Atlas Copco (Sweden) Market Value
| ATCO-B Stock | SEK 152.05 1.15 0.75% |
| Symbol | Atlas |
Atlas Copco '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 Atlas Copco'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 Atlas Copco.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Atlas Copco on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Atlas Copco AB or generate 0.0% return on investment in Atlas Copco over 300 days. Atlas Copco is related to or competes with Sandvik AB, AB SKF, Alfa Laval, ASSA ABLOY, and Investor. Atlas Copco AB, together with its subsidiaries, provides productivity solutions More
Atlas Copco 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 Atlas Copco'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 Atlas Copco AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 8.09 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 2.4 |
Atlas Copco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Atlas Copco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Atlas Copco's standard deviation. In reality, there are many statistical measures that can use Atlas Copco historical prices to predict the future Atlas Copco's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | (0.61) |
Atlas Copco AB Backtested Returns
Atlas Copco AB secures Sharpe Ratio (or Efficiency) of -0.0455, which signifies that the company had a -0.0455% return per unit of risk over the last 3 months. Atlas Copco AB exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Atlas Copco's Mean Deviation of 1.07, standard deviation of 1.44, and Risk Adjusted Performance of (0.03) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Atlas Copco's returns are expected to increase less than the market. However, during the bear market, the loss of holding Atlas Copco is expected to be smaller as well. At this point, Atlas Copco AB has a negative expected return of -0.0655%. Please make sure to confirm Atlas Copco's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if Atlas Copco AB performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.06 |
Very weak reverse predictability
Atlas Copco AB has very weak reverse predictability. Overlapping area represents the amount of predictability between Atlas Copco time series from 31st of January 2024 to 29th of June 2024 and 29th of June 2024 to 26th 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 Atlas Copco AB price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Atlas Copco price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 37.9 |
Atlas Copco AB lagged returns against current returns
Autocorrelation, which is Atlas Copco 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 Atlas Copco's stock expected returns. We can calculate the autocorrelation of Atlas Copco returns to help us make a trade decision. For example, suppose you find that Atlas Copco 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 |
Atlas Copco 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 Atlas Copco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Atlas Copco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Atlas Copco stock over time.
Current vs Lagged Prices |
| Timeline |
Atlas Copco Lagged Returns
When evaluating Atlas Copco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Atlas Copco stock have on its future price. Atlas Copco 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, Atlas Copco autocorrelation shows the relationship between Atlas Copco stock current value and its past values and can show if there is a momentum factor associated with investing in Atlas Copco AB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Atlas Stock
Atlas Copco financial ratios help investors to determine whether Atlas 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 Atlas with respect to the benefits of owning Atlas Copco security.