Jyske Bank (Denmark) Market Value
| JYSK Stock | DKK 525.50 2.50 0.47% |
| Symbol | Jyske |
Jyske Bank '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 Jyske Bank'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 Jyske Bank.
| 11/23/2023 |
| 09/18/2024 |
If you would invest 0.00 in Jyske Bank on November 23, 2023 and sell it all today you would earn a total of 0.00 from holding Jyske Bank AS or generate 0.0% return on investment in Jyske Bank over 300 days. Jyske Bank is related to or competes with Strategic Investments, Nordinvestments, Kreditbanken, Scandinavian Tobacco, and PARKEN Sport. Jyske Bank AS provides a range of financial solutions to personal, corporate, private banking, and institutional clients... More
Jyske Bank 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 Jyske Bank'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 Jyske Bank AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 5.92 | |||
| Value At Risk | (2.47) | |||
| Potential Upside | 1.96 |
Jyske Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jyske Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jyske Bank's standard deviation. In reality, there are many statistical measures that can use Jyske Bank historical prices to predict the future Jyske Bank's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | (0.27) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jyske Bank'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.
Jyske Bank AS Backtested Returns
Jyske Bank AS holds Efficiency (Sharpe) Ratio of -0.11, which attests that the entity had a -0.11% return per unit of risk over the last 3 months. Jyske Bank AS exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Jyske Bank's Standard Deviation of 1.21, market risk adjusted performance of (0.26), and Risk Adjusted Performance of (0.06) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.38, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Jyske Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jyske Bank is expected to be smaller as well. At this point, Jyske Bank AS has a negative expected return of -0.13%. Please make sure to check out Jyske Bank's potential upside, kurtosis, and the relationship between the maximum drawdown and skewness , to decide if Jyske Bank AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.57 |
Good reverse predictability
Jyske Bank AS has good reverse predictability. Overlapping area represents the amount of predictability between Jyske Bank time series from 23rd of November 2023 to 21st of April 2024 and 21st of April 2024 to 18th of September 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 Jyske Bank AS price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Jyske Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 280.39 |
Jyske Bank AS lagged returns against current returns
Autocorrelation, which is Jyske Bank 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 Jyske Bank's stock expected returns. We can calculate the autocorrelation of Jyske Bank returns to help us make a trade decision. For example, suppose you find that Jyske Bank 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 |
Jyske Bank 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 Jyske Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jyske Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jyske Bank stock over time.
Current vs Lagged Prices |
| Timeline |
Jyske Bank Lagged Returns
When evaluating Jyske Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jyske Bank stock have on its future price. Jyske Bank 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, Jyske Bank autocorrelation shows the relationship between Jyske Bank stock current value and its past values and can show if there is a momentum factor associated with investing in Jyske Bank AS.
Regressed Prices |
| Timeline |
Pair Trading with Jyske Bank
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 Jyske Bank 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 Jyske Bank will appreciate offsetting losses from the drop in the long position's value.Moving together with Jyske Stock
Moving against Jyske Stock
The ability to find closely correlated positions to Jyske Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Jyske Bank 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 Jyske Bank - 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 Jyske Bank AS to buy it.
The correlation of Jyske Bank 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 Jyske Bank moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Jyske Bank 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 Jyske Bank 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.Other Information on Investing in Jyske Stock
Jyske Bank financial ratios help investors to determine whether Jyske Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Jyske with respect to the benefits of owning Jyske Bank security.