Exor NV (Netherlands) Market Value
| EXO Stock | 96.00 0.80 0.84% |
| Symbol | Exor |
Exor NV '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 Exor NV'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 Exor NV.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Exor NV on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Exor NV or generate 0.0% return on investment in Exor NV over 30 days. Exor NV is related to or competes with CM NV, BE Semiconductor, Alfen Beheer, ASR Nederland, and Avantium Holding. More
Exor NV 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 Exor NV'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 Exor NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 5.58 | |||
| Value At Risk | (2.51) | |||
| Potential Upside | 1.54 |
Exor NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Exor NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Exor NV's standard deviation. In reality, there are many statistical measures that can use Exor NV historical prices to predict the future Exor NV's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | (0.15) |
Exor NV Backtested Returns
Exor NV secures Sharpe Ratio (or Efficiency) of -0.0477, which denotes the company had a -0.0477% return per unit of risk over the last 3 months. Exor NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Exor NV's Standard Deviation of 1.17, variance of 1.36, and Mean Deviation of 0.8447 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.33, which means possible diversification benefits within a given portfolio. As returns on the market increase, Exor NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Exor NV is expected to be smaller as well. At this point, Exor NV has a negative expected return of -0.0557%. Please make sure to confirm Exor NV's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Exor NV performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.03 |
Very weak reverse predictability
Exor NV has very weak reverse predictability. Overlapping area represents the amount of predictability between Exor NV time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Exor NV price movement. The serial correlation of -0.03 indicates that only 3.0% of current Exor NV price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.93 |
Exor NV lagged returns against current returns
Autocorrelation, which is Exor NV 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 Exor NV's stock expected returns. We can calculate the autocorrelation of Exor NV returns to help us make a trade decision. For example, suppose you find that Exor NV 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 |
Exor NV 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 Exor NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Exor NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Exor NV stock over time.
Current vs Lagged Prices |
| Timeline |
Exor NV Lagged Returns
When evaluating Exor NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Exor NV stock have on its future price. Exor NV 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, Exor NV autocorrelation shows the relationship between Exor NV stock current value and its past values and can show if there is a momentum factor associated with investing in Exor NV.
Regressed Prices |
| Timeline |
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Additional Tools for Exor Stock Analysis
When running Exor NV's price analysis, check to measure Exor NV'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 Exor NV is operating at the current time. Most of Exor NV's value examination focuses on studying past and present price action to predict the probability of Exor NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Exor NV's price. Additionally, you may evaluate how the addition of Exor NV to your portfolios can decrease your overall portfolio volatility.