ABB (Sweden) Market Value
| ABB Stock | SEK 539.40 7.20 1.35% |
| Symbol | ABB |
ABB '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 ABB'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 ABB.
| 03/29/2024 |
| 04/28/2024 |
If you would invest 0.00 in ABB on March 29, 2024 and sell it all today you would earn a total of 0.00 from holding ABB or generate 0.0% return on investment in ABB over 30 days. ABB is related to or competes with Sandvik AB, AB SKF, Alfa Laval, Atlas Copco, and Boliden AB. ABB Ltd manufactures and sells electrification, industrial automation, and robotics and motion products for customers in... More
ABB 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 ABB'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 ABB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9352 | |||
| Information Ratio | 0.2076 | |||
| Maximum Drawdown | 7.36 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.96 |
ABB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ABB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ABB's standard deviation. In reality, there are many statistical measures that can use ABB historical prices to predict the future ABB's volatility.| Risk Adjusted Performance | 0.1823 | |||
| Jensen Alpha | 0.3289 | |||
| Total Risk Alpha | 0.1723 | |||
| Sortino Ratio | 0.2562 | |||
| Treynor Ratio | (2.51) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ABB'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.
ABB Backtested Returns
ABB appears to be very steady, given 3 months investment horizon. ABB retains Efficiency (Sharpe Ratio) of 0.28, which signifies that the company had a 0.28% return per unit of risk over the last 3 months. We have found thirty technical indicators for ABB, which you can use to evaluate the volatility of the entity. Please makes use of ABB's coefficient of variation of 351.03, and Market Risk Adjusted Performance of (2.50) to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, ABB holds a performance score of 22. The firm owns a Beta (Systematic Risk) of -0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ABB are expected to decrease at a much lower rate. During the bear market, ABB is likely to outperform the market. Please check ABB's semi deviation, sortino ratio, semi variance, as well as the relationship between the standard deviation and value at risk , to make a quick decision on whether ABB's current price history will revert.
Auto-correlation | 0.36 |
Below average predictability
ABB has below average predictability. Overlapping area represents the amount of predictability between ABB time series from 29th of March 2024 to 13th of April 2024 and 13th of April 2024 to 28th 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 ABB price movement. The serial correlation of 0.36 indicates that just about 36.0% of current ABB price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 234.23 |
ABB lagged returns against current returns
Autocorrelation, which is ABB 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 ABB's stock expected returns. We can calculate the autocorrelation of ABB returns to help us make a trade decision. For example, suppose you find that ABB 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 |
ABB 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 ABB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ABB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ABB stock over time.
Current vs Lagged Prices |
| Timeline |
ABB Lagged Returns
When evaluating ABB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ABB stock have on its future price. ABB 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, ABB autocorrelation shows the relationship between ABB stock current value and its past values and can show if there is a momentum factor associated with investing in ABB.
Regressed Prices |
| Timeline |
Pair Trading with ABB
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 ABB 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 ABB will appreciate offsetting losses from the drop in the long position's value.Moving together with ABB Stock
| 0.88 | ALFA | Alfa Laval AB | PairCorr |
| 0.69 | BEIA-B | Beijer Alma AB | PairCorr |
Moving against ABB Stock
| 0.79 | SPEQT | Speqta publ AB | PairCorr |
| 0.71 | ABSO | Absolent Group AB | PairCorr |
| 0.53 | BINERO | Binero Group AB | PairCorr |
The ability to find closely correlated positions to ABB could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ABB 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 ABB - 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 ABB to buy it.
The correlation of ABB 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 ABB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ABB 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 ABB 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 ABB Correlation, ABB Volatility and ABB Alpha and Beta module to complement your research on ABB. Note that the ABB information on this page should be used as a complementary analysis to other ABB'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 Global Correlations module to find global opportunities by holding instruments from different markets.
Complementary Tools for ABB Stock analysis
When running ABB's price analysis, check to measure ABB'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 ABB is operating at the current time. Most of ABB's value examination focuses on studying past and present price action to predict the probability of ABB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ABB's price. Additionally, you may evaluate how the addition of ABB to your portfolios can decrease your overall portfolio volatility.
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ABB 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.