FLSmidth (Denmark) Market Value
| FLS Stock | DKK 380.80 4.60 1.22% |
| Symbol | FLSmidth |
FLSmidth '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 FLSmidth'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 FLSmidth.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in FLSmidth on January 9, 2023 and sell it all today you would earn a total of 0.00 from holding FLSmidth Co or generate 0.0% return on investment in FLSmidth over 690 days. FLSmidth is related to or competes with NKT AS, GN Store, and ROCKWOOL International. AS supplies engineering, equipment, and services to the cement and mining industries worldwide More
FLSmidth 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 FLSmidth'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 FLSmidth Co upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.7 | |||
| Information Ratio | 0.0171 | |||
| Maximum Drawdown | 8.11 | |||
| Value At Risk | (2.44) | |||
| Potential Upside | 2.68 |
FLSmidth Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FLSmidth's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FLSmidth's standard deviation. In reality, there are many statistical measures that can use FLSmidth historical prices to predict the future FLSmidth's volatility.| Risk Adjusted Performance | 0.0787 | |||
| Jensen Alpha | 0.1364 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | 0.016 | |||
| Treynor Ratio | 2.7 |
FLSmidth Backtested Returns
As of now, FLSmidth Stock is very steady. FLSmidth secures Sharpe Ratio (or Efficiency) of 0.11, which denotes the company had a 0.11% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for FLSmidth Co, which you can use to evaluate the volatility of the firm. Please confirm FLSmidth's Market Risk Adjusted Performance of 2.71, mean deviation of 1.26, and Downside Deviation of 1.7 to check if the risk estimate we provide is consistent with the expected return of 0.18%. FLSmidth has a performance score of 8 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0527, which means not very significant fluctuations relative to the market. As returns on the market increase, FLSmidth's returns are expected to increase less than the market. However, during the bear market, the loss of holding FLSmidth is expected to be smaller as well. FLSmidth currently shows a risk of 1.61%. Please confirm FLSmidth total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to decide if FLSmidth will be following its price patterns.
Auto-correlation | 0.22 |
Weak predictability
FLSmidth Co has weak predictability. Overlapping area represents the amount of predictability between FLSmidth time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 to 29th of November 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 FLSmidth price movement. The serial correlation of 0.22 indicates that over 22.0% of current FLSmidth price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 1141.2 |
FLSmidth lagged returns against current returns
Autocorrelation, which is FLSmidth 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 FLSmidth's stock expected returns. We can calculate the autocorrelation of FLSmidth returns to help us make a trade decision. For example, suppose you find that FLSmidth 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 |
FLSmidth 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 FLSmidth stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FLSmidth stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FLSmidth stock over time.
Current vs Lagged Prices |
| Timeline |
FLSmidth Lagged Returns
When evaluating FLSmidth's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FLSmidth stock have on its future price. FLSmidth 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, FLSmidth autocorrelation shows the relationship between FLSmidth stock current value and its past values and can show if there is a momentum factor associated with investing in FLSmidth Co.
Regressed Prices |
| Timeline |
Pair Trading with FLSmidth
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 FLSmidth 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 FLSmidth will appreciate offsetting losses from the drop in the long position's value.Moving against FLSmidth Stock
The ability to find closely correlated positions to FLSmidth could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace FLSmidth 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 FLSmidth - 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 FLSmidth Co to buy it.
The correlation of FLSmidth 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 FLSmidth moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if FLSmidth 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 FLSmidth 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 FLSmidth Stock
FLSmidth financial ratios help investors to determine whether FLSmidth 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 FLSmidth with respect to the benefits of owning FLSmidth security.