Zealand Pharma (Denmark) Market Value
| ZEAL Stock | DKK 723.00 15.50 2.10% |
| Symbol | Zealand |
Zealand Pharma '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 Zealand Pharma'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 Zealand Pharma.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Zealand Pharma on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Zealand Pharma AS or generate 0.0% return on investment in Zealand Pharma over 30 days. Zealand Pharma is related to or competes with Bavarian Nordic, Ambu AS, Genmab AS, ALK Abell, and FLSmidth. Zealand Pharma AS, a biotechnology company, engages in the discovery, design, and development of peptide-based medicines... More
Zealand Pharma 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 Zealand Pharma'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 Zealand Pharma AS upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 16.3 | |||
| Value At Risk | (5.08) | |||
| Potential Upside | 4.23 |
Zealand Pharma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Zealand Pharma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Zealand Pharma's standard deviation. In reality, there are many statistical measures that can use Zealand Pharma historical prices to predict the future Zealand Pharma's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.28) | |||
| Total Risk Alpha | (0.63) | |||
| Treynor Ratio | (0.21) |
Zealand Pharma AS Backtested Returns
Zealand Pharma AS shows Sharpe Ratio of -0.0833, which attests that the company had a -0.0833% return per unit of risk over the last 3 months. Zealand Pharma AS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Zealand Pharma's Market Risk Adjusted Performance of (0.20), standard deviation of 2.93, and Mean Deviation of 2.2 to validate the risk estimate we provide. The firm maintains a market beta of 0.86, which attests to possible diversification benefits within a given portfolio. Zealand Pharma returns are very sensitive to returns on the market. As the market goes up or down, Zealand Pharma is expected to follow. At this point, Zealand Pharma AS has a negative expected return of -0.25%. Please make sure to check out Zealand Pharma's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Zealand Pharma AS performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.35 |
Poor reverse predictability
Zealand Pharma AS has poor reverse predictability. Overlapping area represents the amount of predictability between Zealand Pharma time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Zealand Pharma AS price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Zealand Pharma price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 2741.09 |
Zealand Pharma AS lagged returns against current returns
Autocorrelation, which is Zealand Pharma 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 Zealand Pharma's stock expected returns. We can calculate the autocorrelation of Zealand Pharma returns to help us make a trade decision. For example, suppose you find that Zealand Pharma 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 |
Zealand Pharma 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 Zealand Pharma stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Zealand Pharma stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Zealand Pharma stock over time.
Current vs Lagged Prices |
| Timeline |
Zealand Pharma Lagged Returns
When evaluating Zealand Pharma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Zealand Pharma stock have on its future price. Zealand Pharma 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, Zealand Pharma autocorrelation shows the relationship between Zealand Pharma stock current value and its past values and can show if there is a momentum factor associated with investing in Zealand Pharma AS.
Regressed Prices |
| Timeline |
Pair Trading with Zealand Pharma
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 Zealand Pharma 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 Zealand Pharma will appreciate offsetting losses from the drop in the long position's value.Moving together with Zealand Stock
| 0.73 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.71 | GMAB | Genmab AS | PairCorr |
| 0.74 | ALK-B | ALK Abell AS | PairCorr |
| 0.73 | BAVA | Bavarian Nordic | PairCorr |
Moving against Zealand Stock
The ability to find closely correlated positions to Zealand Pharma could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Zealand Pharma 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 Zealand Pharma - 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 Zealand Pharma AS to buy it.
The correlation of Zealand Pharma 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 Zealand Pharma moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Zealand Pharma 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 Zealand Pharma 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.Other Information on Investing in Zealand Stock
Zealand Pharma financial ratios help investors to determine whether Zealand Stock 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 Zealand with respect to the benefits of owning Zealand Pharma security.