Maj Invest (Denmark) Market Value
| MAJEMV Fund | 119.50 2.05 1.69% |
| Symbol | Maj |
Maj Invest '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 Maj Invest's fund 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 Maj Invest.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Maj Invest on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Maj Invest Emerging or generate 0.0% return on investment in Maj Invest over 480 days.
Maj Invest 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 Maj Invest's fund 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 Maj Invest Emerging upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | 0.003 | |||
| Maximum Drawdown | 7.17 | |||
| Value At Risk | (1.69) | |||
| Potential Upside | 2.31 |
Maj Invest Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Maj Invest's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Maj Invest's standard deviation. In reality, there are many statistical measures that can use Maj Invest historical prices to predict the future Maj Invest's volatility.| Risk Adjusted Performance | 0.0759 | |||
| Jensen Alpha | 0.0844 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0031 | |||
| Treynor Ratio | 0.3985 |
Maj Invest Emerging Backtested Returns
At this point, Maj Invest is very steady. Maj Invest Emerging has Sharpe Ratio of 0.11, which conveys that the entity had a 0.11% return per unit of risk over the last 3 months. We have found thirty technical indicators for Maj Invest, which you can use to evaluate the volatility of the fund. Please verify Maj Invest's Downside Deviation of 1.27, mean deviation of 0.9798, and Risk Adjusted Performance of 0.0759 to check out if the risk estimate we provide is consistent with the expected return of 0.14%. The fund secures a Beta (Market Risk) of 0.3, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Maj Invest's returns are expected to increase less than the market. However, during the bear market, the loss of holding Maj Invest is expected to be smaller as well.
Auto-correlation | 0.49 |
Average predictability
Maj Invest Emerging has average predictability. Overlapping area represents the amount of predictability between Maj Invest time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th of December 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 Maj Invest Emerging price movement. The serial correlation of 0.49 indicates that about 49.0% of current Maj Invest price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 8.92 |
Maj Invest Emerging lagged returns against current returns
Autocorrelation, which is Maj Invest fund'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 Maj Invest's fund expected returns. We can calculate the autocorrelation of Maj Invest returns to help us make a trade decision. For example, suppose you find that Maj Invest has exhibited high autocorrelation historically, and you observe that the fund 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 |
Maj Invest 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 Maj Invest fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Maj Invest fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Maj Invest fund over time.
Current vs Lagged Prices |
| Timeline |
Maj Invest Lagged Returns
When evaluating Maj Invest's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Maj Invest fund have on its future price. Maj Invest 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, Maj Invest autocorrelation shows the relationship between Maj Invest fund current value and its past values and can show if there is a momentum factor associated with investing in Maj Invest Emerging.
Regressed Prices |
| Timeline |
Pair Trading with Maj Invest
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 Maj Invest 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 Maj Invest will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Maj Invest could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Maj Invest 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 Maj Invest - 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 Maj Invest Emerging to buy it.
The correlation of Maj Invest 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 Maj Invest moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Maj Invest Emerging 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 Maj Invest 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.| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
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