ASSA ABLOY (Germany) Market Value
| ALZC Stock | EUR 28.45 0.04 0.14% |
| Symbol | ASSA |
ASSA ABLOY '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 ASSA ABLOY'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 ASSA ABLOY.
| 11/28/2024 |
| 12/28/2024 |
If you would invest 0.00 in ASSA ABLOY on November 28, 2024 and sell it all today you would earn a total of 0.00 from holding ASSA ABLOY AB or generate 0.0% return on investment in ASSA ABLOY over 30 days. ASSA ABLOY is related to or competes with ABB PAR, SECOM CO, Halma Plc, Allegion Plc, ADT, and MSA Safety. ASSA ABLOY AB provides door opening products, solutions, and services for the institutional, commercial, and consumer ma... More
ASSA ABLOY 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 ASSA ABLOY'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 ASSA ABLOY AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.21 | |||
| Information Ratio | 0.0253 | |||
| Maximum Drawdown | 10.59 | |||
| Value At Risk | (2.23) | |||
| Potential Upside | 2.3 |
ASSA ABLOY Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASSA ABLOY's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASSA ABLOY's standard deviation. In reality, there are many statistical measures that can use ASSA ABLOY historical prices to predict the future ASSA ABLOY's volatility.| Risk Adjusted Performance | 0.0416 | |||
| Jensen Alpha | 0.0617 | |||
| Total Risk Alpha | 0.0183 | |||
| Sortino Ratio | 0.0324 | |||
| Treynor Ratio | (3.91) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ASSA ABLOY'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.
ASSA ABLOY AB Backtested Returns
At this point, ASSA ABLOY is very steady. ASSA ABLOY AB secures Sharpe Ratio (or Efficiency) of 0.0489, which signifies that the company had a 0.0489% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for ASSA ABLOY AB, which you can use to evaluate the volatility of the firm. Please confirm ASSA ABLOY's risk adjusted performance of 0.0416, and Mean Deviation of 1.06 to double-check if the risk estimate we provide is consistent with the expected return of 0.0775%. ASSA ABLOY has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0157, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ASSA ABLOY are expected to decrease at a much lower rate. During the bear market, ASSA ABLOY is likely to outperform the market. ASSA ABLOY AB currently shows a risk of 1.58%. Please confirm ASSA ABLOY AB sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to decide if ASSA ABLOY AB will be following its price patterns.
Auto-correlation | -0.85 |
Excellent reverse predictability
ASSA ABLOY AB has excellent reverse predictability. Overlapping area represents the amount of predictability between ASSA ABLOY time series from 28th of November 2024 to 13th of December 2024 and 13th of December 2024 to 28th of December 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 ASSA ABLOY AB price movement. The serial correlation of -0.85 indicates that around 85.0% of current ASSA ABLOY price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.85 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
ASSA ABLOY AB lagged returns against current returns
Autocorrelation, which is ASSA ABLOY 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 ASSA ABLOY's stock expected returns. We can calculate the autocorrelation of ASSA ABLOY returns to help us make a trade decision. For example, suppose you find that ASSA ABLOY 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 |
ASSA ABLOY 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 ASSA ABLOY stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASSA ABLOY stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASSA ABLOY stock over time.
Current vs Lagged Prices |
| Timeline |
ASSA ABLOY Lagged Returns
When evaluating ASSA ABLOY's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASSA ABLOY stock have on its future price. ASSA ABLOY 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, ASSA ABLOY autocorrelation shows the relationship between ASSA ABLOY stock current value and its past values and can show if there is a momentum factor associated with investing in ASSA ABLOY AB.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ASSA Stock
ASSA ABLOY financial ratios help investors to determine whether ASSA 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 ASSA with respect to the benefits of owning ASSA ABLOY security.