Naranja Renta (Spain) Market Value
| 0P0000857L | 13.69 0.01 0.07% |
| Symbol | Naranja |
Naranja Renta '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 Naranja Renta's fund 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 Naranja Renta.
| 12/13/2024 |
| 03/13/2025 |
If you would invest 0.00 in Naranja Renta on December 13, 2024 and sell it all today you would earn a total of 0.00 from holding Naranja Renta Fija or generate 0.0% return on investment in Naranja Renta over 90 days.
Naranja Renta 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 Naranja Renta's fund 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 Naranja Renta Fija upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1033 | |||
| Information Ratio | 2.29 | |||
| Maximum Drawdown | 0.2921 | |||
| Value At Risk | (0.07) | |||
| Potential Upside | 0.0734 |
Naranja Renta Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Naranja Renta's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Naranja Renta's standard deviation. In reality, there are many statistical measures that can use Naranja Renta historical prices to predict the future Naranja Renta's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | 0.0049 | |||
| Sortino Ratio | 1.19 | |||
| Treynor Ratio | (0.95) |
Naranja Renta Fija Backtested Returns
At this point, Naranja Renta is very steady. Naranja Renta Fija has Sharpe Ratio of 0.14, which conveys that the entity had a 0.14 % return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Naranja Renta, which you can use to evaluate the volatility of the fund. Please verify Naranja Renta's Mean Deviation of 0.0363, risk adjusted performance of (0.04), and Coefficient Of Variation of 809.58 to check out if the risk estimate we provide is consistent with the expected return of 0.0071%. The fund secures a Beta (Market Risk) of 0.0035, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Naranja Renta's returns are expected to increase less than the market. However, during the bear market, the loss of holding Naranja Renta is expected to be smaller as well.
Auto-correlation | 0.22 |
Weak predictability
Naranja Renta Fija has weak predictability. Overlapping area represents the amount of predictability between Naranja Renta time series from 13th of December 2024 to 27th of January 2025 and 27th of January 2025 to 13th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Naranja Renta Fija price movement. The serial correlation of 0.22 indicates that over 22.0% of current Naranja Renta price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Naranja Renta Fija lagged returns against current returns
Autocorrelation, which is Naranja Renta fund'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 Naranja Renta's fund expected returns. We can calculate the autocorrelation of Naranja Renta returns to help us make a trade decision. For example, suppose you find that Naranja Renta has exhibited high autocorrelation historically, and you observe that the fund 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 |
Naranja Renta 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 Naranja Renta fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Naranja Renta fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Naranja Renta fund over time.
Current vs Lagged Prices |
| Timeline |
Naranja Renta Lagged Returns
When evaluating Naranja Renta's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Naranja Renta fund have on its future price. Naranja Renta 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, Naranja Renta autocorrelation shows the relationship between Naranja Renta fund current value and its past values and can show if there is a momentum factor associated with investing in Naranja Renta Fija.
Regressed Prices |
| Timeline |
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