Vestum AB (Sweden) Market Value
| VESTUM Stock | 10.18 0.08 0.78% |
| Symbol | Vestum |
Vestum AB '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 Vestum AB'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 Vestum AB.
| 09/04/2023 |
| 11/27/2024 |
If you would invest 0.00 in Vestum AB on September 4, 2023 and sell it all today you would earn a total of 0.00 from holding Vestum AB or generate 0.0% return on investment in Vestum AB over 450 days. Vestum AB is related to or competes with Sweco AB, AAK AB, Beijer Ref, Bravida Holding, and Holmen AB. More
Vestum AB 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 Vestum AB'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 Vestum AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.32 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 13.85 | |||
| Value At Risk | (3.26) | |||
| Potential Upside | 4.84 |
Vestum AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vestum AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vestum AB's standard deviation. In reality, there are many statistical measures that can use Vestum AB historical prices to predict the future Vestum AB's volatility.| Risk Adjusted Performance | 0.0323 | |||
| Jensen Alpha | 0.0288 | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.1957 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vestum AB's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Vestum AB Backtested Returns
At this point, Vestum AB is somewhat reliable. Vestum AB owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0508, which indicates the firm had a 0.0508% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vestum AB, which you can use to evaluate the volatility of the company. Please validate Vestum AB's Risk Adjusted Performance of 0.0323, coefficient of variation of 3029.64, and Semi Deviation of 2.27 to confirm if the risk estimate we provide is consistent with the expected return of 0.13%. Vestum AB has a performance score of 4 on a scale of 0 to 100. The entity has a beta of 0.38, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vestum AB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vestum AB is expected to be smaller as well. Vestum AB right now has a risk of 2.57%. Please validate Vestum AB sortino ratio, semi variance, as well as the relationship between the Semi Variance and rate of daily change , to decide if Vestum AB will be following its existing price patterns.
Auto-correlation | 0.33 |
Below average predictability
Vestum AB has below average predictability. Overlapping area represents the amount of predictability between Vestum AB time series from 4th of September 2023 to 16th of April 2024 and 16th of April 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 Vestum AB price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Vestum AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 0.96 |
Vestum AB lagged returns against current returns
Autocorrelation, which is Vestum AB 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 Vestum AB's stock expected returns. We can calculate the autocorrelation of Vestum AB returns to help us make a trade decision. For example, suppose you find that Vestum AB 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 |
Vestum AB 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 Vestum AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vestum AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vestum AB stock over time.
Current vs Lagged Prices |
| Timeline |
Vestum AB Lagged Returns
When evaluating Vestum AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vestum AB stock have on its future price. Vestum AB 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, Vestum AB autocorrelation shows the relationship between Vestum AB stock current value and its past values and can show if there is a momentum factor associated with investing in Vestum AB.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Vestum Stock
Vestum AB financial ratios help investors to determine whether Vestum 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 Vestum with respect to the benefits of owning Vestum AB security.