Genmab AS (Denmark) Market Value
| GMAB Stock | DKK 1,484 36.00 2.49% |
| Symbol | Genmab |
Genmab AS '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 Genmab AS'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 Genmab AS.
| 10/29/2023 |
| 11/22/2024 |
If you would invest 0.00 in Genmab AS on October 29, 2023 and sell it all today you would earn a total of 0.00 from holding Genmab AS or generate 0.0% return on investment in Genmab AS over 390 days. Genmab AS is related to or competes with Ambu AS, DSV Panalpina, Bavarian Nordic, GN Store, and FLSmidth. Genmab AS develops antibody therapeutics for the treatment of cancer and other diseases primarily in Denmark More
Genmab AS 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 Genmab AS'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 Genmab AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 8.81 | |||
| Value At Risk | (2.83) | |||
| Potential Upside | 1.38 |
Genmab AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Genmab AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Genmab AS's standard deviation. In reality, there are many statistical measures that can use Genmab AS historical prices to predict the future Genmab AS's volatility.| Risk Adjusted Performance | (0.18) | |||
| Jensen Alpha | (0.37) | |||
| Total Risk Alpha | (0.54) | |||
| Treynor Ratio | (2.36) |
Genmab AS Backtested Returns
Genmab AS holds Efficiency (Sharpe) Ratio of -0.21, which attests that the entity had a -0.21% return per unit of risk over the last 3 months. Genmab AS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Genmab AS's Risk Adjusted Performance of (0.18), market risk adjusted performance of (2.35), and Standard Deviation of 1.42 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.15, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Genmab AS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Genmab AS is expected to be smaller as well. At this point, Genmab AS has a negative expected return of -0.31%. Please make sure to check out Genmab AS's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Genmab AS performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.14 |
Insignificant predictability
Genmab AS has insignificant predictability. Overlapping area represents the amount of predictability between Genmab AS time series from 29th of October 2023 to 11th of May 2024 and 11th of May 2024 to 22nd 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 Genmab AS price movement. The serial correlation of 0.14 indicates that less than 14.0% of current Genmab AS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.14 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 21.5 K |
Genmab AS lagged returns against current returns
Autocorrelation, which is Genmab AS 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 Genmab AS's stock expected returns. We can calculate the autocorrelation of Genmab AS returns to help us make a trade decision. For example, suppose you find that Genmab AS 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 |
Genmab AS 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 Genmab AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Genmab AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Genmab AS stock over time.
Current vs Lagged Prices |
| Timeline |
Genmab AS Lagged Returns
When evaluating Genmab AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Genmab AS stock have on its future price. Genmab AS 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, Genmab AS autocorrelation shows the relationship between Genmab AS stock current value and its past values and can show if there is a momentum factor associated with investing in Genmab AS.
Regressed Prices |
| Timeline |
Pair Trading with Genmab AS
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 Genmab AS 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 Genmab AS will appreciate offsetting losses from the drop in the long position's value.Moving together with Genmab Stock
| 0.94 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.76 | ALK-B | ALK Abell AS | PairCorr |
| 0.87 | BAVA | Bavarian Nordic | PairCorr |
| 0.71 | ZEAL | Zealand Pharma AS | PairCorr |
Moving against Genmab Stock
| 0.65 | MAERSK-B | AP Mller | PairCorr |
| 0.62 | MAERSK-A | AP Mller | PairCorr |
| 0.54 | ORPHA | Orphazyme AS | PairCorr |
| 0.33 | CHEMM | ChemoMetec AS | PairCorr |
The ability to find closely correlated positions to Genmab AS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Genmab AS 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 Genmab AS - 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 Genmab AS to buy it.
The correlation of Genmab AS 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 Genmab AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Genmab 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 Genmab AS 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.Additional Information and Resources on Investing in Genmab Stock
When determining whether Genmab AS offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Genmab AS's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Genmab As Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Genmab As Stock:Check out Genmab AS Correlation, Genmab AS Volatility and Genmab AS Alpha and Beta module to complement your research on Genmab AS. To learn how to invest in Genmab Stock, please use our How to Invest in Genmab AS guide.You can also try the Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Genmab AS technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.