Koninklijke BAM (Netherlands) Market Value
| BAMNB Stock | EUR 4.40 0.21 5.01% |
| Symbol | Koninklijke |
Koninklijke BAM '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 Koninklijke BAM'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 Koninklijke BAM.
| 12/29/2022 |
| 12/18/2024 |
If you would invest 0.00 in Koninklijke BAM on December 29, 2022 and sell it all today you would earn a total of 0.00 from holding Koninklijke BAM Groep or generate 0.0% return on investment in Koninklijke BAM over 720 days. Koninklijke BAM is related to or competes with Fugro NV, Aegon NV, PostNL NV, and Koninklijke Heijmans. Koninklijke BAM Groep nv, together with its subsidiaries, provides products and services in the construction and propert... More
Koninklijke BAM 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 Koninklijke BAM'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 Koninklijke BAM Groep upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.65 | |||
| Information Ratio | 0.1068 | |||
| Maximum Drawdown | 11.79 | |||
| Value At Risk | (2.43) | |||
| Potential Upside | 3.23 |
Koninklijke BAM Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Koninklijke BAM's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Koninklijke BAM's standard deviation. In reality, there are many statistical measures that can use Koninklijke BAM historical prices to predict the future Koninklijke BAM's volatility.| Risk Adjusted Performance | 0.1025 | |||
| Jensen Alpha | 0.2404 | |||
| Total Risk Alpha | 0.183 | |||
| Sortino Ratio | 0.1286 | |||
| Treynor Ratio | (0.45) |
Koninklijke BAM Groep Backtested Returns
Koninklijke BAM appears to be slightly risky, given 3 months investment horizon. Koninklijke BAM Groep has Sharpe Ratio of 0.12, which conveys that the firm had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Koninklijke BAM, which you can use to evaluate the volatility of the firm. Please exercise Koninklijke BAM's Risk Adjusted Performance of 0.1025, mean deviation of 1.37, and Downside Deviation of 1.65 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Koninklijke BAM holds a performance score of 9. The company secures a Beta (Market Risk) of -0.51, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Koninklijke BAM are expected to decrease at a much lower rate. During the bear market, Koninklijke BAM is likely to outperform the market. Please check Koninklijke BAM's downside variance, daily balance of power, and the relationship between the maximum drawdown and skewness , to make a quick decision on whether Koninklijke BAM's current price movements will revert.
Auto-correlation | -0.23 |
Weak reverse predictability
Koninklijke BAM Groep has weak reverse predictability. Overlapping area represents the amount of predictability between Koninklijke BAM time series from 29th of December 2022 to 24th of December 2023 and 24th of December 2023 to 18th of December 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 Koninklijke BAM Groep price movement. The serial correlation of -0.23 indicates that over 23.0% of current Koninklijke BAM price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.39 |
Koninklijke BAM Groep lagged returns against current returns
Autocorrelation, which is Koninklijke BAM 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 Koninklijke BAM's stock expected returns. We can calculate the autocorrelation of Koninklijke BAM returns to help us make a trade decision. For example, suppose you find that Koninklijke BAM 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 |
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Koninklijke BAM 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 Koninklijke BAM stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Koninklijke BAM stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Koninklijke BAM stock over time.
Current vs Lagged Prices |
| Timeline |
Koninklijke BAM Lagged Returns
When evaluating Koninklijke BAM's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Koninklijke BAM stock have on its future price. Koninklijke BAM 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, Koninklijke BAM autocorrelation shows the relationship between Koninklijke BAM stock current value and its past values and can show if there is a momentum factor associated with investing in Koninklijke BAM Groep.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Koninklijke Stock
Koninklijke BAM financial ratios help investors to determine whether Koninklijke 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 Koninklijke with respect to the benefits of owning Koninklijke BAM security.