Sparekassen Sjaelland (Denmark) Market Value
| SPKSJF Stock | DKK 279.50 1.50 0.53% |
| Symbol | Sparekassen |
Sparekassen Sjaelland '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 Sparekassen Sjaelland'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 Sparekassen Sjaelland.
| 12/18/2024 |
| 03/18/2025 |
If you would invest 0.00 in Sparekassen Sjaelland on December 18, 2024 and sell it all today you would earn a total of 0.00 from holding Sparekassen Sjaelland Fyn AS or generate 0.0% return on investment in Sparekassen Sjaelland over 90 days. Sparekassen Sjaelland is related to or competes with Sydbank AS, Spar Nord, Per Aarsleff, Vestjysk Bank, and Ringkjoebing Landbobank. Sparekassen Sjlland-Fyn AS, a savings bank, provides banking products and services to private individuals and corporate ... More
Sparekassen Sjaelland 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 Sparekassen Sjaelland'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 Sparekassen Sjaelland Fyn AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.33 | |||
| Information Ratio | 0.3253 | |||
| Maximum Drawdown | 10.08 | |||
| Value At Risk | (2.18) | |||
| Potential Upside | 2.8 |
Sparekassen Sjaelland Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparekassen Sjaelland's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparekassen Sjaelland's standard deviation. In reality, there are many statistical measures that can use Sparekassen Sjaelland historical prices to predict the future Sparekassen Sjaelland's volatility.| Risk Adjusted Performance | 0.2465 | |||
| Jensen Alpha | 0.4175 | |||
| Total Risk Alpha | 0.6062 | |||
| Sortino Ratio | 0.3971 | |||
| Treynor Ratio | (1.95) |
Sparekassen Sjaelland Backtested Returns
Sparekassen Sjaelland appears to be very steady, given 3 months investment horizon. Sparekassen Sjaelland owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the firm had a 0.17 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Sparekassen Sjaelland Fyn AS, which you can use to evaluate the volatility of the company. Please review Sparekassen Sjaelland's Risk Adjusted Performance of 0.2465, coefficient of variation of 362.89, and Semi Deviation of 0.9815 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sparekassen Sjaelland holds a performance score of 13. The entity has a beta of -0.22, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sparekassen Sjaelland are expected to decrease at a much lower rate. During the bear market, Sparekassen Sjaelland is likely to outperform the market. Please check Sparekassen Sjaelland's jensen alpha, skewness, relative strength index, as well as the relationship between the value at risk and day median price , to make a quick decision on whether Sparekassen Sjaelland's existing price patterns will revert.
Auto-correlation | 0.66 |
Good predictability
Sparekassen Sjaelland Fyn AS has good predictability. Overlapping area represents the amount of predictability between Sparekassen Sjaelland time series from 18th of December 2024 to 1st of February 2025 and 1st of February 2025 to 18th 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 Sparekassen Sjaelland price movement. The serial correlation of 0.66 indicates that around 66.0% of current Sparekassen Sjaelland price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 112.13 |
Sparekassen Sjaelland lagged returns against current returns
Autocorrelation, which is Sparekassen Sjaelland 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 Sparekassen Sjaelland's stock expected returns. We can calculate the autocorrelation of Sparekassen Sjaelland returns to help us make a trade decision. For example, suppose you find that Sparekassen Sjaelland 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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Sparekassen Sjaelland 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 Sparekassen Sjaelland stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparekassen Sjaelland stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparekassen Sjaelland stock over time.
Current vs Lagged Prices |
| Timeline |
Sparekassen Sjaelland Lagged Returns
When evaluating Sparekassen Sjaelland's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparekassen Sjaelland stock have on its future price. Sparekassen Sjaelland 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, Sparekassen Sjaelland autocorrelation shows the relationship between Sparekassen Sjaelland stock current value and its past values and can show if there is a momentum factor associated with investing in Sparekassen Sjaelland Fyn AS.
Regressed Prices |
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Pair Trading with Sparekassen Sjaelland
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 Sparekassen Sjaelland 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 Sparekassen Sjaelland will appreciate offsetting losses from the drop in the long position's value.Moving against Sparekassen Stock
The ability to find closely correlated positions to Sparekassen Sjaelland could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sparekassen Sjaelland 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 Sparekassen Sjaelland - 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 Sparekassen Sjaelland Fyn AS to buy it.
The correlation of Sparekassen Sjaelland 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 Sparekassen Sjaelland moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sparekassen Sjaelland 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 Sparekassen Sjaelland 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 Sparekassen Stock
Sparekassen Sjaelland financial ratios help investors to determine whether Sparekassen 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 Sparekassen with respect to the benefits of owning Sparekassen Sjaelland security.