AB Volvo (Sweden) Market Value
| VOLV-A Stock | SEK 270.20 1.00 0.37% |
| Symbol | VOLV-A |
AB Volvo '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 AB Volvo'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 AB Volvo.
| 06/30/2022 |
| 06/19/2024 |
If you would invest 0.00 in AB Volvo on June 30, 2022 and sell it all today you would earn a total of 0.00 from holding AB Volvo or generate 0.0% return on investment in AB Volvo over 720 days. AB Volvo is related to or competes with Investor, Sandvik AB, Svenska Handelsbanken, Atlas Copco, and Telefonaktiebolaget. AB Volvo , together with its subsidiaries, manufactures and sells trucks, buses, construction equipment, and marine and ... More
AB Volvo 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 AB Volvo'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 AB Volvo upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 6.48 | |||
| Value At Risk | (3.00) | |||
| Potential Upside | 1.79 |
AB Volvo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AB Volvo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AB Volvo's standard deviation. In reality, there are many statistical measures that can use AB Volvo historical prices to predict the future AB Volvo's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.14) | |||
| Treynor Ratio | 0.7259 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AB Volvo'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.
AB Volvo Backtested Returns
AB Volvo retains Efficiency (Sharpe Ratio) of -0.12, which signifies that the company had a -0.12% return per unit of price deviation over the last 3 months. AB Volvo exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AB Volvo's Variance of 2.19, information ratio of (0.1), and Market Risk Adjusted Performance of 0.7359 to double-check the risk estimate we provide. The firm owns a Beta (Systematic Risk) of -0.19, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning AB Volvo are expected to decrease at a much lower rate. During the bear market, AB Volvo is likely to outperform the market. At this point, AB Volvo has a negative expected return of -0.18%. Please make sure to confirm AB Volvo's coefficient of variation, jensen alpha, and the relationship between the mean deviation and standard deviation , to decide if AB Volvo performance from the past will be repeated sooner or later.
Auto-correlation | 0.83 |
Very good predictability
AB Volvo has very good predictability. Overlapping area represents the amount of predictability between AB Volvo time series from 30th of June 2022 to 25th of June 2023 and 25th of June 2023 to 19th of June 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 AB Volvo price movement. The serial correlation of 0.83 indicates that around 83.0% of current AB Volvo price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 938.36 |
AB Volvo lagged returns against current returns
Autocorrelation, which is AB Volvo 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 AB Volvo's stock expected returns. We can calculate the autocorrelation of AB Volvo returns to help us make a trade decision. For example, suppose you find that AB Volvo 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 |
AB Volvo 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 AB Volvo stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AB Volvo stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AB Volvo stock over time.
Current vs Lagged Prices |
| Timeline |
AB Volvo Lagged Returns
When evaluating AB Volvo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AB Volvo stock have on its future price. AB Volvo 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, AB Volvo autocorrelation shows the relationship between AB Volvo stock current value and its past values and can show if there is a momentum factor associated with investing in AB Volvo.
Regressed Prices |
| Timeline |
Pair Trading with AB Volvo
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 AB Volvo 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 AB Volvo will appreciate offsetting losses from the drop in the long position's value.Moving against VOLV-A Stock
The ability to find closely correlated positions to AB Volvo could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AB Volvo 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 AB Volvo - 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 AB Volvo to buy it.
The correlation of AB Volvo 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 AB Volvo moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AB Volvo 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 AB Volvo 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 VOLV-A Stock
AB Volvo financial ratios help investors to determine whether VOLV-A 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 VOLV-A with respect to the benefits of owning AB Volvo security.