SKAGEN AVKASTNING (Norway) Market Value
| NO0008000452 | 148.40 0.04 0.03% |
| Symbol | SKAGEN |
SKAGEN AVKASTNING '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 SKAGEN AVKASTNING'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 SKAGEN AVKASTNING.
| 01/06/2023 |
| 11/26/2024 |
If you would invest 0.00 in SKAGEN AVKASTNING on January 6, 2023 and sell it all today you would earn a total of 0.00 from holding SKAGEN AVKASTNING or generate 0.0% return on investment in SKAGEN AVKASTNING over 690 days.
SKAGEN AVKASTNING 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 SKAGEN AVKASTNING'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 SKAGEN AVKASTNING upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (3.66) | |||
| Maximum Drawdown | 0.1569 | |||
| Value At Risk | (0.01) | |||
| Potential Upside | 0.0742 |
SKAGEN AVKASTNING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SKAGEN AVKASTNING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SKAGEN AVKASTNING's standard deviation. In reality, there are many statistical measures that can use SKAGEN AVKASTNING historical prices to predict the future SKAGEN AVKASTNING's volatility.| Risk Adjusted Performance | 0.5008 | |||
| Jensen Alpha | 0.0168 | |||
| Total Risk Alpha | 0.0134 | |||
| Treynor Ratio | 2.36 |
SKAGEN AVKASTNING Backtested Returns
At this point, SKAGEN AVKASTNING is very steady. SKAGEN AVKASTNING retains Efficiency (Sharpe Ratio) of 0.96, which indicates the fund had a 0.96% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for SKAGEN AVKASTNING, which you can use to evaluate the volatility of the fund. Please validate SKAGEN AVKASTNING's standard deviation of 0.0276, and Risk Adjusted Performance of 0.5008 to confirm if the risk estimate we provide is consistent with the expected return of 0.026%. The entity owns a Beta (Systematic Risk) of 0.0075, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SKAGEN AVKASTNING's returns are expected to increase less than the market. However, during the bear market, the loss of holding SKAGEN AVKASTNING is expected to be smaller as well.
Auto-correlation | 0.89 |
Very good predictability
SKAGEN AVKASTNING has very good predictability. Overlapping area represents the amount of predictability between SKAGEN AVKASTNING time series from 6th of January 2023 to 17th of December 2023 and 17th of December 2023 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 SKAGEN AVKASTNING price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current SKAGEN AVKASTNING price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.89 | |
| Residual Average | 0.0 | |
| Price Variance | 8.08 |
SKAGEN AVKASTNING lagged returns against current returns
Autocorrelation, which is SKAGEN AVKASTNING 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 SKAGEN AVKASTNING's fund expected returns. We can calculate the autocorrelation of SKAGEN AVKASTNING returns to help us make a trade decision. For example, suppose you find that SKAGEN AVKASTNING 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 |
SKAGEN AVKASTNING 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 SKAGEN AVKASTNING fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SKAGEN AVKASTNING fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SKAGEN AVKASTNING fund over time.
Current vs Lagged Prices |
| Timeline |
SKAGEN AVKASTNING Lagged Returns
When evaluating SKAGEN AVKASTNING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SKAGEN AVKASTNING fund have on its future price. SKAGEN AVKASTNING 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, SKAGEN AVKASTNING autocorrelation shows the relationship between SKAGEN AVKASTNING fund current value and its past values and can show if there is a momentum factor associated with investing in SKAGEN AVKASTNING.
Regressed Prices |
| Timeline |
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