Alm Brand (Denmark) Market Value
| ALMB Stock | DKK 13.35 0.25 1.84% |
| Symbol | Alm |
Alm Brand '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 Alm Brand'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 Alm Brand.
| 02/01/2024 |
| 11/27/2024 |
If you would invest 0.00 in Alm Brand on February 1, 2024 and sell it all today you would earn a total of 0.00 from holding Alm Brand or generate 0.0% return on investment in Alm Brand over 300 days. Alm Brand is related to or competes with Tryg AS, ISS AS, Jyske Bank, and FLSmidth. Brand AS, together with its subsidiaries, provides non-life insurance, banking, and life and pension insurance products ... More
Alm Brand 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 Alm Brand'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 Alm Brand upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9272 | |||
| Information Ratio | 0.0435 | |||
| Maximum Drawdown | 6.42 | |||
| Value At Risk | (1.35) | |||
| Potential Upside | 1.85 |
Alm Brand Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alm Brand's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alm Brand's standard deviation. In reality, there are many statistical measures that can use Alm Brand historical prices to predict the future Alm Brand's volatility.| Risk Adjusted Performance | 0.1252 | |||
| Jensen Alpha | 0.1275 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0527 | |||
| Treynor Ratio | 0.4883 |
Alm Brand Backtested Returns
As of now, Alm Stock is very steady. Alm Brand secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of risk over the last 3 months. We have found thirty technical indicators for Alm Brand, which you can use to evaluate the volatility of the firm. Please confirm Alm Brand's Downside Deviation of 0.9272, risk adjusted performance of 0.1252, and Mean Deviation of 0.8038 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. Alm Brand has a performance score of 10 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.35, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Alm Brand's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alm Brand is expected to be smaller as well. Alm Brand right now shows a risk of 1.11%. Please confirm Alm Brand coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Alm Brand will be following its price patterns.
Auto-correlation | 0.40 |
Average predictability
Alm Brand has average predictability. Overlapping area represents the amount of predictability between Alm Brand time series from 1st of February 2024 to 30th of June 2024 and 30th of June 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 Alm Brand price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Alm Brand price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Alm Brand lagged returns against current returns
Autocorrelation, which is Alm Brand 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 Alm Brand's stock expected returns. We can calculate the autocorrelation of Alm Brand returns to help us make a trade decision. For example, suppose you find that Alm Brand 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 |
Alm Brand 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 Alm Brand stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alm Brand stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alm Brand stock over time.
Current vs Lagged Prices |
| Timeline |
Alm Brand Lagged Returns
When evaluating Alm Brand's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alm Brand stock have on its future price. Alm Brand 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, Alm Brand autocorrelation shows the relationship between Alm Brand stock current value and its past values and can show if there is a momentum factor associated with investing in Alm Brand.
Regressed Prices |
| Timeline |
Pair Trading with Alm Brand
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 Alm Brand 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 Alm Brand will appreciate offsetting losses from the drop in the long position's value.Moving against Alm Stock
| 0.82 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.66 | VWS | Vestas Wind Systems | PairCorr |
| 0.62 | VJBA | Vestjysk Bank AS | PairCorr |
| 0.54 | DANSKE | Danske Bank AS | PairCorr |
The ability to find closely correlated positions to Alm Brand could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Alm Brand 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 Alm Brand - 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 Alm Brand to buy it.
The correlation of Alm Brand 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 Alm Brand moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Alm Brand 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 Alm Brand 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 Alm Stock
Alm Brand financial ratios help investors to determine whether Alm 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 Alm with respect to the benefits of owning Alm Brand security.