MilDef Group (Sweden) Market Value
| MILDEF Stock | 118.80 3.20 2.62% |
| Symbol | MilDef |
MilDef Group '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 MilDef Group'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 MilDef Group.
| 12/22/2022 |
| 12/11/2024 |
If you would invest 0.00 in MilDef Group on December 22, 2022 and sell it all today you would earn a total of 0.00 from holding MilDef Group AB or generate 0.0% return on investment in MilDef Group over 720 days. MilDef Group is related to or competes with I Tech, Filo Mining, Lundin Mining, Redsense Medical, Corline Biomedical, Upsales Technology, and FormPipe Software. More
MilDef Group 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 MilDef Group'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 MilDef Group AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.1 | |||
| Information Ratio | 0.184 | |||
| Maximum Drawdown | 8.78 | |||
| Value At Risk | (3.01) | |||
| Potential Upside | 4.2 |
MilDef Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MilDef Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MilDef Group's standard deviation. In reality, there are many statistical measures that can use MilDef Group historical prices to predict the future MilDef Group's volatility.| Risk Adjusted Performance | 0.1759 | |||
| Jensen Alpha | 0.5588 | |||
| Total Risk Alpha | 0.1783 | |||
| Sortino Ratio | 0.2192 | |||
| Treynor Ratio | 4.17 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of MilDef Group'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.
MilDef Group AB Backtested Returns
MilDef Group appears to be very steady, given 3 months investment horizon. MilDef Group AB has Sharpe Ratio of 0.23, which conveys that the firm had a 0.23% return per unit of risk over the last 3 months. By analyzing MilDef Group's technical indicators, you can evaluate if the expected return of 0.59% is justified by implied risk. Please exercise MilDef Group's Mean Deviation of 2.04, downside deviation of 2.1, and Risk Adjusted Performance of 0.1759 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, MilDef Group holds a performance score of 18. The company secures a Beta (Market Risk) of 0.14, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MilDef Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding MilDef Group is expected to be smaller as well. Please check MilDef Group's downside variance, daily balance of power, and the relationship between the maximum drawdown and skewness , to make a quick decision on whether MilDef Group's current price movements will revert.
Auto-correlation | -0.44 |
Modest reverse predictability
MilDef Group AB has modest reverse predictability. Overlapping area represents the amount of predictability between MilDef Group time series from 22nd of December 2022 to 17th of December 2023 and 17th of December 2023 to 11th 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 MilDef Group AB price movement. The serial correlation of -0.44 indicates that just about 44.0% of current MilDef Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.44 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 193.29 |
MilDef Group AB lagged returns against current returns
Autocorrelation, which is MilDef Group 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 MilDef Group's stock expected returns. We can calculate the autocorrelation of MilDef Group returns to help us make a trade decision. For example, suppose you find that MilDef Group 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 |
MilDef Group 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 MilDef Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MilDef Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MilDef Group stock over time.
Current vs Lagged Prices |
| Timeline |
MilDef Group Lagged Returns
When evaluating MilDef Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MilDef Group stock have on its future price. MilDef Group 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, MilDef Group autocorrelation shows the relationship between MilDef Group stock current value and its past values and can show if there is a momentum factor associated with investing in MilDef Group AB.
Regressed Prices |
| Timeline |
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Other Information on Investing in MilDef Stock
MilDef Group financial ratios help investors to determine whether MilDef 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 MilDef with respect to the benefits of owning MilDef Group security.