Svenska Handelsbanken (Sweden) Market Value
| SHB-B Stock | SEK 132.20 1.10 0.84% |
| Symbol | Svenska |
Svenska Handelsbanken '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 Svenska Handelsbanken'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 Svenska Handelsbanken.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Svenska Handelsbanken on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Svenska Handelsbanken AB or generate 0.0% return on investment in Svenska Handelsbanken over 30 days. Svenska Handelsbanken is related to or competes with Svenska Handelsbanken, Nordea Bank, Atlas Copco, Skandinaviska Enskilda, and Skanska AB. Svenska Handelsbanken AB provides various banking products and services for private and corporate customers primarily in... More
Svenska Handelsbanken 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 Svenska Handelsbanken'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 Svenska Handelsbanken AB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.68 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 9.08 | |||
| Value At Risk | (2.47) | |||
| Potential Upside | 2.08 |
Svenska Handelsbanken Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Svenska Handelsbanken's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Svenska Handelsbanken's standard deviation. In reality, there are many statistical measures that can use Svenska Handelsbanken historical prices to predict the future Svenska Handelsbanken's volatility.| Risk Adjusted Performance | 0.0158 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.031 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Svenska Handelsbanken'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.
Svenska Handelsbanken Backtested Returns
We consider Svenska Handelsbanken very steady. Svenska Handelsbanken owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0375, which indicates the firm had a 0.0375% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Svenska Handelsbanken AB, which you can use to evaluate the volatility of the company. Please validate Svenska Handelsbanken's Risk Adjusted Performance of 0.0158, coefficient of variation of 6384.31, and Semi Deviation of 1.54 to confirm if the risk estimate we provide is consistent with the expected return of 0.0578%. Svenska Handelsbanken has a performance score of 2 on a scale of 0 to 100. The entity has a beta of 0.46, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Svenska Handelsbanken's returns are expected to increase less than the market. However, during the bear market, the loss of holding Svenska Handelsbanken is expected to be smaller as well. Svenska Handelsbanken right now has a risk of 1.54%. Please validate Svenska Handelsbanken downside deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if Svenska Handelsbanken will be following its existing price patterns.
Auto-correlation | 0.37 |
Below average predictability
Svenska Handelsbanken AB has below average predictability. Overlapping area represents the amount of predictability between Svenska Handelsbanken time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Svenska Handelsbanken price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Svenska Handelsbanken price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 2.84 |
Svenska Handelsbanken lagged returns against current returns
Autocorrelation, which is Svenska Handelsbanken 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 Svenska Handelsbanken's stock expected returns. We can calculate the autocorrelation of Svenska Handelsbanken returns to help us make a trade decision. For example, suppose you find that Svenska Handelsbanken 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 |
Svenska Handelsbanken 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 Svenska Handelsbanken stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Svenska Handelsbanken stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Svenska Handelsbanken stock over time.
Current vs Lagged Prices |
| Timeline |
Svenska Handelsbanken Lagged Returns
When evaluating Svenska Handelsbanken's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Svenska Handelsbanken stock have on its future price. Svenska Handelsbanken 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, Svenska Handelsbanken autocorrelation shows the relationship between Svenska Handelsbanken stock current value and its past values and can show if there is a momentum factor associated with investing in Svenska Handelsbanken AB.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Svenska Handelsbanken Correlation, Svenska Handelsbanken Volatility and Svenska Handelsbanken Alpha and Beta module to complement your research on Svenska Handelsbanken. Note that the Svenska Handelsbanken information on this page should be used as a complementary analysis to other Svenska Handelsbanken's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
Complementary Tools for Svenska Stock analysis
When running Svenska Handelsbanken's price analysis, check to measure Svenska Handelsbanken'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 Svenska Handelsbanken is operating at the current time. Most of Svenska Handelsbanken's value examination focuses on studying past and present price action to predict the probability of Svenska Handelsbanken's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Svenska Handelsbanken's price. Additionally, you may evaluate how the addition of Svenska Handelsbanken to your portfolios can decrease your overall portfolio volatility.
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Svenska Handelsbanken 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.