Castellum (Sweden) Market Value
| CAST Stock | SEK 125.00 0.80 0.64% |
| Symbol | Castellum |
Castellum '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 Castellum'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 Castellum.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Castellum on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Castellum AB or generate 0.0% return on investment in Castellum over 90 days. Castellum is related to or competes with Fastighets, Fabege AB, and AB Sagax. Castellum is one of the largest listed real estate companies in Sweden More
Castellum 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 Castellum'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 Castellum AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 8.2 | |||
| Value At Risk | (2.11) | |||
| Potential Upside | 2.37 |
Castellum Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Castellum's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Castellum's standard deviation. In reality, there are many statistical measures that can use Castellum historical prices to predict the future Castellum's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.20) | |||
| Total Risk Alpha | (0.42) | |||
| Treynor Ratio | (4.22) |
Castellum AB Backtested Returns
Castellum AB secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the company had a -0.12% return per unit of risk over the last 3 months. Castellum AB exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Castellum's Standard Deviation of 1.43, mean deviation of 1.1, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0463, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Castellum's returns are expected to increase less than the market. However, during the bear market, the loss of holding Castellum is expected to be smaller as well. At this point, Castellum AB has a negative expected return of -0.17%. Please make sure to confirm Castellum's potential upside, kurtosis, and the relationship between the maximum drawdown and skewness , to decide if Castellum AB performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Castellum AB has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Castellum time series from 28th of August 2024 to 12th of October 2024 and 12th of October 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 Castellum AB price movement. The serial correlation of -0.73 indicates that around 73.0% of current Castellum price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 42.63 |
Castellum AB lagged returns against current returns
Autocorrelation, which is Castellum 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 Castellum's stock expected returns. We can calculate the autocorrelation of Castellum returns to help us make a trade decision. For example, suppose you find that Castellum 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 |
Castellum 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 Castellum stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Castellum stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Castellum stock over time.
Current vs Lagged Prices |
| Timeline |
Castellum Lagged Returns
When evaluating Castellum's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Castellum stock have on its future price. Castellum 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, Castellum autocorrelation shows the relationship between Castellum stock current value and its past values and can show if there is a momentum factor associated with investing in Castellum AB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Castellum Stock Analysis
When running Castellum's price analysis, check to measure Castellum's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Castellum is operating at the current time. Most of Castellum's value examination focuses on studying past and present price action to predict the probability of Castellum's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Castellum's price. Additionally, you may evaluate how the addition of Castellum to your portfolios can decrease your overall portfolio volatility.