INSURANCE AUST (Germany) Market Value
| NRM Stock | EUR 5.15 0.19 3.83% |
| Symbol | INSURANCE |
INSURANCE AUST '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 INSURANCE AUST'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 INSURANCE AUST.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in INSURANCE AUST on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding INSURANCE AUST GRP or generate 0.0% return on investment in INSURANCE AUST over 90 days. INSURANCE AUST is related to or competes with PennyMac Mortgage, Gladstone Investment, TRADEDOUBLER, FAST RETAIL, SALESFORCE INC, and CARSALES. More
INSURANCE AUST 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 INSURANCE AUST'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 INSURANCE AUST GRP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.45 | |||
| Information Ratio | 0.0403 | |||
| Maximum Drawdown | 6.6 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 3.07 |
INSURANCE AUST Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for INSURANCE AUST's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as INSURANCE AUST's standard deviation. In reality, there are many statistical measures that can use INSURANCE AUST historical prices to predict the future INSURANCE AUST's volatility.| Risk Adjusted Performance | 0.1053 | |||
| Jensen Alpha | 0.2336 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0421 | |||
| Treynor Ratio | (0.53) |
INSURANCE AUST GRP Backtested Returns
INSURANCE AUST appears to be somewhat reliable, given 3 months investment horizon. INSURANCE AUST GRP holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for INSURANCE AUST GRP, which you can use to evaluate the volatility of the firm. Please utilize INSURANCE AUST's market risk adjusted performance of (0.52), and Risk Adjusted Performance of 0.1053 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, INSURANCE AUST holds a performance score of 10. The company retains a Market Volatility (i.e., Beta) of -0.35, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning INSURANCE AUST are expected to decrease at a much lower rate. During the bear market, INSURANCE AUST is likely to outperform the market. Please check INSURANCE AUST's sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to make a quick decision on whether INSURANCE AUST's current trending patterns will revert.
Auto-correlation | -0.52 |
Good reverse predictability
INSURANCE AUST GRP has good reverse predictability. Overlapping area represents the amount of predictability between INSURANCE AUST time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 2024 to 2nd 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 INSURANCE AUST GRP price movement. The serial correlation of -0.52 indicates that about 52.0% of current INSURANCE AUST price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
INSURANCE AUST GRP lagged returns against current returns
Autocorrelation, which is INSURANCE AUST 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 INSURANCE AUST's stock expected returns. We can calculate the autocorrelation of INSURANCE AUST returns to help us make a trade decision. For example, suppose you find that INSURANCE AUST 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 |
INSURANCE AUST 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 INSURANCE AUST stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if INSURANCE AUST stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in INSURANCE AUST stock over time.
Current vs Lagged Prices |
| Timeline |
INSURANCE AUST Lagged Returns
When evaluating INSURANCE AUST's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of INSURANCE AUST stock have on its future price. INSURANCE AUST 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, INSURANCE AUST autocorrelation shows the relationship between INSURANCE AUST stock current value and its past values and can show if there is a momentum factor associated with investing in INSURANCE AUST GRP.
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 INSURANCE Stock
INSURANCE AUST financial ratios help investors to determine whether INSURANCE 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 INSURANCE with respect to the benefits of owning INSURANCE AUST security.