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sandvik AB's standard deviation. In reality, there are many statistical measures that can use Sandvik AB historical prices to predict the future Sandvik AB's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | (0.81) |
Sandvik AB Backtested Returns
Sandvik AB owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0688, which indicates the firm had a -0.0688% return per unit of risk over the last 3 months. Sandvik AB exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sandvik AB's Risk Adjusted Performance of (0.05), variance of 2.12, and Coefficient Of Variation of (1,296) to confirm the risk estimate we provide. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sandvik AB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sandvik AB is expected to be smaller as well. At this point, Sandvik AB has a negative expected return of -0.1%. Please make sure to validate Sandvik AB's maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Sandvik AB performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.47 |
Average predictability
Sandvik AB has average predictability. Overlapping area represents the amount of predictability between Sandvik AB time series from 30th of October 2024 to 14th of November 2024 and 14th of November 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 Sandvik AB price movement. The serial correlation of 0.47 indicates that about 47.0% of current Sandvik AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 1.67 |
Sandvik AB lagged returns against current returns
Autocorrelation, which is Sandvik 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 Sandvik AB's stock expected returns. We can calculate the autocorrelation of Sandvik AB returns to help us make a trade decision. For example, suppose you find that Sandvik 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 |
Sandvik 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 Sandvik AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sandvik AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sandvik AB stock over time.
Current vs Lagged Prices |
| Timeline |
Sandvik AB Lagged Returns
When evaluating Sandvik AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sandvik AB stock have on its future price. Sandvik 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, Sandvik AB autocorrelation shows the relationship between Sandvik AB stock current value and its past values and can show if there is a momentum factor associated with investing in Sandvik AB.
Regressed Prices |
| Timeline |
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Additional Tools for Sandvik Stock Analysis
When running Sandvik AB's price analysis, check to measure Sandvik 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 Sandvik AB is operating at the current time. Most of Sandvik AB's value examination focuses on studying past and present price action to predict the probability of Sandvik 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 Sandvik AB's price. Additionally, you may evaluate how the addition of Sandvik AB to your portfolios can decrease your overall portfolio volatility.