Glunz Jensen (Denmark) Market Value
| GJ Stock | DKK 65.50 0.50 0.77% |
| Symbol | Glunz |
Glunz Jensen '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 Glunz Jensen'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 Glunz Jensen.
| 09/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Glunz Jensen on September 28, 2024 and sell it all today you would earn a total of 0.00 from holding Glunz Jensen or generate 0.0% return on investment in Glunz Jensen over 60 days. Glunz Jensen is related to or competes with First Farms, SKAKO AS, Rovsing AS, Roblon AS, and Gabriel Holding. Glunz Jensen Holding AS develops, produces, and supplies solutions for the prepress industry worldwide More
Glunz Jensen 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 Glunz Jensen'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 Glunz Jensen upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 8.96 | |||
| Value At Risk | (4.23) | |||
| Potential Upside | 2.29 |
Glunz Jensen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Glunz Jensen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Glunz Jensen's standard deviation. In reality, there are many statistical measures that can use Glunz Jensen historical prices to predict the future Glunz Jensen's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.40) | |||
| Treynor Ratio | 5.14 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Glunz Jensen's 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.
Glunz Jensen Backtested Returns
Glunz Jensen holds Efficiency (Sharpe) Ratio of -0.0318, which attests that the entity had a -0.0318% return per unit of risk over the last 3 months. Glunz Jensen exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Glunz Jensen's Risk Adjusted Performance of (0.06), standard deviation of 1.62, and Market Risk Adjusted Performance of 5.15 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.0273, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Glunz Jensen are expected to decrease at a much lower rate. During the bear market, Glunz Jensen is likely to outperform the market. At this point, Glunz Jensen has a negative expected return of -0.0475%. Please make sure to check out Glunz Jensen's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Glunz Jensen performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.49 |
Average predictability
Glunz Jensen has average predictability. Overlapping area represents the amount of predictability between Glunz Jensen time series from 28th of September 2024 to 28th of October 2024 and 28th of October 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 Glunz Jensen price movement. The serial correlation of 0.49 indicates that about 49.0% of current Glunz Jensen price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 2.37 |
Glunz Jensen lagged returns against current returns
Autocorrelation, which is Glunz Jensen 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 Glunz Jensen's stock expected returns. We can calculate the autocorrelation of Glunz Jensen returns to help us make a trade decision. For example, suppose you find that Glunz Jensen 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 |
Glunz Jensen 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 Glunz Jensen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Glunz Jensen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Glunz Jensen stock over time.
Current vs Lagged Prices |
| Timeline |
Glunz Jensen Lagged Returns
When evaluating Glunz Jensen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Glunz Jensen stock have on its future price. Glunz Jensen 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, Glunz Jensen autocorrelation shows the relationship between Glunz Jensen stock current value and its past values and can show if there is a momentum factor associated with investing in Glunz Jensen.
Regressed Prices |
| Timeline |
Pair Trading with Glunz Jensen
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 Glunz Jensen 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 Glunz Jensen will appreciate offsetting losses from the drop in the long position's value.Moving against Glunz Stock
The ability to find closely correlated positions to Glunz Jensen could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Glunz Jensen 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 Glunz Jensen - 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 Glunz Jensen to buy it.
The correlation of Glunz Jensen 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 Glunz Jensen moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Glunz Jensen 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 Glunz Jensen 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 Glunz Stock
Glunz Jensen financial ratios help investors to determine whether Glunz 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 Glunz with respect to the benefits of owning Glunz Jensen security.