Carlsberg (Denmark) Market Value
| CARL-B Stock | DKK 944.60 17.00 1.83% |
| Symbol | Carlsberg |
Carlsberg '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 Carlsberg'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 Carlsberg.
| 11/30/2022 |
| 04/23/2024 |
If you would invest 0.00 in Carlsberg on November 30, 2022 and sell it all today you would earn a total of 0.00 from holding Carlsberg AS or generate 0.0% return on investment in Carlsberg over 510 days. Carlsberg is related to or competes with Prime Office, Lollands Bank, Moens Bank, Nordinvestments, Strategic Investments, NTG Nordic, and Skjern Bank. Carlsberg AS produces and sells beer and other beverage products in Western Europe, Eastern Europe, and Asia More
Carlsberg 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 Carlsberg'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 Carlsberg AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 7.2 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 2.2 |
Carlsberg Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Carlsberg's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Carlsberg's standard deviation. In reality, there are many statistical measures that can use Carlsberg historical prices to predict the future Carlsberg's volatility.| Risk Adjusted Performance | 0.0234 | |||
| Jensen Alpha | 0.0187 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.2742 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Carlsberg'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.
Carlsberg AS Backtested Returns
We consider Carlsberg very steady. Carlsberg AS secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the company had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Carlsberg AS, which you can use to evaluate the volatility of the firm. Please confirm Carlsberg's Downside Deviation of 1.07, risk adjusted performance of 0.0234, and Mean Deviation of 0.8018 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. Carlsberg has a performance score of 8 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0942, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Carlsberg's returns are expected to increase less than the market. However, during the bear market, the loss of holding Carlsberg is expected to be smaller as well. Carlsberg AS right now shows a risk of 1.19%. Please confirm Carlsberg AS sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to decide if Carlsberg AS will be following its price patterns.
Auto-correlation | -0.41 |
Modest reverse predictability
Carlsberg AS has modest reverse predictability. Overlapping area represents the amount of predictability between Carlsberg time series from 30th of November 2022 to 12th of August 2023 and 12th of August 2023 to 23rd 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 Carlsberg AS price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Carlsberg price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 2830.52 |
Carlsberg AS lagged returns against current returns
Autocorrelation, which is Carlsberg 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 Carlsberg's stock expected returns. We can calculate the autocorrelation of Carlsberg returns to help us make a trade decision. For example, suppose you find that Carlsberg 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 |
Carlsberg 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 Carlsberg stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Carlsberg stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Carlsberg stock over time.
Current vs Lagged Prices |
| Timeline |
Carlsberg Lagged Returns
When evaluating Carlsberg's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Carlsberg stock have on its future price. Carlsberg 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, Carlsberg autocorrelation shows the relationship between Carlsberg stock current value and its past values and can show if there is a momentum factor associated with investing in Carlsberg AS.
Regressed Prices |
| Timeline |
Pair Trading with Carlsberg
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 Carlsberg 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 Carlsberg will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Carlsberg could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Carlsberg 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 Carlsberg - 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 Carlsberg AS to buy it.
The correlation of Carlsberg 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 Carlsberg moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Carlsberg AS 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 Carlsberg 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 Carlsberg Correlation, Carlsberg Volatility and Carlsberg Alpha and Beta module to complement your research on Carlsberg. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Complementary Tools for Carlsberg Stock analysis
When running Carlsberg's price analysis, check to measure Carlsberg'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 Carlsberg is operating at the current time. Most of Carlsberg's value examination focuses on studying past and present price action to predict the probability of Carlsberg's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Carlsberg's price. Additionally, you may evaluate how the addition of Carlsberg to your portfolios can decrease your overall portfolio volatility.
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Carlsberg 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.