National Reinsurance (Philippines) Market Value
| NRCP Stock | 0.59 0.01 1.67% |
| Symbol | National |
National Reinsurance '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 National Reinsurance'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 National Reinsurance.
| 12/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in National Reinsurance on December 29, 2023 and sell it all today you would earn a total of 0.00 from holding National Reinsurance or generate 0.0% return on investment in National Reinsurance over 330 days. National Reinsurance is related to or competes with Manulife Financial, Allhome Corp, Jollibee Foods, and Monde Nissin. More
National Reinsurance 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 National Reinsurance'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 National Reinsurance upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.19 | |||
| Information Ratio | 0.0643 | |||
| Maximum Drawdown | 40.46 | |||
| Value At Risk | (5.88) | |||
| Potential Upside | 6.58 |
National Reinsurance Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for National Reinsurance's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as National Reinsurance's standard deviation. In reality, there are many statistical measures that can use National Reinsurance historical prices to predict the future National Reinsurance's volatility.| Risk Adjusted Performance | 0.0762 | |||
| Jensen Alpha | 0.3251 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | 0.0843 | |||
| Treynor Ratio | 0.3852 |
National Reinsurance Backtested Returns
National Reinsurance appears to be out of control, given 3 months investment horizon. National Reinsurance has Sharpe Ratio of 0.0736, which conveys that the firm had a 0.0736% return per unit of risk over the last 3 months. We have found thirty technical indicators for National Reinsurance, which you can use to evaluate the volatility of the firm. Please exercise National Reinsurance's Mean Deviation of 3.71, downside deviation of 4.19, and Risk Adjusted Performance of 0.0762 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, National Reinsurance holds a performance score of 5. The company secures a Beta (Market Risk) of 1.23, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, National Reinsurance will likely underperform. Please check National Reinsurance's sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to make a quick decision on whether National Reinsurance's current price movements will revert.
Auto-correlation | 0.05 |
Virtually no predictability
National Reinsurance has virtually no predictability. Overlapping area represents the amount of predictability between National Reinsurance time series from 29th of December 2023 to 11th of June 2024 and 11th of June 2024 to 23rd 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 National Reinsurance price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current National Reinsurance price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
National Reinsurance lagged returns against current returns
Autocorrelation, which is National Reinsurance 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 National Reinsurance's stock expected returns. We can calculate the autocorrelation of National Reinsurance returns to help us make a trade decision. For example, suppose you find that National Reinsurance 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 |
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National Reinsurance 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 National Reinsurance stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if National Reinsurance stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in National Reinsurance stock over time.
Current vs Lagged Prices |
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National Reinsurance Lagged Returns
When evaluating National Reinsurance's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of National Reinsurance stock have on its future price. National Reinsurance 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, National Reinsurance autocorrelation shows the relationship between National Reinsurance stock current value and its past values and can show if there is a momentum factor associated with investing in National Reinsurance.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for National Stock Analysis
When running National Reinsurance's price analysis, check to measure National Reinsurance'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 National Reinsurance is operating at the current time. Most of National Reinsurance's value examination focuses on studying past and present price action to predict the probability of National Reinsurance's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move National Reinsurance's price. Additionally, you may evaluate how the addition of National Reinsurance to your portfolios can decrease your overall portfolio volatility.