JM AB (Sweden) Market Value
| JM Stock | 175.30 0.40 0.23% |
| Symbol | JM AB |
JM AB '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 JM AB'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 JM AB.
| 12/13/2022 |
| 12/02/2024 |
JM AB 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 JM AB'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 JM AB upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 9.97 | |||
| Value At Risk | (3.06) | |||
| Potential Upside | 2.8 |
JM AB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JM AB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JM AB's standard deviation. In reality, there are many statistical measures that can use JM AB historical prices to predict the future JM AB's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.51) | |||
| Treynor Ratio | 2.87 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of JM AB'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.
JM AB Backtested Returns
JM AB retains Efficiency (Sharpe Ratio) of -0.0593, which attests that the entity had a -0.0593% return per unit of price deviation over the last 3 months. JM AB exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out JM AB's Market Risk Adjusted Performance of 2.88, coefficient of variation of (977.84), and Information Ratio of (0.18) to validate the risk estimate we provide. The company owns a Beta (Systematic Risk) of -0.0697, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning JM AB are expected to decrease at a much lower rate. During the bear market, JM AB is likely to outperform the market. At this point, JM AB has a negative expected return of -0.11%. Please make sure to check out JM AB's total risk alpha, as well as the relationship between the skewness and day median price , to decide if JM AB performance from the past will be repeated sooner or later.
Auto-correlation | -0.55 |
Good reverse predictability
JM AB has good reverse predictability. Overlapping area represents the amount of predictability between JM AB time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 JM AB price movement. The serial correlation of -0.55 indicates that about 55.0% of current JM AB price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 304.66 |
JM AB lagged returns against current returns
Autocorrelation, which is JM AB 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 JM AB's stock expected returns. We can calculate the autocorrelation of JM AB returns to help us make a trade decision. For example, suppose you find that JM AB 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 |
JM AB 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 JM AB stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JM AB stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JM AB stock over time.
Current vs Lagged Prices |
| Timeline |
JM AB Lagged Returns
When evaluating JM AB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JM AB stock have on its future price. JM AB 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, JM AB autocorrelation shows the relationship between JM AB stock current value and its past values and can show if there is a momentum factor associated with investing in JM AB.
Regressed Prices |
| Timeline |
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Additional Tools for JM AB Stock Analysis
When running JM AB's price analysis, check to measure JM AB'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 JM AB is operating at the current time. Most of JM AB's value examination focuses on studying past and present price action to predict the probability of JM AB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move JM AB's price. Additionally, you may evaluate how the addition of JM AB to your portfolios can decrease your overall portfolio volatility.