Norofert (Romania) Market Value
| NRF Stock | 3.60 0.01 0.28% |
| Symbol | Norofert |
Norofert '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 Norofert'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 Norofert.
| 11/26/2024 |
| 12/26/2024 |
If you would invest 0.00 in Norofert on November 26, 2024 and sell it all today you would earn a total of 0.00 from holding Norofert SA or generate 0.0% return on investment in Norofert over 30 days.
Norofert 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 Norofert'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 Norofert SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 7.99 | |||
| Value At Risk | (3.64) | |||
| Potential Upside | 2.9 |
Norofert Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Norofert's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Norofert's standard deviation. In reality, there are many statistical measures that can use Norofert historical prices to predict the future Norofert's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | 0.596 |
Norofert SA Backtested Returns
Norofert SA has Sharpe Ratio of -0.0314, which conveys that the firm had a -0.0314% return per unit of risk over the last 3 months. Norofert exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Norofert's Risk Adjusted Performance of (0.02), standard deviation of 1.77, and Mean Deviation of 1.22 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.12, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Norofert are expected to decrease at a much lower rate. During the bear market, Norofert is likely to outperform the market. At this point, Norofert SA has a negative expected return of -0.0515%. Please make sure to verify Norofert's daily balance of power, and the relationship between the skewness and day typical price , to decide if Norofert SA performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.78 |
Good predictability
Norofert SA has good predictability. Overlapping area represents the amount of predictability between Norofert time series from 26th of November 2024 to 11th of December 2024 and 11th of December 2024 to 26th 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 Norofert SA price movement. The serial correlation of 0.78 indicates that around 78.0% of current Norofert price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Norofert SA lagged returns against current returns
Autocorrelation, which is Norofert 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 Norofert's stock expected returns. We can calculate the autocorrelation of Norofert returns to help us make a trade decision. For example, suppose you find that Norofert 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 |
Norofert 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 Norofert stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Norofert stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Norofert stock over time.
Current vs Lagged Prices |
| Timeline |
Norofert Lagged Returns
When evaluating Norofert's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Norofert stock have on its future price. Norofert 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, Norofert autocorrelation shows the relationship between Norofert stock current value and its past values and can show if there is a momentum factor associated with investing in Norofert SA.
Regressed Prices |
| Timeline |
Pair Trading with Norofert
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 Norofert 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 Norofert will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Norofert could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Norofert 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 Norofert - 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 Norofert SA to buy it.
The correlation of Norofert 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 Norofert moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Norofert SA 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 Norofert 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.