Carlsberg (Denmark) Market Value
| CARL-A Stock | DKK 872.00 16.00 1.80% |
| Symbol | Carlsberg |
Carlsberg '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 Carlsberg'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 Carlsberg.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Carlsberg on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Carlsberg AS or generate 0.0% return on investment in Carlsberg over 30 days. Carlsberg is related to or competes with AP Mller, ROCKWOOL International, Royal Unibrew, Tryg AS, and Copenhagen Airports. Carlsberg AS produces and sells beer and other beverage products in Western Europe, Eastern Europe, and Asia More
Carlsberg 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 Carlsberg'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 Carlsberg AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 8.02 | |||
| Value At Risk | (2.35) | |||
| Potential Upside | 2.39 |
Carlsberg Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Carlsberg's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Carlsberg's standard deviation. In reality, there are many statistical measures that can use Carlsberg historical prices to predict the future Carlsberg's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | (0.32) |
Carlsberg AS Backtested Returns
Carlsberg AS secures Sharpe Ratio (or Efficiency) of -0.17, which signifies that the company had a -0.17% return per unit of risk over the last 3 months. Carlsberg AS exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Carlsberg's Standard Deviation of 1.69, mean deviation of 1.35, and Risk Adjusted Performance of (0.12) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.87, which signifies possible diversification benefits within a given portfolio. Carlsberg returns are very sensitive to returns on the market. As the market goes up or down, Carlsberg is expected to follow. At this point, Carlsberg AS has a negative expected return of -0.29%. Please make sure to confirm Carlsberg's treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Carlsberg AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.48 |
Modest reverse predictability
Carlsberg AS has modest reverse predictability. Overlapping area represents the amount of predictability between Carlsberg time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Carlsberg AS price movement. The serial correlation of -0.48 indicates that about 48.0% of current Carlsberg price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 363.7 |
Carlsberg AS lagged returns against current returns
Autocorrelation, which is Carlsberg 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 Carlsberg's stock expected returns. We can calculate the autocorrelation of Carlsberg returns to help us make a trade decision. For example, suppose you find that Carlsberg 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 |
Carlsberg 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 Carlsberg stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Carlsberg stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Carlsberg stock over time.
Current vs Lagged Prices |
| Timeline |
Carlsberg Lagged Returns
When evaluating Carlsberg's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Carlsberg stock have on its future price. Carlsberg 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, Carlsberg autocorrelation shows the relationship between Carlsberg stock current value and its past values and can show if there is a momentum factor associated with investing in Carlsberg AS.
Regressed Prices |
| Timeline |
Pair Trading with Carlsberg
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 Carlsberg 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 Carlsberg will appreciate offsetting losses from the drop in the long position's value.Moving together with Carlsberg Stock
| 0.82 | CARL-B | Carlsberg AS | PairCorr |
| 0.75 | RBREW | Royal Unibrew AS | PairCorr |
| 0.8 | HARB-B | Harboes Bryggeri | PairCorr |
Moving against Carlsberg Stock
The ability to find closely correlated positions to Carlsberg could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Carlsberg 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 Carlsberg - 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 Carlsberg AS to buy it.
The correlation of Carlsberg 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 Carlsberg moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Carlsberg AS 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 Carlsberg 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 Carlsberg Stock
Carlsberg financial ratios help investors to determine whether Carlsberg 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 Carlsberg with respect to the benefits of owning Carlsberg security.