Ambea AB (Sweden) Market Value
| AMBEA Stock | SEK 63.95 1.05 1.67% |
| Symbol | Ambea |
Ambea 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 Ambea 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 Ambea AB.
| 01/21/2024 |
| 04/20/2024 |
If you would invest 0.00 in Ambea AB on January 21, 2024 and sell it all today you would earn a total of 0.00 from holding Ambea AB or generate 0.0% return on investment in Ambea AB over 90 days. Ambea AB is related to or competes with Swedish Orphan, and Anoto Group. Ambea AB provides residential care services for people with special needs in Sweden, Norway, and Denmark More
Ambea 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 Ambea 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 Ambea AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.72 | |||
| Information Ratio | 0.0903 | |||
| Maximum Drawdown | 17.44 | |||
| Value At Risk | (2.53) | |||
| Potential Upside | 3.1 |
Ambea AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ambea AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ambea AB's standard deviation. In reality, there are many statistical measures that can use Ambea AB historical prices to predict the future Ambea AB's volatility.| Risk Adjusted Performance | 0.086 | |||
| Jensen Alpha | 0.2814 | |||
| Total Risk Alpha | 0.0024 | |||
| Sortino Ratio | 0.1165 | |||
| Treynor Ratio | (3.93) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ambea 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.
Ambea AB Backtested Returns
Ambea AB appears to be very steady, given 3 months investment horizon. Ambea AB secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Ambea AB, which you can use to evaluate the volatility of the firm. Please makes use of Ambea AB's mean deviation of 1.39, and Risk Adjusted Performance of 0.086 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Ambea AB holds a performance score of 11. The firm shows a Beta (market volatility) of -0.0703, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ambea AB are expected to decrease at a much lower rate. During the bear market, Ambea AB is likely to outperform the market. Please check Ambea AB's information ratio, treynor ratio, and the relationship between the downside deviation and total risk alpha , to make a quick decision on whether Ambea AB's price patterns will revert.
Auto-correlation | 0.72 |
Good predictability
Ambea AB has good predictability. Overlapping area represents the amount of predictability between Ambea AB time series from 21st of January 2024 to 6th of March 2024 and 6th of March 2024 to 20th of April 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 Ambea AB price movement. The serial correlation of 0.72 indicates that around 72.0% of current Ambea AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 2.84 |
Ambea AB lagged returns against current returns
Autocorrelation, which is Ambea 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 Ambea AB's stock expected returns. We can calculate the autocorrelation of Ambea AB returns to help us make a trade decision. For example, suppose you find that Ambea 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 |
Ambea 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 Ambea AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ambea AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ambea AB stock over time.
Current vs Lagged Prices |
| Timeline |
Ambea AB Lagged Returns
When evaluating Ambea AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ambea AB stock have on its future price. Ambea 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, Ambea AB autocorrelation shows the relationship between Ambea AB stock current value and its past values and can show if there is a momentum factor associated with investing in Ambea AB.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Ambea AB in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Ambea AB's short interest history, or implied volatility extrapolated from Ambea AB options trading.
Pair Trading with Ambea AB
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 Ambea AB 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 Ambea AB will appreciate offsetting losses from the drop in the long position's value.Moving together with Ambea Stock
| 0.7 | SEB-A | Skandinaviska Enskilda Earnings Call This Week | PairCorr |
| 0.82 | SWED-A | Swedbank AB Earnings Call This Week | PairCorr |
Moving against Ambea Stock
| 0.43 | ERIC-A | Telefonaktiebolaget | PairCorr |
The ability to find closely correlated positions to Ambea AB could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ambea AB 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 Ambea AB - 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 Ambea AB to buy it.
The correlation of Ambea AB 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 Ambea AB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ambea AB 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 Ambea AB 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.Check out Ambea AB Correlation, Ambea AB Volatility and Ambea AB Alpha and Beta module to complement your research on Ambea AB. Note that the Ambea AB information on this page should be used as a complementary analysis to other Ambea AB's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Complementary Tools for Ambea Stock analysis
When running Ambea AB's price analysis, check to measure Ambea AB's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Ambea AB is operating at the current time. Most of Ambea AB's value examination focuses on studying past and present price action to predict the probability of Ambea AB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ambea AB's price. Additionally, you may evaluate how the addition of Ambea AB to your portfolios can decrease your overall portfolio volatility.
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Ambea AB technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.