AFC Ajax (Netherlands) Market Value
AJAX Stock | EUR 10.35 0.05 0.49% |
Symbol | AFC |
AFC Ajax '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 AFC Ajax'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 AFC Ajax.
03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in AFC Ajax on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding AFC Ajax NV or generate 0.0% return on investment in AFC Ajax over 30 days. AFC Ajax is related to or competes with Aegon NV, Koninklijke Philips, Randstad, and Akzo Nobel. AFC Ajax NV operates a football club primarily in the Netherlands More
AFC Ajax 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 AFC Ajax'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 AFC Ajax NV upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.09) | |||
Maximum Drawdown | 5.44 | |||
Value At Risk | (1.46) | |||
Potential Upside | 1.49 |
AFC Ajax Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AFC Ajax's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AFC Ajax's standard deviation. In reality, there are many statistical measures that can use AFC Ajax historical prices to predict the future AFC Ajax's volatility.Risk Adjusted Performance | 0.0026 | |||
Jensen Alpha | 0.033 | |||
Total Risk Alpha | (0.15) | |||
Treynor Ratio | 0.0229 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AFC Ajax'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.
AFC Ajax NV Backtested Returns
We consider AFC Ajax very steady. AFC Ajax NV retains Efficiency (Sharpe Ratio) of 0.0125, which signifies that the company had a 0.0125% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for AFC Ajax, which you can use to evaluate the volatility of the firm. Please confirm AFC Ajax's variance of 1.06, and Market Risk Adjusted Performance of 0.0329 to double-check if the risk estimate we provide is consistent with the expected return of 0.013%. The firm owns a Beta (Systematic Risk) of -0.53, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning AFC Ajax are expected to decrease at a much lower rate. During the bear market, AFC Ajax is likely to outperform the market. AFC Ajax NV at this moment owns a risk of 1.04%. Please confirm AFC Ajax NV coefficient of variation, jensen alpha, and the relationship between the mean deviation and standard deviation , to decide if AFC Ajax NV will be following its current price history.
Auto-correlation | 0.29 |
Poor predictability
AFC Ajax NV has poor predictability. Overlapping area represents the amount of predictability between AFC Ajax time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 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 AFC Ajax NV price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current AFC Ajax price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.29 | |
Spearman Rank Test | 0.41 | |
Residual Average | 0.0 | |
Price Variance | 0.01 |
AFC Ajax NV lagged returns against current returns
Autocorrelation, which is AFC Ajax 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 AFC Ajax's stock expected returns. We can calculate the autocorrelation of AFC Ajax returns to help us make a trade decision. For example, suppose you find that AFC Ajax 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 |
AFC Ajax 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 AFC Ajax stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AFC Ajax stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AFC Ajax stock over time.
Current vs Lagged Prices |
Timeline |
AFC Ajax Lagged Returns
When evaluating AFC Ajax's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AFC Ajax stock have on its future price. AFC Ajax 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, AFC Ajax autocorrelation shows the relationship between AFC Ajax stock current value and its past values and can show if there is a momentum factor associated with investing in AFC Ajax NV.
Regressed Prices |
Timeline |
Pair Trading with AFC Ajax
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 AFC Ajax 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 AFC Ajax will appreciate offsetting losses from the drop in the long position's value.Moving against AFC Stock
0.51 | VEON | VEON | PairCorr |
0.46 | ASML | ASML Holding NV | PairCorr |
0.44 | KPN | Koninklijke KPN NV Earnings Call Today | PairCorr |
0.41 | AD | Koninklijke Ahold | PairCorr |
The ability to find closely correlated positions to AFC Ajax could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AFC Ajax 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 AFC Ajax - 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 AFC Ajax NV to buy it.
The correlation of AFC Ajax 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 AFC Ajax moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AFC Ajax NV 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 AFC Ajax 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.Check out AFC Ajax Correlation, AFC Ajax Volatility and AFC Ajax Alpha and Beta module to complement your research on AFC Ajax. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Complementary Tools for AFC Stock analysis
When running AFC Ajax's price analysis, check to measure AFC Ajax'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 AFC Ajax is operating at the current time. Most of AFC Ajax's value examination focuses on studying past and present price action to predict the probability of AFC Ajax's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AFC Ajax's price. Additionally, you may evaluate how the addition of AFC Ajax to your portfolios can decrease your overall portfolio volatility.
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AFC Ajax technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.