Orascom Financial (Egypt) Market Value
| OFH Stock | 0.38 0.03 8.57% |
| Symbol | Orascom |
Orascom Financial '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 Orascom Financial'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 Orascom Financial.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Orascom Financial on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Orascom Financial Holding or generate 0.0% return on investment in Orascom Financial over 90 days.
Orascom Financial 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 Orascom Financial'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 Orascom Financial Holding upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.37 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 14.23 | |||
| Value At Risk | (5.41) | |||
| Potential Upside | 3.23 |
Orascom Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Orascom Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Orascom Financial's standard deviation. In reality, there are many statistical measures that can use Orascom Financial historical prices to predict the future Orascom Financial's volatility.| Risk Adjusted Performance | 0.0299 | |||
| Jensen Alpha | 0.0669 | |||
| Total Risk Alpha | (0.38) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 1.06 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Orascom Financial'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.
Orascom Financial Holding Backtested Returns
Orascom Financial appears to be out of control, given 3 months investment horizon. Orascom Financial Holding maintains Sharpe Ratio (i.e., Efficiency) of 0.0859, which implies the firm had a 0.0859% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Orascom Financial Holding, which you can use to evaluate the volatility of the company. Please evaluate Orascom Financial's Risk Adjusted Performance of 0.0299, coefficient of variation of 3395.19, and Semi Deviation of 2.34 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Orascom Financial holds a performance score of 6. The company holds a Beta of 0.0716, which implies not very significant fluctuations relative to the market. As returns on the market increase, Orascom Financial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Orascom Financial is expected to be smaller as well. Please check Orascom Financial's downside deviation, information ratio, and the relationship between the semi deviation and coefficient of variation , to make a quick decision on whether Orascom Financial's historical price patterns will revert.
Auto-correlation | 0.41 |
Average predictability
Orascom Financial Holding has average predictability. Overlapping area represents the amount of predictability between Orascom Financial time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th 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 Orascom Financial Holding price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Orascom Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Orascom Financial Holding lagged returns against current returns
Autocorrelation, which is Orascom Financial 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 Orascom Financial's stock expected returns. We can calculate the autocorrelation of Orascom Financial returns to help us make a trade decision. For example, suppose you find that Orascom Financial 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 |
Orascom Financial 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 Orascom Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Orascom Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Orascom Financial stock over time.
Current vs Lagged Prices |
| Timeline |
Orascom Financial Lagged Returns
When evaluating Orascom Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Orascom Financial stock have on its future price. Orascom Financial 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, Orascom Financial autocorrelation shows the relationship between Orascom Financial stock current value and its past values and can show if there is a momentum factor associated with investing in Orascom Financial Holding.
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 Orascom Stock Analysis
When running Orascom Financial's price analysis, check to measure Orascom Financial'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 Orascom Financial is operating at the current time. Most of Orascom Financial's value examination focuses on studying past and present price action to predict the probability of Orascom Financial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Orascom Financial's price. Additionally, you may evaluate how the addition of Orascom Financial to your portfolios can decrease your overall portfolio volatility.