H Lundbeck (Denmark) Market Value
| HLUN-B Stock | 43.90 1.00 2.23% |
| Symbol | HLUN-B |
H Lundbeck '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 H Lundbeck'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 H Lundbeck.
| 08/29/2024 |
| 11/27/2024 |
If you would invest 0.00 in H Lundbeck on August 29, 2024 and sell it all today you would earn a total of 0.00 from holding H Lundbeck AS or generate 0.0% return on investment in H Lundbeck over 90 days. H Lundbeck is related to or competes with H Lundbeck, GN Store, FLSmidth, ALK Abell, and Ambu AS. More
H Lundbeck 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 H Lundbeck'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 H Lundbeck AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 8.36 | |||
| Value At Risk | (2.64) | |||
| Potential Upside | 2.49 |
H Lundbeck Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for H Lundbeck's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as H Lundbeck's standard deviation. In reality, there are many statistical measures that can use H Lundbeck historical prices to predict the future H Lundbeck's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.41) | |||
| Treynor Ratio | (0.52) |
H Lundbeck AS Backtested Returns
H Lundbeck AS holds Efficiency (Sharpe) Ratio of -0.0681, which attests that the company had a -0.0681% return per unit of risk over the last 3 months. H Lundbeck AS exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out H Lundbeck's coefficient of variation of (1,247), and Standard Deviation of 1.66 to validate the risk estimate we provide. The firm retains a Market Volatility (i.e., Beta) of 0.28, which attests to not very significant fluctuations relative to the market. As returns on the market increase, H Lundbeck's returns are expected to increase less than the market. However, during the bear market, the loss of holding H Lundbeck is expected to be smaller as well. At this point, H Lundbeck AS has a negative expected return of -0.11%. Please make sure to check out H Lundbeck's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if H Lundbeck AS performance from the past will be repeated sooner or later.
Auto-correlation | 0.59 |
Modest predictability
H Lundbeck AS has modest predictability. Overlapping area represents the amount of predictability between H Lundbeck time series from 29th of August 2024 to 13th of October 2024 and 13th 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 H Lundbeck AS price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current H Lundbeck price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 3.11 |
H Lundbeck AS lagged returns against current returns
Autocorrelation, which is H Lundbeck 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 H Lundbeck's stock expected returns. We can calculate the autocorrelation of H Lundbeck returns to help us make a trade decision. For example, suppose you find that H Lundbeck 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 |
H Lundbeck 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 H Lundbeck stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if H Lundbeck stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in H Lundbeck stock over time.
Current vs Lagged Prices |
| Timeline |
H Lundbeck Lagged Returns
When evaluating H Lundbeck's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of H Lundbeck stock have on its future price. H Lundbeck 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, H Lundbeck autocorrelation shows the relationship between H Lundbeck stock current value and its past values and can show if there is a momentum factor associated with investing in H Lundbeck AS.
Regressed Prices |
| Timeline |
Pair Trading with H Lundbeck
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 H Lundbeck 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 H Lundbeck will appreciate offsetting losses from the drop in the long position's value.Moving together with HLUN-B Stock
Moving against HLUN-B Stock
The ability to find closely correlated positions to H Lundbeck could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace H Lundbeck 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 H Lundbeck - 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 H Lundbeck AS to buy it.
The correlation of H Lundbeck 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 H Lundbeck moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if H Lundbeck 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 H Lundbeck 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 HLUN-B Stock
H Lundbeck financial ratios help investors to determine whether HLUN-B 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 HLUN-B with respect to the benefits of owning H Lundbeck security.