Agat Ejendomme (Denmark) Market Value
| AGAT Stock | DKK 1.65 0.02 1.23% |
| Symbol | Agat |
Agat Ejendomme '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 Agat Ejendomme'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 Agat Ejendomme.
| 06/29/2023 |
| 04/24/2024 |
If you would invest 0.00 in Agat Ejendomme on June 29, 2023 and sell it all today you would earn a total of 0.00 from holding Agat Ejendomme AS or generate 0.0% return on investment in Agat Ejendomme over 300 days. Agat Ejendomme is related to or competes with Cemat AS, Columbus, Harboes Bryggeri, Copenhagen Capital, and Fast Ejendom. Agat Ejendomme AS, together with its subsidiaries, engages in the development and sale of real estate properties in Denm... More
Agat Ejendomme 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 Agat Ejendomme'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 Agat Ejendomme AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 7.19 | |||
| Value At Risk | (3.51) | |||
| Potential Upside | 3.61 |
Agat Ejendomme Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Agat Ejendomme's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Agat Ejendomme's standard deviation. In reality, there are many statistical measures that can use Agat Ejendomme historical prices to predict the future Agat Ejendomme's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | 0.1733 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Agat Ejendomme'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.
Agat Ejendomme AS Backtested Returns
Agat Ejendomme AS secures Sharpe Ratio (or Efficiency) of -0.0276, which signifies that the company had a -0.0276% return per unit of standard deviation over the last 3 months. Agat Ejendomme AS exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Agat Ejendomme's risk adjusted performance of (0.04), and Mean Deviation of 1.51 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.9, which signifies possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning Agat Ejendomme are expected to decrease slowly. On the other hand, during market turmoil, Agat Ejendomme is expected to outperform it slightly. Agat Ejendomme AS has an expected return of -0.0517%. Please make sure to confirm Agat Ejendomme AS market risk adjusted performance, coefficient of variation, information ratio, as well as the relationship between the mean deviation and standard deviation , to decide if Agat Ejendomme AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.03 |
Very weak reverse predictability
Agat Ejendomme AS has very weak reverse predictability. Overlapping area represents the amount of predictability between Agat Ejendomme time series from 29th of June 2023 to 26th of November 2023 and 26th of November 2023 to 24th 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 Agat Ejendomme AS price movement. The serial correlation of -0.03 indicates that only 3.0% of current Agat Ejendomme price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Agat Ejendomme AS lagged returns against current returns
Autocorrelation, which is Agat Ejendomme 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 Agat Ejendomme's stock expected returns. We can calculate the autocorrelation of Agat Ejendomme returns to help us make a trade decision. For example, suppose you find that Agat Ejendomme 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 |
Agat Ejendomme 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 Agat Ejendomme stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Agat Ejendomme stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Agat Ejendomme stock over time.
Current vs Lagged Prices |
| Timeline |
Agat Ejendomme Lagged Returns
When evaluating Agat Ejendomme's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Agat Ejendomme stock have on its future price. Agat Ejendomme 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, Agat Ejendomme autocorrelation shows the relationship between Agat Ejendomme stock current value and its past values and can show if there is a momentum factor associated with investing in Agat Ejendomme AS.
Regressed Prices |
| Timeline |
Pair Trading with Agat Ejendomme
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 Agat Ejendomme 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 Agat Ejendomme will appreciate offsetting losses from the drop in the long position's value.Moving against Agat Stock
| 0.56 | SYDB | Sydbank AS Earnings Call This Week | PairCorr |
| 0.53 | SPNO | Spar Nord Bank Earnings Call Next Week | PairCorr |
| 0.51 | JYSK | Jyske Bank AS | PairCorr |
| 0.51 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.45 | DANSKE | Danske Bank AS | PairCorr |
The ability to find closely correlated positions to Agat Ejendomme could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Agat Ejendomme 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 Agat Ejendomme - 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 Agat Ejendomme AS to buy it.
The correlation of Agat Ejendomme 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 Agat Ejendomme moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Agat Ejendomme 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 Agat Ejendomme 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 Agat Ejendomme Correlation, Agat Ejendomme Volatility and Agat Ejendomme Alpha and Beta module to complement your research on Agat Ejendomme. 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 Agat Stock analysis
When running Agat Ejendomme's price analysis, check to measure Agat Ejendomme'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 Agat Ejendomme is operating at the current time. Most of Agat Ejendomme's value examination focuses on studying past and present price action to predict the probability of Agat Ejendomme's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Agat Ejendomme's price. Additionally, you may evaluate how the addition of Agat Ejendomme to your portfolios can decrease your overall portfolio volatility.
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Agat Ejendomme 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.