Novonesis (Denmark) Market Value
| NSIS-B Stock | 414.40 2.00 0.48% |
| Symbol | Novonesis |
Novonesis '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 Novonesis' 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 Novonesis.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Novonesis on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Novonesis AS or generate 0.0% return on investment in Novonesis over 30 days.
Novonesis 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 Novonesis' 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 Novonesis AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 7.87 | |||
| Value At Risk | (2.51) | |||
| Potential Upside | 2.18 |
Novonesis Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Novonesis' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Novonesis' standard deviation. In reality, there are many statistical measures that can use Novonesis historical prices to predict the future Novonesis' volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 1.25 |
Novonesis AS Backtested Returns
Novonesis AS has Sharpe Ratio of -0.12, which conveys that the firm had a -0.12% return per unit of risk over the last 3 months. Novonesis exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Novonesis' Mean Deviation of 1.04, standard deviation of 1.46, and Risk Adjusted Performance of (0.07) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.13, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Novonesis are expected to decrease at a much lower rate. During the bear market, Novonesis is likely to outperform the market. At this point, Novonesis AS has a negative expected return of -0.18%. Please make sure to verify Novonesis' potential upside, kurtosis, daily balance of power, as well as the relationship between the skewness and accumulation distribution , to decide if Novonesis AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.37 |
Poor reverse predictability
Novonesis AS has poor reverse predictability. Overlapping area represents the amount of predictability between Novonesis time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Novonesis AS price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Novonesis price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 105.05 |
Novonesis AS lagged returns against current returns
Autocorrelation, which is Novonesis 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 Novonesis' stock expected returns. We can calculate the autocorrelation of Novonesis returns to help us make a trade decision. For example, suppose you find that Novonesis 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 |
Novonesis 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 Novonesis stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Novonesis stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Novonesis stock over time.
Current vs Lagged Prices |
| Timeline |
Novonesis Lagged Returns
When evaluating Novonesis' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Novonesis stock have on its future price. Novonesis 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, Novonesis autocorrelation shows the relationship between Novonesis stock current value and its past values and can show if there is a momentum factor associated with investing in Novonesis AS.
Regressed Prices |
| Timeline |
Pair Trading with Novonesis
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 Novonesis 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 Novonesis will appreciate offsetting losses from the drop in the long position's value.Moving together with Novonesis Stock
Moving against Novonesis Stock
| 0.72 | MAERSK-B | AP Mller | PairCorr |
| 0.72 | MAERSK-A | AP Mller | PairCorr |
| 0.46 | NDA-DK | Nordea Bank Abp | PairCorr |
| 0.46 | DSV | DSV Panalpina AS | PairCorr |
The ability to find closely correlated positions to Novonesis could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Novonesis 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 Novonesis - 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 Novonesis AS to buy it.
The correlation of Novonesis 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 Novonesis moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Novonesis AS 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 Novonesis 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.