Genmab AS (Denmark) Market Value
GMAB Stock | DKK 2,043 2.00 0.1% |
Symbol | Genmab |
Genmab AS '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 Genmab AS'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 Genmab AS.
02/17/2024 |
| 03/18/2024 |
If you would invest 0.00 in Genmab AS on February 17, 2024 and sell it all today you would earn a total of 0.00 from holding Genmab AS or generate 0.0% return on investment in Genmab AS over 30 days. Genmab AS is related to or competes with Nordinvestments, Hvidbjerg Bank, Laan Spar, Skjern Bank, PF BankNordik, and NTG Nordic. Genmab AS develops antibody therapeutics for the treatment of cancer and other diseases primarily in Denmark More
Genmab AS 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 Genmab AS'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 Genmab AS upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 2.08 | |||
Information Ratio | (0.07) | |||
Maximum Drawdown | 9.79 | |||
Value At Risk | (3.35) | |||
Potential Upside | 3.78 |
Genmab AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Genmab AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Genmab AS's standard deviation. In reality, there are many statistical measures that can use Genmab AS historical prices to predict the future Genmab AS's volatility.Risk Adjusted Performance | 0.0082 | |||
Jensen Alpha | (0.07) | |||
Total Risk Alpha | (0.42) | |||
Sortino Ratio | (0.07) | |||
Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, frequently view the market will even out over time. This tendency of Genmab AS'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. Please use the tools below to analyze the current value of Genmab AS in the context of predictive analytics.
Genmab AS Backtested Returns
Genmab AS holds Efficiency (Sharpe) Ratio of -0.0255, which attests that the entity had -0.0255% return per unit of risk over the last 3 months. Our standpoint towards determining the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Genmab AS exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its stock price that cannot be diversified away. Please check out Genmab AS's Market Risk Adjusted Performance of (0), risk adjusted performance of 0.0082, and Downside Deviation of 2.08 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.52, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Genmab AS returns are expected to increase less than the market. However, during the bear market, the loss on holding Genmab AS will be expected to be smaller as well. Even though it is essential to pay attention to Genmab AS current price history, it is always good to be careful when utilizing equity current price movements. Genmab AS has an expected return of -0.0488%. Please make sure to check out Genmab AS standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio to decide if Genmab AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.49 |
Modest reverse predictability
Genmab AS has modest reverse predictability. Overlapping area represents the amount of predictability between Genmab AS time series from 17th of February 2024 to 3rd of March 2024 and 3rd of March 2024 to 18th of March 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 Genmab AS price movement. The serial correlation of -0.49 indicates that about 49.0% of current Genmab AS price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.49 | |
Spearman Rank Test | -0.45 | |
Residual Average | 0.0 | |
Price Variance | 4461.19 |
Genmab AS lagged returns against current returns
Autocorrelation, which is Genmab AS 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 Genmab AS's stock expected returns. We can calculate the autocorrelation of Genmab AS returns to help us make a trade decision. For example, suppose you find that Genmab AS stock 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 stock movement to match the lagging time series.
Current and Lagged Values |
Timeline |
Genmab AS 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 Genmab AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Genmab AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Genmab AS stock over time.
Current vs Lagged Prices |
Timeline |
Genmab AS Lagged Returns
When evaluating Genmab AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Genmab AS stock have on its future price. Genmab AS 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, Genmab AS autocorrelation shows the relationship between Genmab AS stock current value and its past values and can show if there is a momentum factor associated with investing in Genmab AS.
Regressed Prices |
Timeline |
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Try AI Portfolio ArchitectCheck out Genmab AS Correlation, Genmab AS Volatility and Genmab AS Alpha and Beta module to complement your research on Genmab AS. To learn how to invest in Genmab Stock, please use our How to Invest in Genmab AS guide.You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Genmab Stock analysis
When running Genmab AS's price analysis, check to measure Genmab AS'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 Genmab AS is operating at the current time. Most of Genmab AS's value examination focuses on studying past and present price action to predict the probability of Genmab AS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Genmab AS's price. Additionally, you may evaluate how the addition of Genmab AS to your portfolios can decrease your overall portfolio volatility.
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