Orica Limited Stock Market Value
| OCLDF Stock | USD 10.60 0.00 0.00% |
| Symbol | Orica |
Orica '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 Orica's pink sheet 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 Orica.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Orica on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Orica Limited or generate 0.0% return on investment in Orica over 720 days. Orica is related to or competes with Johnson Matthey, Flexible Solutions, Orica, Iofina Plc, Greystone Logistics, Kronos Worldwide, and Ecovyst. Orica Limited manufactures and sells commercial explosives and blasting systems in Australia, the United States, and int... More
Orica 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 Orica's pink sheet 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 Orica Limited upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.47) | |||
| Maximum Drawdown | 3.02 |
Orica Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Orica's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Orica's standard deviation. In reality, there are many statistical measures that can use Orica historical prices to predict the future Orica's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | 1.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Orica'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.
Orica Limited Backtested Returns
Orica Limited maintains Sharpe Ratio (i.e., Efficiency) of -0.12, which implies the firm had a -0.12% return per unit of risk over the last 3 months. Orica Limited exposes sixteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Orica's Variance of 0.1381, coefficient of variation of (812.40), and Risk Adjusted Performance of (0.11) to confirm the risk estimate we provide. The company holds a Beta of -0.0538, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Orica are expected to decrease at a much lower rate. During the bear market, Orica is likely to outperform the market. At this point, Orica Limited has a negative expected return of -0.0464%. Please make sure to check Orica's treynor ratio, as well as the relationship between the kurtosis and day typical price , to decide if Orica Limited performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.65 |
Very good reverse predictability
Orica Limited has very good reverse predictability. Overlapping area represents the amount of predictability between Orica time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 Orica Limited price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Orica price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.38 |
Orica Limited lagged returns against current returns
Autocorrelation, which is Orica pink sheet'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 Orica's pink sheet expected returns. We can calculate the autocorrelation of Orica returns to help us make a trade decision. For example, suppose you find that Orica has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Orica 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 Orica pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Orica pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Orica pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Orica Lagged Returns
When evaluating Orica's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Orica pink sheet have on its future price. Orica 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, Orica autocorrelation shows the relationship between Orica pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Orica Limited.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Orica Pink Sheet
Orica financial ratios help investors to determine whether Orica Pink Sheet is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Orica with respect to the benefits of owning Orica security.