Byggmax Group (Sweden) Market Value
| BMAX Stock | SEK 33.28 0.34 1.01% |
| Symbol | Byggmax |
Byggmax Group '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 Byggmax Group'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 Byggmax Group.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Byggmax Group on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Byggmax Group AB or generate 0.0% return on investment in Byggmax Group over 30 days. Byggmax Group is related to or competes with Clas Ohlson, Inwido AB, Cloetta AB, Betsson AB, and Peab AB. Byggmax Group AB sells building materials for common maintenance and DIY projects More
Byggmax Group 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 Byggmax Group'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 Byggmax Group AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 10.23 | |||
| Value At Risk | (4.02) | |||
| Potential Upside | 2.98 |
Byggmax Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Byggmax Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Byggmax Group's standard deviation. In reality, there are many statistical measures that can use Byggmax Group historical prices to predict the future Byggmax Group's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.41) | |||
| Treynor Ratio | (0.50) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Byggmax Group'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.
Byggmax Group AB Backtested Returns
Byggmax Group AB secures Sharpe Ratio (or Efficiency) of -0.0437, which signifies that the company had a -0.0437% return per unit of standard deviation over the last 3 months. Byggmax Group AB exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Byggmax Group's mean deviation of 1.8, and Risk Adjusted Performance of (0.01) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Byggmax Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Byggmax Group is expected to be smaller as well. Byggmax Group AB has an expected return of -0.0951%. Please make sure to confirm Byggmax Group AB jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Byggmax Group AB performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.5 |
Modest reverse predictability
Byggmax Group AB has modest reverse predictability. Overlapping area represents the amount of predictability between Byggmax Group time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Byggmax Group AB price movement. The serial correlation of -0.5 indicates that about 50.0% of current Byggmax Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 1.73 |
Byggmax Group AB lagged returns against current returns
Autocorrelation, which is Byggmax Group 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 Byggmax Group's stock expected returns. We can calculate the autocorrelation of Byggmax Group returns to help us make a trade decision. For example, suppose you find that Byggmax Group 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 |
Byggmax Group 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 Byggmax Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Byggmax Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Byggmax Group stock over time.
Current vs Lagged Prices |
| Timeline |
Byggmax Group Lagged Returns
When evaluating Byggmax Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Byggmax Group stock have on its future price. Byggmax Group 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, Byggmax Group autocorrelation shows the relationship between Byggmax Group stock current value and its past values and can show if there is a momentum factor associated with investing in Byggmax Group AB.
Regressed Prices |
| Timeline |
Pair Trading with Byggmax Group
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 Byggmax Group 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 Byggmax Group will appreciate offsetting losses from the drop in the long position's value.Moving against Byggmax Stock
| 0.59 | SEB-C | Skandinaviska Enskilda | PairCorr |
| 0.59 | SHB-B | Svenska Handelsbanken | PairCorr |
| 0.56 | SHB-A | Svenska Handelsbanken | PairCorr |
The ability to find closely correlated positions to Byggmax Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Byggmax Group 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 Byggmax Group - 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 Byggmax Group AB to buy it.
The correlation of Byggmax Group 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 Byggmax Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Byggmax Group 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 Byggmax Group 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 Byggmax Group Correlation, Byggmax Group Volatility and Byggmax Group Alpha and Beta module to complement your research on Byggmax Group. 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 Byggmax Stock analysis
When running Byggmax Group's price analysis, check to measure Byggmax Group'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 Byggmax Group is operating at the current time. Most of Byggmax Group's value examination focuses on studying past and present price action to predict the probability of Byggmax Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Byggmax Group's price. Additionally, you may evaluate how the addition of Byggmax Group to your portfolios can decrease your overall portfolio volatility.
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Byggmax Group 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.