Scandinavian Tobacco (Denmark) Market Value
| STG Stock | DKK 98.50 0.10 0.10% |
| Symbol | Scandinavian |
Scandinavian Tobacco '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 Scandinavian Tobacco'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 Scandinavian Tobacco.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Scandinavian Tobacco on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Scandinavian Tobacco Group or generate 0.0% return on investment in Scandinavian Tobacco over 30 days. Scandinavian Tobacco is related to or competes with Matas AS, Tryg AS, Alm Brand, and Royal Unibrew. Scandinavian Tobacco Group AS manufactures and sells handmade and machine-made cigars, and pipe tobacco worldwide More
Scandinavian Tobacco 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 Scandinavian Tobacco'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 Scandinavian Tobacco Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 10.07 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.17 |
Scandinavian Tobacco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Scandinavian Tobacco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Scandinavian Tobacco's standard deviation. In reality, there are many statistical measures that can use Scandinavian Tobacco historical prices to predict the future Scandinavian Tobacco's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.33) | |||
| Treynor Ratio | (10.12) |
Scandinavian Tobacco Backtested Returns
Scandinavian Tobacco owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0894, which indicates the firm had a -0.0894% return per unit of risk over the last 3 months. Scandinavian Tobacco Group exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Scandinavian Tobacco's Variance of 1.76, coefficient of variation of (1,168), and Risk Adjusted Performance of (0.06) to confirm the risk estimate we provide. The entity has a beta of 0.0122, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Scandinavian Tobacco's returns are expected to increase less than the market. However, during the bear market, the loss of holding Scandinavian Tobacco is expected to be smaller as well. At this point, Scandinavian Tobacco has a negative expected return of -0.12%. Please make sure to validate Scandinavian Tobacco's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if Scandinavian Tobacco performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.51 |
Modest predictability
Scandinavian Tobacco Group has modest predictability. Overlapping area represents the amount of predictability between Scandinavian Tobacco time series from 28th of October 2024 to 12th of November 2024 and 12th of November 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 Scandinavian Tobacco price movement. The serial correlation of 0.51 indicates that about 51.0% of current Scandinavian Tobacco price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 4.27 |
Scandinavian Tobacco lagged returns against current returns
Autocorrelation, which is Scandinavian Tobacco 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 Scandinavian Tobacco's stock expected returns. We can calculate the autocorrelation of Scandinavian Tobacco returns to help us make a trade decision. For example, suppose you find that Scandinavian Tobacco 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 |
Scandinavian Tobacco 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 Scandinavian Tobacco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Scandinavian Tobacco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Scandinavian Tobacco stock over time.
Current vs Lagged Prices |
| Timeline |
Scandinavian Tobacco Lagged Returns
When evaluating Scandinavian Tobacco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Scandinavian Tobacco stock have on its future price. Scandinavian Tobacco 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, Scandinavian Tobacco autocorrelation shows the relationship between Scandinavian Tobacco stock current value and its past values and can show if there is a momentum factor associated with investing in Scandinavian Tobacco Group.
Regressed Prices |
| Timeline |
Pair Trading with Scandinavian Tobacco
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 Scandinavian Tobacco 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 Scandinavian Tobacco will appreciate offsetting losses from the drop in the long position's value.Moving against Scandinavian Stock
The ability to find closely correlated positions to Scandinavian Tobacco could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Scandinavian Tobacco 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 Scandinavian Tobacco - 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 Scandinavian Tobacco Group to buy it.
The correlation of Scandinavian Tobacco 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 Scandinavian Tobacco moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Scandinavian Tobacco 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 Scandinavian Tobacco 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 Scandinavian Stock
Scandinavian Tobacco financial ratios help investors to determine whether Scandinavian 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 Scandinavian with respect to the benefits of owning Scandinavian Tobacco security.