Holmen AB (Sweden) Market Value
| HOLM-B Stock | SEK 444.60 0.20 0.04% |
| Symbol | Holmen |
Holmen 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 Holmen 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 Holmen AB.
| 04/28/2024 |
| 05/28/2024 |
If you would invest 0.00 in Holmen AB on April 28, 2024 and sell it all today you would earn a total of 0.00 from holding Holmen AB or generate 0.0% return on investment in Holmen AB over 30 days. Holmen AB is related to or competes with Svenska Cellulosa, Boliden AB, Husqvarna, and Trelleborg. Holmen Aktiebolag manufactures and sells papers, paperboards, and wood products worldwide More
Holmen 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 Holmen 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 Holmen AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9792 | |||
| Information Ratio | 0.1008 | |||
| Maximum Drawdown | 4.79 | |||
| Value At Risk | (1.51) | |||
| Potential Upside | 2.35 |
Holmen AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Holmen AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Holmen AB's standard deviation. In reality, there are many statistical measures that can use Holmen AB historical prices to predict the future Holmen AB's volatility.| Risk Adjusted Performance | 0.0888 | |||
| Jensen Alpha | 0.137 | |||
| Total Risk Alpha | 0.0775 | |||
| Sortino Ratio | 0.1142 | |||
| Treynor Ratio | 0.4442 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Holmen 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.
Holmen AB Backtested Returns
We consider Holmen AB very steady. Holmen AB holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Holmen AB, which you can use to evaluate the volatility of the firm. Please check out Holmen AB's Risk Adjusted Performance of 0.0888, market risk adjusted performance of 0.4542, and Downside Deviation of 0.9792 to validate if the risk estimate we provide is consistent with the expected return of 0.14%. Holmen AB has a performance score of 9 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.34, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Holmen AB's returns are expected to increase less than the market. However, during the bear market, the loss of holding Holmen AB is expected to be smaller as well. Holmen AB right now retains a risk of 1.12%. Please check out Holmen AB standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Holmen AB will be following its current trending patterns.
Auto-correlation | 0.79 |
Good predictability
Holmen AB has good predictability. Overlapping area represents the amount of predictability between Holmen AB time series from 28th of April 2024 to 13th of May 2024 and 13th of May 2024 to 28th 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 Holmen AB price movement. The serial correlation of 0.79 indicates that around 79.0% of current Holmen AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 48.07 |
Holmen AB lagged returns against current returns
Autocorrelation, which is Holmen 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 Holmen AB's stock expected returns. We can calculate the autocorrelation of Holmen AB returns to help us make a trade decision. For example, suppose you find that Holmen 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 |
Holmen 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 Holmen AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Holmen AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Holmen AB stock over time.
Current vs Lagged Prices |
| Timeline |
Holmen AB Lagged Returns
When evaluating Holmen AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Holmen AB stock have on its future price. Holmen 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, Holmen AB autocorrelation shows the relationship between Holmen AB stock current value and its past values and can show if there is a momentum factor associated with investing in Holmen AB.
Regressed Prices |
| Timeline |
Pair Trading with Holmen 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 Holmen 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 Holmen AB will appreciate offsetting losses from the drop in the long position's value.Moving together with Holmen Stock
| 0.89 | STE-R | Stora Enso Oyj | PairCorr |
| 0.87 | STE-A | Stora Enso Oyj | PairCorr |
| 0.99 | HOLM-A | Holmen AB | PairCorr |
| 0.67 | BILL | BillerudKorsnas AB | PairCorr |
Moving against Holmen Stock
| 0.69 | SHB-B | Svenska Handelsbanken | PairCorr |
| 0.69 | SHB-A | Svenska Handelsbanken | PairCorr |
The ability to find closely correlated positions to Holmen 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 Holmen 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 Holmen 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 Holmen AB to buy it.
The correlation of Holmen 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 Holmen AB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Holmen 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 Holmen 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 Holmen AB Correlation, Holmen AB Volatility and Holmen AB Alpha and Beta module to complement your research on Holmen AB. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Complementary Tools for Holmen Stock analysis
When running Holmen AB's price analysis, check to measure Holmen 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 Holmen AB is operating at the current time. Most of Holmen AB's value examination focuses on studying past and present price action to predict the probability of Holmen 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 Holmen AB's price. Additionally, you may evaluate how the addition of Holmen AB to your portfolios can decrease your overall portfolio volatility.
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Holmen 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.