NOVARTIS CAPITAL P Market Value
| 66989HAR9 | 83.96 4.56 5.15% |
| Symbol | NOVARTIS |
NOVARTIS '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 NOVARTIS's bond 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 NOVARTIS.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in NOVARTIS on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding NOVARTIS CAPITAL P or generate 0.0% return on investment in NOVARTIS over 30 days. NOVARTIS is related to or competes with 00108WAF7, 90331HPL1, American Express, Chevron Corp, Cisco Systems, Verizon Communications, and Merck. More
NOVARTIS 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 NOVARTIS's bond 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 NOVARTIS CAPITAL P upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 8.9 | |||
| Value At Risk | (1.28) | |||
| Potential Upside | 0.4298 |
NOVARTIS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NOVARTIS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NOVARTIS's standard deviation. In reality, there are many statistical measures that can use NOVARTIS historical prices to predict the future NOVARTIS's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | 7.07 |
NOVARTIS CAPITAL P Backtested Returns
NOVARTIS CAPITAL P has Sharpe Ratio of -0.16, which conveys that the entity had a -0.16% return per unit of standard deviation over the last 3 months. NOVARTIS exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NOVARTIS's Mean Deviation of 0.5225, market risk adjusted performance of 7.08, and Risk Adjusted Performance of (0.07) to check out the risk estimate we provide. The bond secures a Beta (Market Risk) of -0.0174, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning NOVARTIS are expected to decrease at a much lower rate. During the bear market, NOVARTIS is likely to outperform the market.
Auto-correlation | 0.35 |
Below average predictability
NOVARTIS CAPITAL P has below average predictability. Overlapping area represents the amount of predictability between NOVARTIS time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 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 NOVARTIS CAPITAL P price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current NOVARTIS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 2.15 |
NOVARTIS CAPITAL P lagged returns against current returns
Autocorrelation, which is NOVARTIS bond'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 NOVARTIS's bond expected returns. We can calculate the autocorrelation of NOVARTIS returns to help us make a trade decision. For example, suppose you find that NOVARTIS has exhibited high autocorrelation historically, and you observe that the bond 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 |
NOVARTIS 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 NOVARTIS bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NOVARTIS bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NOVARTIS bond over time.
Current vs Lagged Prices |
| Timeline |
NOVARTIS Lagged Returns
When evaluating NOVARTIS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NOVARTIS bond have on its future price. NOVARTIS 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, NOVARTIS autocorrelation shows the relationship between NOVARTIS bond current value and its past values and can show if there is a momentum factor associated with investing in NOVARTIS CAPITAL P.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in NOVARTIS Bond
NOVARTIS financial ratios help investors to determine whether NOVARTIS Bond 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 NOVARTIS with respect to the benefits of owning NOVARTIS security.