ABB (Sweden) Market Value
| ABB Stock | SEK 612.40 5.20 0.84% |
| Symbol | ABB |
ABB '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 ABB'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 ABB.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in ABB on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding ABB or generate 0.0% return on investment in ABB over 30 days. ABB is related to or competes with Sandvik AB, AB SKF, Alfa Laval, Atlas Copco, and Boliden AB. ABB Ltd manufactures and sells electrification, industrial automation, and robotics and motion products for customers in... More
ABB 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 ABB'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 ABB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.71 | |||
| Value At Risk | (1.94) | |||
| Potential Upside | 2.25 |
ABB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABB's standard deviation. In reality, there are many statistical measures that can use ABB historical prices to predict the future ABB's volatility.| Risk Adjusted Performance | 0.0684 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1162 |
ABB Backtested Returns
Currently, ABB is very steady. ABB retains Efficiency (Sharpe Ratio) of 0.0706, which signifies that the company had a 0.0706% return per unit of risk over the last 3 months. We have found thirty technical indicators for ABB, which you can use to evaluate the volatility of the entity. Please confirm ABB's market risk adjusted performance of 0.1262, and Coefficient Of Variation of 1171.99 to double-check if the risk estimate we provide is consistent with the expected return of 0.0793%. ABB has a performance score of 5 on a scale of 0 to 100. The firm owns a Beta (Systematic Risk) of 0.73, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ABB's returns are expected to increase less than the market. However, during the bear market, the loss of holding ABB is expected to be smaller as well. ABB at this moment owns a risk of 1.12%. Please confirm ABB semi deviation, sortino ratio, semi variance, as well as the relationship between the standard deviation and value at risk , to decide if ABB will be following its current price history.
Auto-correlation | 0.28 |
Poor predictability
ABB has poor predictability. Overlapping area represents the amount of predictability between ABB time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 ABB price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current ABB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 18.69 |
ABB lagged returns against current returns
Autocorrelation, which is ABB 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 ABB's stock expected returns. We can calculate the autocorrelation of ABB returns to help us make a trade decision. For example, suppose you find that ABB 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 |
ABB 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 ABB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABB stock over time.
Current vs Lagged Prices |
| Timeline |
ABB Lagged Returns
When evaluating ABB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABB stock have on its future price. ABB 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, ABB autocorrelation shows the relationship between ABB stock current value and its past values and can show if there is a momentum factor associated with investing in ABB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for ABB Stock Analysis
When running ABB's price analysis, check to measure ABB'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 ABB is operating at the current time. Most of ABB's value examination focuses on studying past and present price action to predict the probability of ABB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ABB's price. Additionally, you may evaluate how the addition of ABB to your portfolios can decrease your overall portfolio volatility.