AbbVie (Brazil) Market Value
| ABBV34 Stock | BRL 51.80 0.39 0.76% |
| Symbol | AbbVie |
AbbVie '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 AbbVie'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 AbbVie.
| 04/04/2024 |
| 05/04/2024 |
If you would invest 0.00 in AbbVie on April 4, 2024 and sell it all today you would earn a total of 0.00 from holding AbbVie Inc or generate 0.0% return on investment in AbbVie over 30 days. AbbVie is related to or competes with Verizon Communications, Technos SA, Lupatech, British American, Agilent Technologies, Unifique Telecomunicaes, and G2D Investments. AbbVie Inc. discovers, develops, manufactures, and sells pharmaceutical products in the United States, Japan, Germany, C... More
AbbVie 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 AbbVie'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 AbbVie Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.92 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 7.26 | |||
| Value At Risk | (2.41) | |||
| Potential Upside | 2.02 |
AbbVie Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AbbVie's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AbbVie's standard deviation. In reality, there are many statistical measures that can use AbbVie historical prices to predict the future AbbVie's volatility.| Risk Adjusted Performance | 0.0282 | |||
| Jensen Alpha | 0.0321 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.2791 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AbbVie'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.
AbbVie Inc Backtested Returns
AbbVie Inc secures Sharpe Ratio (or Efficiency) of -0.0195, which signifies that the company had a -0.0195% return per unit of standard deviation over the last 3 months. AbbVie Inc exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AbbVie's mean deviation of 1.09, and Risk Adjusted Performance of 0.0282 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AbbVie's returns are expected to increase less than the market. However, during the bear market, the loss of holding AbbVie is expected to be smaller as well. AbbVie Inc has an expected return of -0.0286%. Please make sure to confirm AbbVie Inc semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to decide if AbbVie Inc performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.00 |
No correlation between past and present
AbbVie Inc has no correlation between past and present. Overlapping area represents the amount of predictability between AbbVie time series from 4th of April 2024 to 19th of April 2024 and 19th of April 2024 to 4th of May 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 AbbVie Inc price movement. The serial correlation of 0.0 indicates that just 0.0% of current AbbVie price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | -0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 1.51 |
AbbVie Inc lagged returns against current returns
Autocorrelation, which is AbbVie 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 AbbVie's stock expected returns. We can calculate the autocorrelation of AbbVie returns to help us make a trade decision. For example, suppose you find that AbbVie 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 |
AbbVie 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 AbbVie stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AbbVie stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AbbVie stock over time.
Current vs Lagged Prices |
| Timeline |
AbbVie Lagged Returns
When evaluating AbbVie's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AbbVie stock have on its future price. AbbVie 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, AbbVie autocorrelation shows the relationship between AbbVie stock current value and its past values and can show if there is a momentum factor associated with investing in AbbVie Inc.
Regressed Prices |
| Timeline |
Pair Trading with AbbVie
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 AbbVie 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 AbbVie will appreciate offsetting losses from the drop in the long position's value.Moving together with AbbVie Stock
| 0.64 | JNJB34 | Johnson Johnson | PairCorr |
The ability to find closely correlated positions to AbbVie could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AbbVie 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 AbbVie - 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 AbbVie Inc to buy it.
The correlation of AbbVie 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 AbbVie moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AbbVie Inc 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 AbbVie 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 AbbVie Correlation, AbbVie Volatility and AbbVie Alpha and Beta module to complement your research on AbbVie. Note that the AbbVie Inc information on this page should be used as a complementary analysis to other AbbVie'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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Complementary Tools for AbbVie Stock analysis
When running AbbVie's price analysis, check to measure AbbVie'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 AbbVie is operating at the current time. Most of AbbVie's value examination focuses on studying past and present price action to predict the probability of AbbVie's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AbbVie's price. Additionally, you may evaluate how the addition of AbbVie to your portfolios can decrease your overall portfolio volatility.
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AbbVie 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.