Pharma Equity (Denmark) Market Value
| PEG Stock | 0.14 0.01 6.67% |
| Symbol | Pharma |
Pharma Equity '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 Pharma Equity'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 Pharma Equity.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Pharma Equity on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Pharma Equity Group or generate 0.0% return on investment in Pharma Equity over 30 days.
Pharma Equity 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 Pharma Equity'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 Pharma Equity Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 25.0 | |||
| Value At Risk | (10.53) | |||
| Potential Upside | 6.25 |
Pharma Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pharma Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pharma Equity's standard deviation. In reality, there are many statistical measures that can use Pharma Equity historical prices to predict the future Pharma Equity's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (1.11) | |||
| Total Risk Alpha | (1.73) | |||
| Treynor Ratio | (0.70) |
Pharma Equity Group Backtested Returns
Pharma Equity Group maintains Sharpe Ratio (i.e., Efficiency) of -0.19, which implies the firm had a -0.19% return per unit of risk over the last 3 months. Pharma Equity Group exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Pharma Equity's Coefficient Of Variation of (509.00), risk adjusted performance of (0.14), and Variance of 22.52 to confirm the risk estimate we provide. The company holds a Beta of 1.35, which implies 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, Pharma Equity will likely underperform. At this point, Pharma Equity Group has a negative expected return of -0.89%. Please make sure to check Pharma Equity's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Pharma Equity Group performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.24 |
Weak reverse predictability
Pharma Equity Group has weak reverse predictability. Overlapping area represents the amount of predictability between Pharma Equity time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Pharma Equity Group price movement. The serial correlation of -0.24 indicates that over 24.0% of current Pharma Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Pharma Equity Group lagged returns against current returns
Autocorrelation, which is Pharma Equity 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 Pharma Equity's stock expected returns. We can calculate the autocorrelation of Pharma Equity returns to help us make a trade decision. For example, suppose you find that Pharma Equity 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 |
Pharma Equity 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 Pharma Equity stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pharma Equity stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pharma Equity stock over time.
Current vs Lagged Prices |
| Timeline |
Pharma Equity Lagged Returns
When evaluating Pharma Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pharma Equity stock have on its future price. Pharma Equity 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, Pharma Equity autocorrelation shows the relationship between Pharma Equity stock current value and its past values and can show if there is a momentum factor associated with investing in Pharma Equity Group.
Regressed Prices |
| Timeline |
Pair Trading with Pharma Equity
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 Pharma Equity 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 Pharma Equity will appreciate offsetting losses from the drop in the long position's value.Moving together with Pharma Stock
Moving against Pharma Stock
| 0.74 | DSV | DSV Panalpina AS | PairCorr |
| 0.74 | MAERSK-B | AP Mller | PairCorr |
| 0.73 | MAERSK-A | AP Mller | PairCorr |
| 0.43 | NDA-DK | Nordea Bank Abp | PairCorr |
The ability to find closely correlated positions to Pharma Equity could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Pharma Equity 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 Pharma Equity - 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 Pharma Equity Group to buy it.
The correlation of Pharma Equity 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 Pharma Equity moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pharma Equity Group 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 Pharma Equity 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.