BankInvest Optima (Denmark) Market Value
| BIV30 Stock | 111.50 0.10 0.09% |
| Symbol | BankInvest |
BankInvest Optima '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 BankInvest Optima'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 BankInvest Optima.
| 12/03/2023 |
| 11/27/2024 |
If you would invest 0.00 in BankInvest Optima on December 3, 2023 and sell it all today you would earn a total of 0.00 from holding BankInvest Optima 30 or generate 0.0% return on investment in BankInvest Optima over 360 days.
BankInvest Optima 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 BankInvest Optima'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 BankInvest Optima 30 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4266 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 2.44 | |||
| Value At Risk | (0.50) | |||
| Potential Upside | 0.7675 |
BankInvest Optima Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BankInvest Optima's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BankInvest Optima's standard deviation. In reality, there are many statistical measures that can use BankInvest Optima historical prices to predict the future BankInvest Optima's volatility.| Risk Adjusted Performance | 0.1066 | |||
| Jensen Alpha | 0.0237 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | 0.2132 |
BankInvest Optima Backtested Returns
At this point, BankInvest Optima is very steady. BankInvest Optima secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of risk over the last 3 months. We have found thirty technical indicators for BankInvest Optima 30, which you can use to evaluate the volatility of the firm. Please confirm BankInvest Optima's Downside Deviation of 0.4266, risk adjusted performance of 0.1066, and Mean Deviation of 0.3375 to double-check if the risk estimate we provide is consistent with the expected return of 0.0646%. BankInvest Optima has a performance score of 11 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.26, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BankInvest Optima's returns are expected to increase less than the market. However, during the bear market, the loss of holding BankInvest Optima is expected to be smaller as well. BankInvest Optima right now shows a risk of 0.43%. Please confirm BankInvest Optima total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if BankInvest Optima will be following its price patterns.
Auto-correlation | 0.66 |
Good predictability
BankInvest Optima 30 has good predictability. Overlapping area represents the amount of predictability between BankInvest Optima time series from 3rd of December 2023 to 31st of May 2024 and 31st of May 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 BankInvest Optima price movement. The serial correlation of 0.66 indicates that around 66.0% of current BankInvest Optima price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 2.42 |
BankInvest Optima lagged returns against current returns
Autocorrelation, which is BankInvest Optima 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 BankInvest Optima's stock expected returns. We can calculate the autocorrelation of BankInvest Optima returns to help us make a trade decision. For example, suppose you find that BankInvest Optima 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 |
BankInvest Optima 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 BankInvest Optima stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BankInvest Optima stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BankInvest Optima stock over time.
Current vs Lagged Prices |
| Timeline |
BankInvest Optima Lagged Returns
When evaluating BankInvest Optima's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BankInvest Optima stock have on its future price. BankInvest Optima 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, BankInvest Optima autocorrelation shows the relationship between BankInvest Optima stock current value and its past values and can show if there is a momentum factor associated with investing in BankInvest Optima 30.
Regressed Prices |
| Timeline |
Pair Trading with BankInvest Optima
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 BankInvest Optima 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 BankInvest Optima will appreciate offsetting losses from the drop in the long position's value.Moving together with BankInvest Stock
Moving against BankInvest Stock
| 0.79 | VWS | Vestas Wind Systems | PairCorr |
| 0.66 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.65 | GMAB | Genmab AS | PairCorr |
| 0.55 | CARL-B | Carlsberg AS | PairCorr |
| 0.51 | ORSTED | Orsted AS | PairCorr |
The ability to find closely correlated positions to BankInvest Optima could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BankInvest Optima 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 BankInvest Optima - 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 BankInvest Optima 30 to buy it.
The correlation of BankInvest Optima 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 BankInvest Optima moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BankInvest Optima 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 BankInvest Optima 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.