Audientes (Sweden) Market Value
| AUDNTS Stock | 0.02 0 12.87% |
| Symbol | Audientes |
Audientes '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 Audientes' 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 Audientes.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Audientes on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Audientes AS or generate 0.0% return on investment in Audientes over 30 days.
Audientes 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 Audientes' 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 Audientes AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 11.17 | |||
| Information Ratio | 0.0775 | |||
| Maximum Drawdown | 73.92 | |||
| Value At Risk | (13.67) | |||
| Potential Upside | 21.33 |
Audientes Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Audientes' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Audientes' standard deviation. In reality, there are many statistical measures that can use Audientes historical prices to predict the future Audientes' volatility.| Risk Adjusted Performance | 0.0758 | |||
| Jensen Alpha | 0.9967 | |||
| Total Risk Alpha | (0.96) | |||
| Sortino Ratio | 0.0961 | |||
| Treynor Ratio | 0.7243 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Audientes' 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.
Audientes AS Backtested Returns
Audientes is out of control given 3 months investment horizon. Audientes AS secures Sharpe Ratio (or Efficiency) of 0.0868, which signifies that the company had a 0.0868% return per unit of standard deviation over the last 3 months. We were able to break down twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.2% are justified by taking the suggested risk. Use Audientes risk adjusted performance of 0.0758, and Mean Deviation of 10.29 to evaluate company specific risk that cannot be diversified away. Audientes holds a performance score of 6 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of 1.65, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Audientes will likely underperform. Use Audientes standard deviation, expected short fall, period momentum indicator, as well as the relationship between the maximum drawdown and rate of daily change , to analyze future returns on Audientes.
Auto-correlation | -0.58 |
Good reverse predictability
Audientes AS has good reverse predictability. Overlapping area represents the amount of predictability between Audientes 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 Audientes AS price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Audientes price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Audientes AS lagged returns against current returns
Autocorrelation, which is Audientes 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 Audientes' stock expected returns. We can calculate the autocorrelation of Audientes returns to help us make a trade decision. For example, suppose you find that Audientes 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 |
Audientes 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 Audientes stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Audientes stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Audientes stock over time.
Current vs Lagged Prices |
| Timeline |
Audientes Lagged Returns
When evaluating Audientes' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Audientes stock have on its future price. Audientes 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, Audientes autocorrelation shows the relationship between Audientes stock current value and its past values and can show if there is a momentum factor associated with investing in Audientes AS.
Regressed Prices |
| Timeline |