Neogen Chemicals (India) Market Value
| NEOGEN Stock | 2,096 32.60 1.58% |
| Symbol | Neogen |
Neogen Chemicals '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 Neogen Chemicals' 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 Neogen Chemicals.
| 09/02/2024 |
| 12/01/2024 |
If you would invest 0.00 in Neogen Chemicals on September 2, 2024 and sell it all today you would earn a total of 0.00 from holding Neogen Chemicals Limited or generate 0.0% return on investment in Neogen Chemicals over 90 days. Neogen Chemicals is related to or competes with SANOFI S, Apollo Hospitals, Ortel Communications, Global Health, Fortis Healthcare, Aster DM, and MEDI ASSIST. Neogen Chemicals is entity of India. It is traded as Stock on NSE exchange. More
Neogen Chemicals 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 Neogen Chemicals' 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 Neogen Chemicals Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.13 | |||
| Information Ratio | 0.1072 | |||
| Maximum Drawdown | 21.74 | |||
| Value At Risk | (4.74) | |||
| Potential Upside | 7.9 |
Neogen Chemicals Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Neogen Chemicals' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Neogen Chemicals' standard deviation. In reality, there are many statistical measures that can use Neogen Chemicals historical prices to predict the future Neogen Chemicals' volatility.| Risk Adjusted Performance | 0.1169 | |||
| Jensen Alpha | 0.4801 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.1337 | |||
| Treynor Ratio | 1.05 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Neogen Chemicals' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Neogen Chemicals Backtested Returns
Neogen Chemicals appears to be very steady, given 3 months investment horizon. Neogen Chemicals has Sharpe Ratio of 0.15, which conveys that the firm had a 0.15% return per unit of risk over the last 3 months. By analyzing Neogen Chemicals' technical indicators, you can evaluate if the expected return of 0.61% is justified by implied risk. Please exercise Neogen Chemicals' Risk Adjusted Performance of 0.1169, downside deviation of 3.13, and Mean Deviation of 2.75 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Neogen Chemicals holds a performance score of 12. The company secures a Beta (Market Risk) of 0.52, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Neogen Chemicals' returns are expected to increase less than the market. However, during the bear market, the loss of holding Neogen Chemicals is expected to be smaller as well. Please check Neogen Chemicals' sortino ratio, semi variance, rate of daily change, as well as the relationship between the value at risk and kurtosis , to make a quick decision on whether Neogen Chemicals' current price movements will revert.
Auto-correlation | 0.22 |
Weak predictability
Neogen Chemicals Limited has weak predictability. Overlapping area represents the amount of predictability between Neogen Chemicals time series from 2nd of September 2024 to 17th of October 2024 and 17th of October 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 Neogen Chemicals price movement. The serial correlation of 0.22 indicates that over 22.0% of current Neogen Chemicals price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 11 K |
Neogen Chemicals lagged returns against current returns
Autocorrelation, which is Neogen Chemicals 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 Neogen Chemicals' stock expected returns. We can calculate the autocorrelation of Neogen Chemicals returns to help us make a trade decision. For example, suppose you find that Neogen Chemicals 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 |
Neogen Chemicals 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 Neogen Chemicals stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Neogen Chemicals stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Neogen Chemicals stock over time.
Current vs Lagged Prices |
| Timeline |
Neogen Chemicals Lagged Returns
When evaluating Neogen Chemicals' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Neogen Chemicals stock have on its future price. Neogen Chemicals 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, Neogen Chemicals autocorrelation shows the relationship between Neogen Chemicals stock current value and its past values and can show if there is a momentum factor associated with investing in Neogen Chemicals Limited.
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 Neogen Stock
Neogen Chemicals financial ratios help investors to determine whether Neogen 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 Neogen with respect to the benefits of owning Neogen Chemicals security.